UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT
OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04681
Name of Registrant: | Vanguard Bond Index Funds |
Address of Registrant: | P.O. Box 2600 |
Valley Forge, PA 19482 |
Name and address of agent for service: | Heidi Stam, Esquire |
P.O. Box 876 | |
Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: December 31
Date of reporting period: January 31, 2016 – June 30, 2016
Item 1: Reports to Shareholders
Semiannual Report | June 30, 2016
Vanguard Bond Index Funds
Vanguard Short-Term Bond Index Fund
Vanguard Intermediate-Term Bond Index Fund
Vanguard Long-Term Bond Index Fund
Vanguards Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguards research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Funds Total Returns. | 1 |
Chairmans Letter. | 4 |
Short-Term Bond Index Fund. | 9 |
Intermediate-Term Bond Index Fund. | 27 |
Long-Term Bond Index Fund. | 45 |
About Your Funds Expenses. | 63 |
Trustees Approve Advisory Arrangements. | 66 |
Glossary. | 67 |
Please note: The opinions expressed in this report are just thatinformed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | ||||
Six Months Ended June 30, 2016 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Short-Term Bond Index Fund | ||||
Investor Shares | 1.04% | 0.69% | 1.82% | 2.51% |
ETF Shares | 1.13 | |||
Market Price | 2.50 | |||
Net Asset Value | 2.54 | |||
Admiral™ Shares | 1.13 | 0.73 | 1.82 | 2.55 |
Institutional Shares | 1.14 | 0.74 | 1.82 | 2.56 |
Institutional Plus Shares | 1.15 | 0.75 | 1.82 | 2.57 |
Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index | 2.61 | |||
1–5 Year Investment-Grade Debt Funds Average | 2.17 | |||
1–5 Year Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
Vanguard Intermediate-Term Bond Index Fund | ||||
Investor Shares | 1.99% | 1.33% | 5.51% | 6.84% |
ETF Shares | 2.08 | |||
Market Price | 7.07 | |||
Net Asset Value | 6.93 | |||
Admiral Shares | 2.08 | 1.37 | 5.51 | 6.88 |
Institutional Shares | 2.09 | 1.38 | 5.51 | 6.89 |
Institutional Plus Shares | 2.10 | 1.39 | 5.51 | 6.90 |
Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index | 6.93 | |||
Core Bond Funds Average | 5.05 | |||
Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
1
Your Fund’s Total Returns | ||||
Six Months Ended June 30, 2016 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Long-Term Bond Index Fund | ||||
Investor Shares | 3.32% | 2.14% | 12.35% | 14.49% |
ETF Shares | 3.41 | |||
Market Price | 14.92 | |||
Net Asset Value | 14.60 | |||
Institutional Shares | 3.42 | 2.20 | 12.35 | 14.55 |
Institutional Plus Shares | 3.43 | 2.21 | 12.35 | 14.56 |
Barclays U.S. Long Government/Credit Float Adjusted Index | 14.33 | |||
Corporate A-Rated Debt Funds Average | 6.69 |
Corporate A-Rated Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares and Institutional Plus Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
2
Your Fund’s Performance at a Glance | ||||
December 31, 2015, Through June 30, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Short-Term Bond Index Fund | ||||
Investor Shares | $10.43 | $10.62 | $0.071 | $0.000 |
ETF Shares | 79.49 | 81.03 | 0.471 | 0.000 |
Admiral Shares | 10.43 | 10.62 | 0.075 | 0.000 |
Institutional Shares | 10.43 | 10.62 | 0.076 | 0.000 |
Institutional Plus Shares | 10.43 | 10.62 | 0.077 | 0.000 |
Vanguard Intermediate-Term Bond Index Fund | ||||
Investor Shares | $11.26 | $11.88 | $0.146 | $0.000 |
ETF Shares | 82.95 | 87.76 | 0.907 | 0.000 |
Admiral Shares | 11.26 | 11.88 | 0.150 | 0.000 |
Institutional Shares | 11.26 | 11.88 | 0.152 | 0.000 |
Institutional Plus Shares | 11.26 | 11.88 | 0.153 | 0.000 |
Vanguard Long-Term Bond Index Fund | ||||
Investor Shares | $13.20 | $14.83 | $0.265 | $0.000 |
ETF Shares | 86.80 | 97.89 | 1.463 | 0.000 |
Institutional Shares | 13.20 | 14.83 | 0.272 | 0.000 |
Institutional Plus Shares | 13.20 | 14.83 | 0.274 | 0.000 |
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Chairman’s Letter
Dear Shareholder,
Bond yields, which were expected to keep rising after the Federal Reserve’s rate hike in December, moved lower during the first half of 2016. The decline was more pronounced for long- and intermediate-term bonds, but short-term yields generally ended lower as well.
With yields falling, bond prices rose, as the two move in opposite directions. Vanguard Long-Term Bond Index Fund returned 14.49% for the six months ended June 30, 2016; Vanguard Intermediate-Term Bond Index Fund returned 6.84%, and Vanguard Short-Term Bond Index Fund returned 2.51%. (Returns and yields cited in this letter are for Investor Shares.)
After taking expenses into account, all three funds performed in line with their benchmark indexes and outpaced the average return of their peers. The funds’ average duration and maturity tend to be longer than those of their peers. This may be an advantage in a low interest rate environment like the one we saw in the first six months of this year. Of course, the reverse can be true when rates rise.
On June 30, the 30-day SEC yield for all three funds was lower than it had been at the start of the period. Yields fell from 1.37% to 1.04% for the Short-Term Fund, from 2.66% to 1.99% for the Intermediate-Term Fund, and from 4.07% to 3.32% for the Long-Term Fund.
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Bonds rolled to strong returns as investors weighed their options
The broad U.S. bond market returned 5.31% as investors sought safe-haven assets amid questionable global economic growth, low inflation, and stock market volatility. Exceptionally low or negative yields abroad attracted foreign investors to U.S. Treasury debt. The yield of the 10-year Treasury note closed at 1.47% at the end of June, down from 2.30% at the end of December.
The Fed has held its target for short-term interest rates steady since raising it by a quarter of a percentage point at the end of 2015. During the period, the 0.25%–0.5% rate remained historically low and continued to curb returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 11.94%. Counter to recent trends, a number of foreign currencies strengthened against the dollar, but returns were solid even without this currency benefit.
Stocks waxed and waned through periods of turbulence
Toward the end of the half year, global stock markets dropped sharply and then rose after the momentous decision by
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.31% | 6.00% | 3.76% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 4.33 | 7.65 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.11 | 0.14 | 0.05 |
Stocks | |||
Russell 1000 Index (Large-caps) | 3.74% | 2.93% | 11.88% |
Russell 2000 Index (Small-caps) | 2.22 | -6.73 | 8.35 |
Russell 3000 Index (Broad U.S. market) | 3.62 | 2.14 | 11.60 |
FTSE All-World ex US Index (International) | -0.92 | -9.75 | 0.49 |
CPI | |||
Consumer Price Index | 1.91% | 1.01% | 1.32% |
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United Kingdom voters to leave the European Union. The markets already were jittery before the June 23 “Brexit” vote. Volatility spiked afterward, however, as investors digested the significant global economic implications and the likelihood of extended uncertainty while the separation is carried out.
The broad U.S. stock market returned roughly 4% for the six months. U.S. stocks plunged on news of the referendum’s outcome but quickly reversed. Worries about Brexit’s effect on trade and global economic growth seemed to diminish as expectations increased that major central banks would be responsive to any fallout.
International stocks had a rougher time, returning about –1%. European stocks in particular suffered as the lead-up to the Brexit referendum and subsequent uncertainty hit closer to home. Developed Pacific markets also retreated. Emerging-market stocks were a bright spot, returning nearly 8%.
Solid demand drove bond prices higher
Investors often turn to the relative safety of higher-quality bonds during times of heightened uncertainty and increased stock market volatility. This tendency was especially evident in January, when concerns about the pace of global growth
Expense Ratios | ||||||
Your Fund Compared With Its Peer Group | ||||||
Investor | ETF | Admiral | Institutional | Institutional | Peer Group | |
Shares | Shares | Shares | Shares | Plus Shares | Average | |
Short-Term Bond Index Fund | 0.16% | 0.09% | 0.09% | 0.06% | 0.04% | 0.75% |
Intermediate-Term Bond Index | ||||||
Fund | 0.16 | 0.09 | 0.09 | 0.06 | 0.04 | 0.80 |
Long-Term Bond Index Fund | 0.16 | 0.09 | — | 0.06 | 0.04 | 0.86 |
The fund expense ratios shown are from the prospectus dated April 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the funds’ annualized expense ratios were: for the Short-Term Bond Index Fund, 0.16% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, 0.06% for Institutional Shares, and 0.04% for Institutional Plus Shares; for the Intermediate-Term Bond Index Fund, 0.16% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, 0.06% for Institutional Shares, and 0.04% for Institutional Plus Shares; and for the Long-Term Bond Index Fund, 0.16% for Investor Shares, 0.08% for ETF Shares, 0.06% for Institutional Shares, and 0.04% for Institutional Plus Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
Peer groups: For the Short-Term Bond Index Fund, 1–5 Year Investment-Grade Debt Funds; for the Intermediate-Term Bond Index Fund, Core Bond Funds; for the Long-Term Bond Index Fund, Corporate A-Rated Debt Funds.
6
contributed to the decline of many stock markets around the world. It was also evident in June, following the Brexit vote, when demand for less risky assets, including bonds, was even greater.
The broad taxable bond market returned nearly 2% in June, its best monthly result of the half year. As interest rates turned more negative in Europe and Japan during the period, international buyers sought the still positive yields on U.S. bonds. The Short- and Intermediate-Term Funds returned 0.97% and 2.44%, respectively, for June. These were big climbs compared to May, but the Long-Term Bond Fund, which jumped to 5.11%, had the sharpest increase.
Demand was robust—and not only for safe harbors. Investors found the higher yields offered on longer-term bonds attractive, especially given the subdued outlook for inflation (as oil prices remained relatively low) and muted expectations of further rate hikes. About 85% of the Long-Term Fund’s return for the half year came from price appreciation.
The overall return for Treasuries, which accounted for the largest portion of assets in each of the three funds covered in this report, was more than 5%. While short-and intermediate-term Treasuries produced healthy gains, long-term Treasuries were the standout, returning more than 15%.
Investment-grade corporate bonds returned close to 8%. The utilities and industrial sectors did even better than that. Although many companies in the energy and metals and mining segments had been hard hit by the drop in commodity prices that began in 2014, demand for their bonds has revived with the improvement we’ve seen in commodities since February. The financial sector, on the other hand, returned slightly less than 5%. Bank debt, in particular, was out of favor, because lower interest rates tend to weigh on banks’ profitability.
A dose of discipline is crucial when markets become volatile
The heightened volatility in capital markets that surrounded the Brexit vote reminds us that nobody can control the direction of the markets or reliably predict where they’ll go in the short term. However, investors can control how they react to unstable and turbulent markets.
During periods of market adversity, it’s more important than ever to keep sight of one of Vanguard’s key principles:
7
Maintain perspective and long-term discipline. Whether you’re investing for yourself or on behalf of clients, your success is affected greatly by how you respond—or don’t respond—during turbulent markets. (You can read Vanguard’s Principles for Investing Success at vanguard.com/research.)
As I’ve written in the past, the best course for long-term investors is generally to ignore daily market moves and not make decisions based on emotion. This is also a good time to evaluate your portfolio and make sure your asset allocation is aligned with your time horizon, goals, and risk tolerance.
The markets are unpredictable and often confounding. Keeping your long-term plans clearly in focus can help you weather these periodic storms.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 19, 2016
8
Short-Term Bond Index Fund | |||||
Fund Profile | |||||
As of June 30, 2016 | |||||
Share-Class Characteristics | |||||
Investor | Admiral | Institutional | Institutional | ||
Shares | ETF Shares | Shares | Shares | Plus Shares | |
Ticker Symbol | VBISX | BSV | VBIRX | VBITX | VBIPX |
Expense Ratio1 | 0.16% | 0.09% | 0.09% | 0.06% | 0.04% |
30-Day SEC Yield | 1.04% | 1.13% | 1.13% | 1.14% | 1.15% |
Financial Attributes | |||
Barclays | |||
1–5 Year | |||
Gov/ | Barclays | ||
Credit | Aggregate | ||
Float Adj | Float Adj | ||
Fund | Index | Index | |
Number of Bonds | 2,357 | 3,019 | 9,796 |
Yield to Maturity | |||
(before expenses) | 1.1% | 1.1% | 1.9% |
Average Coupon | 2.0% | 2.2% | 3.1% |
Average Duration | 2.7 years | 2.8 years | 5.8 years |
Average Effective | |||
Maturity | 2.8 years | 2.9 years | 8.0 years |
Short-Term | |||
Reserves | 0.9% | — | — |
Sector Diversification (% of portfolio) | |||
Finance | 11.5% | ||
Foreign | 7.8 | ||
Industrial | 14.8 | ||
Treasury/Agency | 64.2 | ||
Utilities | 1.5 | ||
Other | 0.2 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | ||
1–5 Year | ||
Gov/ | ||
Credit | Barclays | |
Float Adj | Aggregate Float | |
Index | Adj Index | |
R-Squared | 0.99 | 0.82 |
Beta | 1.03 | 0.44 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Credit Quality (% of portfolio)
U.S. Government | 64.2% |
Aaa | 5.6 |
Aa | 4.8 |
A | 12.9 |
Baa | 12.5 |
Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 2.8% |
1 - 3 Years | 55.7 |
3 - 5 Years | 41.5 |
1 The expense ratios shown are from the prospectus dated April 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.16% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, 0.06% for Institutional Shares, and 0.04% for Institutional Plus Shares.
9
Short-Term Bond Index Fund
10
Short-Term Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016 | ||||
Spliced | ||||
Barclays | ||||
1–5 Year | ||||
Gov/Credit | ||||
Investor Shares | FA Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 4.39% | -0.30% | 4.09% | 4.22% |
2007 | 4.79 | 2.43 | 7.22 | 7.27 |
2008 | 3.95 | 1.48 | 5.43 | 5.12 |
2009 | 2.91 | 1.37 | 4.28 | 4.62 |
2010 | 2.22 | 1.70 | 3.92 | 4.08 |
2011 | 1.85 | 1.11 | 2.96 | 3.13 |
2012 | 1.46 | 0.49 | 1.95 | 2.24 |
2013 | 1.10 | -1.03 | 0.07 | 0.29 |
2014 | 1.11 | 0.05 | 1.16 | 1.43 |
2015 | 1.23 | -0.38 | 0.85 | 0.97 |
2016 | 0.69 | 1.82 | 2.51 | 2.61 |
For a benchmark description, see the Glossary. | ||||
Note: For 2016, performance data reflect the six months ended June 30, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||||
Ten Years | ||||||
Inception Date | One Year Five Years | Income | Capital | Total | ||
Investor Shares | 3/1/1994 | 2.45% | 1.57% | 2.35% | 1.02% | 3.37% |
ETF Shares | 4/3/2007 | |||||
Market Price | 2.56 | 1.66 | 3.191 | |||
Net Asset Value | 2.57 | 1.67 | 3.191 | |||
Admiral Shares | 11/12/2001 | 2.52 | 1.66 | 2.45 | 1.02 | 3.47 |
Institutional Shares | 9/27/2011 | 2.55 | — | 1.391 | 0.191 | 1.581 |
Institutional Plus Shares | 9/29/2011 | 2.57 | — | 1.421 | 0.191 | 1.611 |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
11
Short-Term Bond Index Fund
Financial Statements (unaudited)
Statement of Net AssetsInvestments Summary
As of June 30, 2016
This Statement summarizes the funds holdings by asset type. Details are reported for each of the funds 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the funds net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the funds holdings is available electronically on vanguard.com and on the Securities and Exchange Commissions website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the funds Forms N-Q on the SECs website. Forms N-Q may also be reviewed and copied at the SECs Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | |||
Maturity | Amount | Value | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
U.S. Government and Agency Obligations | |||||
U.S. Government Securities | |||||
United States Treasury Note/Bond | 1.125% | 6/30/21 | 790,661 | 794,986 | 1.8% |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 749,264 | 760,038 | 1.7% |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 729,865 | 746,973 | 1.7% |
United States Treasury Note/Bond | 1.250% | 3/31/21 | 709,875 | 718,308 | 1.6% |
United States Treasury Note/Bond | 1.625% | 11/30/20 | 656,725 | 676,020 | 1.5% |
United States Treasury Note/Bond | 1.375% | 8/31/20 | 648,220 | 660,173 | 1.5% |
United States Treasury Note/Bond | 1.375% | 5/31/21 | 587,145 | 597,784 | 1.3% |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 565,125 | 565,741 | 1.3% |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 543,474 | 558,930 | 1.2% |
United States Treasury Note/Bond | 1.000% | 8/15/18 | 548,419 | 552,872 | 1.2% |
United States Treasury Note/Bond | 1.375% | 2/29/20 | 536,907 | 547,140 | 1.2% |
United States Treasury Note/Bond | 1.375% | 10/31/20 | 530,380 | 540,075 | 1.2% |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 494,988 | 504,422 | 1.1% |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 465,386 | 477,896 | 1.1% |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 461,569 | 474,119 | 1.1% |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 433,842 | 440,215 | 1.0% |
United States Treasury Note/Bond | 1.125% | 2/28/21 | 433,910 | 437,030 | 1.0% |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 431,800 | 436,727 | 1.0% |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 418,712 | 428,527 | 1.0% |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 419,115 | 422,388 | 0.9% |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 402,200 | 410,871 | 0.9% |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 376,790 | 383,090 | 0.8% |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 368,231 | 379,738 | 0.8% |
United States Treasury Note/Bond | 1.375% | 9/30/20 | 369,933 | 376,755 | 0.8% |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 358,765 | 366,895 | 0.8% |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 347,060 | 354,327 | 0.8% |
United States Treasury Note/Bond | 0.875% | 5/15/19 | 344,055 | 345,720 | 0.8% |
United States Treasury Note/Bond | 0.875% | 7/15/18 | 331,960 | 333,776 | 0.7% |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 321,394 | 329,680 | 0.7% |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 321,935 | 323,645 | 0.7% |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 312,770 | 318,731 | 0.7% |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 314,972 | 315,315 | 0.7% |
United States Treasury Note/Bond | 1.000% | 9/15/18 | 312,335 | 314,871 | 0.7% |
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Short-Term Bond Index Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
United States Treasury Note/Bond | 1.500% | 8/31/18 | 308,780 | 314,665 | 0.7% | |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 314,520 | 314,422 | 0.7% | |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 311,355 | 312,619 | 0.7% | |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 308,210 | 308,931 | 0.7% | |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 294,605 | 302,568 | 0.7% | |
United States Treasury Note/Bond | 0.875% | 8/15/17 | 298,815 | 299,936 | 0.7% | |
United States Treasury Note/Bond | 0.875% | 6/15/17 | 295,100 | 296,159 | 0.7% | |
United States Treasury Note/Bond | 1.000% | 3/15/18 | 292,509 | 294,521 | 0.7% | |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 291,295 | 292,705 | 0.6% | |
United States Treasury Note/Bond | 1.375% | 1/31/21 | 277,010 | 281,944 | 0.6% | |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 279,970 | 280,188 | 0.6% | |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 277,354 | 277,917 | 0.6% | |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 268,390 | 275,183 | 0.6% | |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 270,390 | 274,530 | 0.6% | |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 250,465 | 257,626 | 0.6% | |
United States Treasury Note/Bond | 1.000% | 5/15/18 | 254,995 | 256,948 | 0.6% | |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 249,746 | 254,077 | 0.6% | |
U.S. Government SecuritiesOther | 5,993,115 | 13.3% | ||||
26,781,832 | 59.6% | |||||
Agency Bonds and Notes | ||||||
1 Federal Home Loan Banks | 0.625%5.625% | 8/1/176/11/21 | 482,925 | 498,697 | 1.1% | |
2 Federal Home Loan | ||||||
Mortgage Corp. | 0.750%5.500% | 7/14/175/1/20 | 625,573 | 635,236 | 1.4% | |
2 Federal National | ||||||
Mortgage Assn. | 0.000%1.875% | 8/28/172/26/21 | 840,670 | 849,400 | 1.9% | |
Agency Bonds and NotesOther | 152,874 | 0.4% | ||||
2,136,207 | 4.8% | |||||
Total U.S. Government and Agency Obligations (Cost $28,534,040) | 28,918,039 | 64.4% | ||||
Corporate Bonds | ||||||
Finance | ||||||
3 Banking | 4,130,561 | 9.2% | ||||
3 Brokerage | 117,963 | 0.3% | ||||
3 Finance Companies | 165,784 | 0.4% | ||||
Insurance | 449,119 | 1.0% | ||||
Real Estate Investment Trusts | 238,394 | 0.5% | ||||
5,101,821 | 11.4% | |||||
Industrial | ||||||
Basic Industry | 299,710 | 0.7% | ||||
3 Capital Goods | 643,862 | 1.4% | ||||
3 Communication | 808,171 | 1.8% | ||||
Consumer Cyclical | 975,896 | 2.2% | ||||
3 Consumer Noncyclical | 1,749,668 | 3.9% | ||||
Energy | 1,011,503 | 2.2% | ||||
Other Industrial | 3,664 | 0.0% | ||||
3 Technology | 927,141 | 2.1% | ||||
3 Transportation | 138,525 | 0.3% | ||||
6,558,140 | 14.6% | |||||
Utilities | ||||||
3 Electric | 625,282 | 1.4% | ||||
Natural Gas | 53,077 | 0.1% | ||||
Other Utility | 212 | 0.0% | ||||
678,571 | 1.5% | |||||
Total Corporate Bonds (Cost $12,154,916) | 12,338,532 | 27.5% |
13
Short-Term Bond Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
($000) | Assets | |||
3Sovereign Bonds (U.S. Dollar-Denominated) (Cost $3,357,726) | 3,401,676 | 7.6% | ||
Taxable Municipal Bonds (Cost $51,488) | 52,550 | 0.1% | ||
Coupon | Shares | |||
Temporary Cash Investment | ||||
Money Market Fund | ||||
4 Vanguard Market Liquidity Fund | ||||
(Cost $418,887) | 0.538% | 418,886,758 | 418,887 | 0.9% |
Total Investments (Cost $44,517,057) | 45,129,684 | 100.5% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 3,680 | |||
Receivables for Investment Securities Sold | 623,586 | |||
Receivables for Accrued Income | 209,935 | |||
Receivables for Capital Shares Issued | 28,622 | |||
Total Other Assets | 865,823 | 1.9% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (1,039,024) | |||
Payables for Capital Shares Redeemed | (35,326) | |||
Payables for Distributions | (3,552) | |||
Payables to Vanguard | (14,518) | |||
Other Liabilities | (1,600) | |||
Total Liabilities | (1,094,020) | (2.4%) | ||
Net Assets | 44,901,487 | 100.0% | ||
At June 30, 2016, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 44,263,997 | |||
Undistributed Net Investment Income | 22,734 | |||
Accumulated Net Realized Gains | 2,129 | |||
Unrealized Appreciation (Depreciation) | 612,627 | |||
Net Assets | 44,901,487 | |||
Investor SharesNet Assets | ||||
Applicable to 211,731,384 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,249,288 | |||
Net Asset Value Per ShareInvestor Shares | $10.62 | |||
ETF SharesNet Assets | ||||
Applicable to 227,912,541 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 18,468,391 | |||
Net Asset Value Per ShareETF Shares | $81.03 |
14
Short-Term Bond Index Fund | |
Amount | |
($000) | |
Admiral SharesNet Assets | |
Applicable to 1,452,596,676 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 15,431,396 |
Net Asset Value Per ShareAdmiral Shares | $10.62 |
Institutional SharesNet Assets | |
Applicable to 448,056,075 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,759,839 |
Net Asset Value Per ShareInstitutional Shares | $10.62 |
Institutional Plus SharesNet Assets | |
Applicable to 375,830,800 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 3,992,573 |
Net Asset Value Per ShareInstitutional Plus Shares | $10.62 |
See Note A in Notes to Financial Statements.
Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
3 Certain of the funds securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate value of these securities was $343,159,000, representing 0.8% of net assets.
4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Short-Term Bond Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 332,844 |
Total Income | 332,844 |
Expenses | |
The Vanguard GroupNote B | |
Investment Advisory Services | 579 |
Management and AdministrativeInvestor Shares | 1,470 |
Management and AdministrativeETF Shares | 6,820 |
Management and AdministrativeAdmiral Shares | 5,082 |
Management and AdministrativeInstitutional Shares | 1,217 |
Management and AdministrativeInstitutional Plus Shares | 638 |
Marketing and DistributionInvestor Shares | 267 |
Marketing and DistributionETF Shares | 501 |
Marketing and DistributionAdmiral Shares | 803 |
Marketing and DistributionInstitutional Shares | 74 |
Marketing and DistributionInstitutional Plus Shares | 36 |
Custodian Fees | 118 |
Shareholders ReportsInvestor Shares | 32 |
Shareholders ReportsETF Shares | 131 |
Shareholders ReportsAdmiral Shares | 212 |
Shareholders ReportsInstitutional Shares | 11 |
Shareholders ReportsInstitutional Plus Shares | 9 |
Trustees Fees and Expenses | 14 |
Total Expenses | 18,014 |
Net Investment Income | 314,830 |
Realized Net Gain (Loss) on Investment Securities Sold | 12,264 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 777,165 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,104,259 |
1 Interest income from an affiliated company of the fund was $579,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
Short-Term Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 314,830 | 528,106 |
Realized Net Gain (Loss) | 12,264 | 46,704 |
Change in Unrealized Appreciation (Depreciation) | 777,165 | (219,526) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,104,259 | 355,284 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (15,473) | (30,328) |
ETF Shares | (107,897) | (213,621) |
Admiral Shares | (106,824) | (183,186) |
Institutional Shares | (34,444) | (59,798) |
Institutional Plus Shares | (27,486) | (41,145) |
Realized Capital Gain1 | ||
Investor Shares | | (2,326) |
ETF Shares | | (16,283) |
Admiral Shares | | (13,790) |
Institutional Shares | | (4,296) |
Institutional Plus Shares | | (3,151) |
Total Distributions | (292,124) | (567,924) |
Capital Share Transactions | ||
Investor Shares | (98,760) | (350,525) |
ETF Shares | 717,645 | 1,832,192 |
Admiral Shares | 499,058 | 1,526,203 |
Institutional Shares | 169,413 | 22,761 |
Institutional Plus Shares | 422,671 | 1,006,832 |
Net Increase (Decrease) from Capital Share Transactions | 1,710,027 | 4,037,463 |
Total Increase (Decrease) | 2,522,162 | 3,824,823 |
Net Assets | ||
Beginning of Period | 42,379,325 | 38,554,502 |
End of Period2 | 44,901,487 | 42,379,325 |
1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $0 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net AssetsEnd of Period includes undistributed (overdistributed) net investment income of $22,734,000 and $28,000.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Short-Term Bond Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.43 | $10.48 | $10.49 | $10.63 | $10.61 | $10.55 |
Investment Operations | ||||||
Net Investment Income | .071 | .130 | .116 | .116 | .153 | .193 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .190 | (.040) | .005 | (.109) | .052 | .117 |
Total from Investment Operations | .261 | .090 | .121 | .007 | .205 | .310 |
Distributions | ||||||
Dividends from Net Investment Income | (. 071) | (.130) | (.116) | (.116) | (.153) | (.193) |
Distributions from Realized Capital Gains | — | (. 010) | (. 015) | (. 031) | (. 032) | (. 057) |
Total Distributions | (. 071) | (.140) | (.131) | (.147) | (.185) | (. 250) |
Net Asset Value, End of Period | $10.62 | $10.43 | $10.48 | $10.49 | $10.63 | $10.61 |
Total Return1 | 2.51% | 0.85% | 1.16% | 0.07% | 1.95% | 2.96% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,249 | $2,307 | $2,667 | $3,003 | $3,185 | $3,802 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.16% | 0.16% | 0.20% | 0.20% | 0.20% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.36% | 1.23% | 1.10% | 1.09% | 1.44% | 1.81% |
Portfolio Turnover Rate2 | 51% | 52% | 45% | 50% | 51% | 67% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Short-Term Bond Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $79.49 | $79.87 | $79.89 | $80.94 | $80.80 | $80.35 |
Investment Operations | ||||||
Net Investment Income | .571 | 1.039 | .959 | .950 | 1.239 | 1.538 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.440 | (.303) | .094 | (.813) | .384 | .885 |
Total from Investment Operations | 2.011 | .736 | 1.053 | .137 | 1.623 | 2.423 |
Distributions | ||||||
Dividends from Net Investment Income | (.471) | (1.039) | (.959) | (.950) | (1.239) | (1.538) |
Distributions from Realized Capital Gains — | (. 077) | (.114) | (. 237) | (. 244) | (. 435) | |
Total Distributions | (.471) | (1.116) | (1.073) | (1.187) | (1.483) | (1.973) |
Net Asset Value, End of Period | $81.03 | $79.49 | $79.87 | $79.89 | $80.94 | $80.80 |
Total Return | 2.54% | 0.92% | 1.32% | 0.17% | 2.02% | 3.04% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $18,468 | $17,402 | $15,655 | $13,926 | $9,292 | $7,482 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.09% | 0.10% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.44% | 1.30% | 1.20% | 1.19% | 1.54% | 1.92% |
Portfolio Turnover Rate1 | 51% | 52% | 45% | 50% | 51% | 67% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Short-Term Bond Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.43 | $10.48 | $10.49 | $10.63 | $10.61 | $10.55 |
Investment Operations | ||||||
Net Investment Income | .075 | .137 | .126 | .127 | .164 | .205 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .190 | (.040) | .005 | (.109) | .052 | .117 |
Total from Investment Operations | .265 | .097 | .131 | .018 | .216 | .322 |
Distributions | ||||||
Dividends from Net Investment Income | (. 075) | (.137) | (.126) | (.127) | (.164) | (. 205) |
Distributions from Realized Capital Gains — | (. 010) | (. 015) | (. 031) | (. 032) | (. 057) | |
Total Distributions | (. 075) | (.147) | (.141) | (.158) | (.196) | (. 262) |
Net Asset Value, End of Period | $10.62 | $10.43 | $10.48 | $10.49 | $10.63 | $10.61 |
Total Return1 | 2.55% | 0.92% | 1.26% | 0.17% | 2.05% | 3.08% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $15,431 | $14,662 | $13,212 | $5,035 | $4,401 | $4,094 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.09% | 0.10% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.44% | 1.30% | 1.20% | 1.19% | 1.54% | 1.92% |
Portfolio Turnover Rate2 | 51% | 52% | 45% | 50% | 51% | 67% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Short-Term Bond Index Fund | |||||||
Financial Highlights | |||||||
Institutional Shares | |||||||
Six Months | Sept. 27, | ||||||
Ended | 20111 to | ||||||
Year Ended December 31, | |||||||
For a Share Outstanding | June 30, | Dec. 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $10.43 | $10.48 | $10.49 | $10.63 | $10.61 | $10.66 | |
Investment Operations | |||||||
Net Investment Income | .076 | .140 | .130 | .130 | .167 | .050 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | .190 | (. 040) | . 005 | (.109) | . 052 | (. 001) | |
Total from Investment Operations | .266 | .100 | .135 | .021 | .219 | .049 | |
Distributions | |||||||
Dividends from Net Investment Income | (. 076) | (.140) | (.130) | (.130) | (.167) | (. 050) | |
Distributions from Realized Capital Gains | | (. 010) | (. 015) | (. 031) | (. 032) | (. 049) | |
Total Distributions | (. 076) | (.150) | (.145) | (.161) | (.199) | (. 099) | |
Net Asset Value, End of Period | $10.62 | $10.43 | $10.48 | $10.49 | $10.63 | $10.61 | |
Total Return | 2.56% | 0.95% | 1.29% | 0.20% | 2.08% | 0.47% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $4,760 | $4,506 | $4,505 | $3,282 | $2,652 | $843 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.06% | 0.06% | 0.07% | 0.07% | 0.07% | 0.07%2 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.46% | 1.33% | 1.23% | 1.22% | 1.57% | 1.96%2 | |
Portfolio Turnover Rate 3 | 51% | 52% | 45% | 50% | 51% | 67% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the funds capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Short-Term Bond Index Fund | |||||||
Financial Highlights | |||||||
Institutional Plus Shares | |||||||
Six Months | Sept. 29, | ||||||
Ended | 20111 to | ||||||
Year Ended December 31, | |||||||
For a Share Outstanding | June 30, | Dec. 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $10.43 | $10.48 | $10.49 | $10.63 | $10.61 | $10.66 | |
Investment Operations | |||||||
Net Investment Income | .077 | .142 | .132 | .132 | .169 | .051 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | .190 | (. 040) | . 005 | (.109) | . 052 | (. 001) | |
Total from Investment Operations | .267 | .102 | .137 | .023 | .221 | .050 | |
Distributions | |||||||
Dividends from Net Investment Income | (. 077) | (.142) | (.132) | (.132) | (.169) | (. 051) | |
Distributions from Realized Capital Gains | | (. 010) | (. 015) | (. 031) | (. 032) | (. 049) | |
Total Distributions | (. 077) | (.152) | (.147) | (.163) | (. 201) | (.100) | |
Net Asset Value, End of Period | $10.62 | $10.43 | $10.48 | $10.49 | $10.63 | $10.61 | |
Total Return | 2.57% | 0.97% | 1.31% | 0.22% | 2.10% | 0.47% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $3,993 | $3,502 | $2,515 | $1,868 | $1,103 | $711 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.04% | 0.04% | 0.05% | 0.05% | 0.05% | 0.05%2 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 1.48% | 1.35% | 1.25% | 1.24% | 1.59% | 1.98%2 | |
Portfolio Turnover Rate 3 | 51% | 52% | 45% | 50% | 51% | 67% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the funds capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
22
Short-Term Bond Index Fund
Notes to Financial Statements
Vanguard Short-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2012–2015), and for the period ended June 30, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings,
23
Short-Term Bond Index Fund
if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $3,680,000, representing 0.01% of the fund’s net assets and 1.47% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
24
Short-Term Bond Index Fund
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 28,918,039 | — |
Corporate Bonds | — | 12,338,532 | — |
Sovereign Bonds | — | 3,401,676 | — |
Taxable Municipal Bonds | — | 52,550 | — |
Temporary Cash Investments | 418,887 | — | — |
Total | 418,887 | 44,710,797 | — |
D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
During the six months ended June 30, 2016, the fund realized $10,135,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
At June 30, 2016, the cost of investment securities for tax purposes was $44,517,057,000. Net unrealized appreciation of investment securities for tax purposes was $612,627,000, consisting of unrealized gains of $622,085,000 on securities that had risen in value since their purchase and $9,458,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2016, the fund purchased $3,902,223,000 of investment securities and sold $2,468,330,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $10,045,957,000 and $9,566,853,000, respectively. Total purchases and sales include $1,579,236,000 and $874,559,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
25
Short-Term Bond Index Fund
F. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 297,868 | 28,281 | 656,917 | 62,463 |
Issued in Lieu of Cash Distributions | 13,619 | 1,291 | 28,303 | 2,692 |
Redeemed | (410,247) | (38,944) | (1,035,745) | (98,434) |
Net Increase (Decrease)—Investor Shares | (98,760) | (9,372) | (350,525) | (33,279) |
ETF Shares | ||||
Issued | 1,604,283 | 20,000 | 3,163,771 | 39,500 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (886,638) | (11,000) | (1,331,579) | (16,600) |
Net Increase (Decrease)—ETF Shares | 717,645 | 9,000 | 1,832,192 | 22,900 |
Admiral Shares | ||||
Issued | 2,524,678 | 239,652 | 5,402,211 | 513,722 |
Issued in Lieu of Cash Distributions | 92,497 | 8,767 | 169,734 | 16,145 |
Redeemed | (2,118,117) | (201,075) | (4,045,742) | (384,837) |
Net Increase (Decrease)—Admiral Shares | 499,058 | 47,344 | 1,526,203 | 145,030 |
Institutional Shares | ||||
Issued | 910,396 | 86,489 | 2,055,471 | 195,516 |
Issued in Lieu of Cash Distributions | 31,753 | 3,010 | 58,533 | 5,567 |
Redeemed | (772,736) | (73,283) | (2,091,243) | (198,930) |
Net Increase (Decrease)—Institutional Shares | 169,413 | 16,216 | 22,761 | 2,153 |
Institutional Plus Shares | ||||
Issued | 520,432 | 49,428 | 1,442,064 | 137,165 |
Issued in Lieu of Cash Distributions | 24,999 | 2,369 | 39,926 | 3,799 |
Redeemed | (122,760) | (11,642) | (475,158) | (45,207) |
Net Increase (Decrease)—Institutional Plus Shares | 422,671 | 40,155 | 1,006,832 | 95,757 |
G. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
26
Intermediate-Term Bond Index Fund | |||||
Fund Profile | |||||
As of June 30, 2016 | |||||
Share-Class Characteristics | |||||
Investor | Admiral | Institutional | Institutional | ||
Shares | ETF Shares | Shares | Shares | Plus Shares | |
Ticker Symbol | VBIIX | BIV | VBILX | VBIMX | VBIUX |
Expense Ratio1 | 0.16% | 0.09% | 0.09% | 0.06% | 0.04% |
30-Day SEC Yield | 1.99% | 2.08% | 2.08% | 2.09% | 2.10% |
Financial Attributes | |||
Barclays | |||
5–10 Year | |||
Gov/ | Barclays | ||
Credit | Aggregate | ||
Float Adj | Float Adj | ||
Fund | Index | Index | |
Number of Bonds | 1,911 | 2,103 | 9,796 |
Yield to Maturity | |||
(before expenses) | 2.0% | 2.0% | 1.9% |
Average Coupon | 2.9% | 2.9% | 3.1% |
Average Duration | 6.5 years | 6.6 years | 5.8 years |
Average Effective | |||
Maturity | 7.3 years | 7.2 years | 8.0 years |
Short-Term | |||
Reserves | 0.9% | — | — |
Sector Diversification (% of portfolio) | |||
Finance | 12.7% | ||
Foreign | 6.6 | ||
Industrial | 25.7 | ||
Treasury/Agency | 52.6 | ||
Utilities | 2.3 | ||
Other | 0.1 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | ||
5–10 Year | ||
Gov/ | ||
Credit | Barclays | |
Float Adj | Aggregate Float | |
Index | Adj Index | |
R-Squared | 0.99 | 0.97 |
Beta | 1.04 | 1.43 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Credit Quality (% of portfolio)
U.S. Government | 52.6% |
Aaa | 2.9 |
Aa | 4.2 |
A | 16.4 |
Baa | 23.9 |
Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 0.1% |
1 - 3 Years | 0.1 |
3 - 5 Years | 3.5 |
5 - 10 Years | 96.3 |
1 The expense ratios shown are from the prospectus dated April 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.16% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, 0.06% for Institutional Shares, and 0.04% for Institutional Plus Shares.
27
Intermediate-Term Bond Index Fund
28
Intermediate-Term Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016 | ||||
Spliced | ||||
Barclays | ||||
5–10 Year | ||||
Gov/Credit | ||||
Investor Shares | FA Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 4.97% | -1.06% | 3.91% | 3.81% |
2007 | 5.17 | 2.44 | 7.61 | 7.55 |
2008 | 4.93 | 0.00 | 4.93 | 5.06 |
2009 | 4.69 | 2.10 | 6.79 | 6.50 |
2010 | 4.26 | 5.11 | 9.37 | 9.44 |
2011 | 4.01 | 6.61 | 10.62 | 10.79 |
2012 | 3.23 | 3.68 | 6.91 | 7.22 |
2013 | 2.71 | -6.25 | -3.54 | -3.37 |
2014 | 2.91 | 3.94 | 6.85 | 6.91 |
2015 | 2.62 | -1.41 | 1.21 | 1.28 |
2016 | 1.33 | 5.51 | 6.84 | 6.93 |
For a benchmark description, see the Glossary. | ||||
Note: For 2016, performance data reflect the six months ended June 30, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||||
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 3/1/1994 | 7.65% | 4.94% | 3.85% | 2.44% | 6.29% |
ETF Shares | 4/3/2007 | |||||
Market Price | 8.04 | 5.05 | 6.111 | |||
Net Asset Value | 7.73 | 5.04 | 6.091 | |||
Admiral Shares | 11/12/2001 | 7.71 | 5.04 | 3.95 | 2.44 | 6.39 |
Institutional Shares | 1/26/2006 | 7.74 | 5.07 | 3.99 | 2.44 | 6.43 |
Institutional Plus Shares | 11/30/2011 | 7.76 | — | 3.031 | 1.421 | 4.451 |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
29
Intermediate-Term Bond Index Fund
Financial Statements (unaudited)
Statement of Net AssetsInvestments Summary
As of June 30, 2016
This Statement summarizes the funds holdings by asset type. Details are reported for each of the funds 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the funds net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the funds holdings is available electronically on vanguard.com and on the Securities and Exchange Commissions website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the funds Forms N-Q on the SECs website. Forms N-Q may also be reviewed and copied at the SECs Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | |||
Maturity | Amount | Value | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
U.S. Government and Agency Obligations | |||||
U.S. Government Securities | |||||
United States Treasury Note/Bond | 2.500% | 8/15/23 | 750,860 | 813,512 | 2.9% |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 733,805 | 757,199 | 2.7% |
United States Treasury Note/Bond | 1.625% | 2/15/26 | 646,664 | 654,243 | 2.4% |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 575,382 | 634,359 | 2.3% |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 573,405 | 605,837 | 2.2% |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 513,872 | 520,455 | 1.9% |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 482,252 | 514,727 | 1.9% |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 456,869 | 496,347 | 1.8% |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 449,882 | 470,477 | 1.7% |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 419,451 | 451,631 | 1.6% |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 414,024 | 441,776 | 1.6% |
United States Treasury Note/Bond | 2.000% | 2/15/25 | 421,836 | 441,476 | 1.6% |
United States Treasury Note/Bond | 2.000% | 11/30/22 | 354,950 | 371,533 | 1.3% |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 302,773 | 334,328 | 1.2% |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 286,378 | 301,860 | 1.1% |
United States Treasury Note/Bond | 1.750% | 4/30/22 | 291,545 | 301,294 | 1.1% |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 293,185 | 300,148 | 1.1% |
United States Treasury Note/Bond | 1.875% | 11/30/21 | 271,828 | 283,125 | 1.0% |
United States Treasury Note/Bond | 1.625% | 5/31/23 | 275,300 | 281,580 | 1.0% |
United States Treasury Note/Bond | 1.875% | 8/31/22 | 264,564 | 275,065 | 1.0% |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 251,645 | 263,872 | 1.0% |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 251,510 | 263,457 | 1.0% |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 239,520 | 252,320 | 0.9% |
United States Treasury Note/Bond | 1.750% | 1/31/23 | 243,490 | 250,985 | 0.9% |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 233,960 | 245,110 | 0.9% |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 216,573 | 238,297 | 0.9% |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 210,831 | 222,228 | 0.8% |
United States Treasury Note/Bond | 1.750% | 3/31/22 | 207,992 | 214,947 | 0.8% |
30
Intermediate-Term Bond Index Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
United States Treasury Note/Bond | 1.750% | 2/28/22 | 200,611 | 207,382 | 0.7% |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 197,020 | 206,410 | 0.7% |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 196,535 | 203,107 | 0.7% |
United States Treasury Note/Bond | 2.000% | 7/31/22 | 181,200 | 189,751 | 0.7% |
United States Treasury Note/Bond | 2.125% | 12/31/21 | 173,284 | 182,733 | 0.7% |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 169,555 | 179,676 | 0.6% |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 171,817 | 176,219 | 0.6% |
United States Treasury Note/Bond | 1.500% | 1/31/22 | 168,100 | 171,541 | 0.6% |
United States Treasury Note/Bond | 1.875% | 5/31/22 | 157,170 | 163,505 | 0.6% |
United States Treasury Note/Bond | 1.500% | 2/28/23 | 155,120 | 157,447 | 0.6% |
United States Treasury Note/Bond | 1.500% | 3/31/23 | 128,010 | 129,870 | 0.5% |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 108,058 | 113,224 | 0.4% |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 100,100 | 104,839 | 0.4% |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 76,500 | 102,557 | 0.4% |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 90,615 | 101,433 | 0.4% |
United States Treasury Note/Bond | 2.125% | 12/31/22 | 95,274 | 100,455 | 0.4% |
United States Treasury Note/Bond | 1.750% | 9/30/22 | 87,965 | 90,769 | 0.3% |
United States Treasury Note/Bond | 1.875% | 10/31/22 | 76,915 | 79,944 | 0.3% |
United States Treasury Note/Bond | 2.125% | 6/30/22 | 70,130 | 73,965 | 0.3% |
United States Treasury | |||||
Note/Bond | 1.125%–8.125% | 11/15/20–6/30/23 | 198,947 | 239,522 | 0.8% |
14,176,537 | 51.3% | ||||
Agency Bonds and Notes | |||||
1 Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 95,450 | 101,056 | 0.4% |
1 Federal National Mortgage Assn. | 2.625% | 9/6/24 | 69,895 | 75,062 | 0.3% |
Agency Bonds and Notes—Other † | 181,431 | 0.6% | |||
357,549 | 1.3% | ||||
Total U.S. Government and Agency Obligations (Cost $13,869,817) | 14,534,086 | 52.6% | |||
Corporate Bonds | |||||
Finance | |||||
2 Banking † | 2,202,424 | 8.0% | |||
Brokerage † | 145,770 | 0.5% | |||
2 Finance Companies † | 40,668 | 0.1% | |||
Insurance † | 566,341 | 2.1% | |||
Other Finance † | 1,357 | 0.0% | |||
Real Estate Investment Trusts † | 516,749 | 1.9% | |||
3,473,309 | 12.6% | ||||
Industrial | |||||
Basic Industry † | 436,511 | 1.6% | |||
2 Capital Goods † | 531,294 | 1.9% | |||
2 Communication † | 940,044 | 3.4% | |||
2 Consumer Cyclical † | 901,398 | 3.3% | |||
Consumer Noncyclical | |||||
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 84,817 | 90,647 | 0.3% |
2 Consumer Noncyclical—Other † | 1,737,243 | 6.3% | |||
2 Energy † | 1,105,726 | 4.0% | |||
Other Industrial † | 34,495 | 0.1% | |||
2 Technology † | 977,719 | 3.5% | |||
2 Transportation † | 246,569 | 0.9% | |||
7,001,646 | 25.3% |
31
Intermediate-Term Bond Index Fund | ||||
Market | Percentage | |||
Value• | of Net | |||
($000) | Assets | |||
Utilities | ||||
2 Electric † | 574,329 | 2.1% | ||
Natural Gas † | 49,089 | 0.2% | ||
Other Utility † | 9,959 | 0.0% | ||
633,377 | 2.3% | |||
Total Corporate Bonds (Cost $10,646,101) | 11,108,332 | 40.2% | ||
Sovereign Bonds (U.S. Dollar-Denominated) (Cost $1,667,731) † | 1,735,869 | 6.3% | ||
Taxable Municipal Bonds (Cost $61,002) † | 63,561 | 0.3% | ||
Coupon | Shares | |||
Temporary Cash Investment | ||||
Money Market Fund | ||||
3 Vanguard Market Liquidity Fund | ||||
(Cost $255,883) | 0.538% | 255,883,474 | 255,883 | 0.9% |
Total Investments (Cost $26,500,534) | 27,697,731 | 100.3% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 2,142 | |||
Receivables for Investment Securities Sold | 249,278 | |||
Receivables for Accrued Income | 191,189 | |||
Receivables for Capital Shares Issued | 18,781 | |||
Other Assets | 4,313 | |||
Total Other Assets | 465,703 | 1.7% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (502,828) | |||
Payables for Capital Shares Redeemed | (17,534) | |||
Payables for Distributions | (5,302) | |||
Payables to Vanguard | (11,643) | |||
Other Liabilities | (2,796) | |||
Total Liabilities | (540,103) | (2.0%) | ||
Net Assets | 27,623,331 | 100.0% |
32
Intermediate-Term Bond Index Fund | |
At June 30, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 26,365,905 |
Undistributed Net Investment Income | 20,622 |
Accumulated Net Realized Gains | 39,607 |
Unrealized Appreciation (Depreciation) | 1,197,197 |
Net Assets | 27,623,331 |
Investor SharesNet Assets | |
Applicable to 129,162,414 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,534,991 |
Net Asset Value Per ShareInvestor Shares | $11.88 |
ETF SharesNet Assets | |
Applicable to 116,754,060 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 10,246,441 |
Net Asset Value Per ShareETF Shares | $87.76 |
Admiral SharesNet Assets | |
Applicable to 998,537,011 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 11,866,794 |
Net Asset Value Per ShareAdmiral Shares | $11.88 |
Institutional SharesNet Assets | |
Applicable to 218,464,122 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,596,263 |
Net Asset Value Per ShareInstitutional Shares | $11.88 |
Institutional Plus SharesNet Assets | |
Applicable to 116,023,401 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,378,842 |
Net Asset Value Per ShareInstitutional Plus Shares | $11.88 |
See Note A in Notes to Financial Statements.
Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
2 Certain of the funds securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate value of these securities was $320,489,000, representing 1.2% of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
33
Intermediate-Term Bond Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 330,687 |
Total Income | 330,687 |
Expenses | |
The Vanguard GroupNote B | |
Investment Advisory Services | 326 |
Management and AdministrativeInvestor Shares | 923 |
Management and AdministrativeETF Shares | 3,084 |
Management and AdministrativeAdmiral Shares | 3,790 |
Management and AdministrativeInstitutional Shares | 639 |
Management and AdministrativeInstitutional Plus Shares | 201 |
Marketing and DistributionInvestor Shares | 171 |
Marketing and DistributionETF Shares | 340 |
Marketing and DistributionAdmiral Shares | 587 |
Marketing and DistributionInstitutional Shares | 39 |
Marketing and DistributionInstitutional Plus Shares | 15 |
Custodian Fees | 66 |
Shareholders ReportsInvestor Shares | 22 |
Shareholders ReportsETF Shares | 46 |
Shareholders ReportsAdmiral Shares | 46 |
Shareholders ReportsInstitutional Shares | 18 |
Shareholders ReportsInstitutional Plus Shares | |
Trustees Fees and Expenses | 7 |
Total Expenses | 10,320 |
Net Investment Income | 320,367 |
Realized Net Gain (Loss) on Investment Securities Sold | 48,822 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 1,288,565 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,657,754 |
1 Interest income from an affiliated company of the fund was $328,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
34
Intermediate-Term Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 320,367 | 546,097 |
Realized Net Gain (Loss) | 48,822 | 124,806 |
Change in Unrealized Appreciation (Depreciation) | 1,288,565 | (480,345) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,657,754 | 190,558 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (18,276) | (39,172) |
ETF Shares | (90,957) | (166,921) |
Admiral Shares | (141,650) | (259,863) |
Institutional Shares | (33,287) | (59,475) |
Institutional Plus Shares | (15,579) | (20,662) |
Realized Capital Gain1 | ||
Investor Shares | | (4,780) |
ETF Shares | | (25,139) |
Admiral Shares | | (33,743) |
Institutional Shares | | (8,007) |
Institutional Plus Shares | | (3,358) |
Total Distributions | (299,749) | (621,120) |
Capital Share Transactions | ||
Investor Shares | 60,028 | (127,837) |
ETF Shares | 2,187,418 | 2,860,225 |
Admiral Shares | 1,216,698 | 1,328,327 |
Institutional Shares | 59,887 | 836,595 |
Institutional Plus Shares | 258,465 | 781,935 |
Net Increase (Decrease) from Capital Share Transactions | 3,782,496 | 5,679,245 |
Total Increase (Decrease) | 5,140,501 | 5,248,683 |
Net Assets | ||
Beginning of Period | 22,482,830 | 17,234,147 |
End of Period2 | 27,623,331 | 22,482,830 |
1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $0 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net AssetsEnd of Period includes undistributed (overdistributed) net investment income of $20,622,000 and $4,000.
See accompanying Notes, which are an integral part of the Financial Statements.
35
Intermediate-Term Bond Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $11.26 | $11.46 | $11.09 | $11.96 | $11.77 | $11.21 |
Investment Operations | ||||||
Net Investment Income | .146 | .302 | .316 | .329 | .370 | .425 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .620 | (.162) | .437 | (.745) | .432 | .738 |
Total from Investment Operations | .766 | .140 | .753 | (.416) | .802 | 1.163 |
Distributions | ||||||
Dividends from Net Investment Income | (.146) | (. 302) | (. 316) | (. 329) | (. 370) | (. 425) |
Distributions from Realized Capital Gains | — | (. 038) | (. 067) | (.125) | (. 242) | (.178) |
Total Distributions | (.146) | (. 340) | (. 383) | (. 454) | (. 612) | (. 603) |
Net Asset Value, End of Period | $11.88 | $11.26 | $11.46 | $11.09 | $11.96 | $11.77 |
Total Return1 | 6.84% | 1.21% | 6.85% | -3.54% | 6.91% | 10.62% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $1,535 | $1,397 | $1,551 | $1,558 | $2,120 | $2,129 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.16% | 0.16% | 0.20% | 0.20% | 0.20% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.53% | 2.62% | 2.76% | 2.84% | 3.07% | 3.65% |
Portfolio Turnover Rate2 | 59% | 51% | 60% | 70% | 65% | 61% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
36
Intermediate-Term Bond Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $82.95 | $84.41 | $81.65 | $88.07 | $86.63 | $82.56 |
Investment Operations | ||||||
Net Investment Income | 1.084 | 2.227 | 2.403 | 2.523 | 2.764 | 3.183 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 4.633 | (1.177) | 3.254 | (5.499) | 3.225 | 5.383 |
Total from Investment Operations | 5.717 | 1.050 | 5.657 | (2.976) | 5.989 | 8.566 |
Distributions | ||||||
Dividends from Net Investment Income | (.907) | (2.227) | (2.403) | (2.523) | (2.764) | (3.183) |
Distributions from Realized Capital Gains — | (.283) | (.494) | (.921) | (1.785) | (1.313) | |
Total Distributions | (.907) | (2.510) | (2.897) | (3.444) | (4.549) | (4.496) |
Net Asset Value, End of Period | $87.76 | $82.95 | $84.41 | $81.65 | $88.07 | $86.63 |
Total Return | 6.93% | 1.23% | 7.00% | -3.44% | 7.02% | 10.62% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $10,246 | $7,569 | $4,858 | $3,695 | $4,356 | $2,781 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.09% | 0.10% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.61% | 2.69% | 2.86% | 2.94% | 3.17% | 3.76% |
Portfolio Turnover Rate1 | 59% | 51% | 60% | 70% | 65% | 61% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
37
Intermediate-Term Bond Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $11.26 | $11.46 | $11.09 | $11.96 | $11.77 | $11.21 |
Investment Operations | ||||||
Net Investment Income | .150 | .309 | .327 | .340 | .381 | .437 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .620 | (.162) | .437 | (.745) | .432 | .738 |
Total from Investment Operations | .770 | .147 | .764 | (.405) | .813 | 1.175 |
Distributions | ||||||
Dividends from Net Investment Income | (.150) | (. 309) | (. 327) | (. 340) | (. 381) | (. 437) |
Distributions from Realized Capital Gains — | (. 038) | (. 067) | (.125) | (. 242) | (.178) | |
Total Distributions | (.150) | (. 347) | (. 394) | (. 465) | (. 623) | (. 615) |
Net Asset Value, End of Period | $11.88 | $11.26 | $11.46 | $11.09 | $11.96 | $11.77 |
Total Return1 | 6.88% | 1.27% | 6.96% | -3.45% | 7.02% | 10.74% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,867 | $10,061 | $8,922 | $5,320 | $6,252 | $5,320 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.09% | 0.10% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.61% | 2.69% | 2.86% | 2.94% | 3.17% | 3.76% |
Portfolio Turnover Rate2 | 59% | 51% | 60% | 70% | 65% | 61% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
38
Intermediate-Term Bond Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $11.26 | $11.46 | $11.09 | $11.96 | $11.77 | $11.21 |
Investment Operations | ||||||
Net Investment Income | .152 | .313 | .331 | .344 | .385 | .442 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .620 | (.162) | .437 | (.745) | .432 | .738 |
Total from Investment Operations | .772 | .151 | .768 | (.401) | .817 | 1.180 |
Distributions | ||||||
Dividends from Net Investment Income | (.152) | (. 313) | (. 331) | (. 344) | (. 385) | (. 442) |
Distributions from Realized Capital Gains — | (. 038) | (. 067) | (.125) | (. 242) | (.178) | |
Total Distributions | (.152) | (. 351) | (. 398) | (. 469) | (. 627) | (. 620) |
Net Asset Value, End of Period | $11.88 | $11.26 | $11.46 | $11.09 | $11.96 | $11.77 |
Total Return | 6.89% | 1.31% | 6.99% | -3.42% | 7.05% | 10.78% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,596 | $2,399 | $1,610 | $1,172 | $1,154 | $689 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.63% | 2.72% | 2.89% | 2.97% | 3.20% | 3.80% |
Portfolio Turnover Rate1 | 59% | 51% | 60% | 70% | 65% | 61% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
39
Intermediate-Term Bond Index Fund | |||||||
Financial Highlights | |||||||
Institutional Plus Shares | |||||||
Six Months | Nov. 30, | ||||||
Ended | 20111 to | ||||||
Year Ended December 31, | |||||||
For a Share Outstanding | June 30, | Dec. 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $11.26 | $11.46 | $11.09 | $11.96 | $11.77 | $11.73 | |
Investment Operations | |||||||
Net Investment Income | .153 | .315 | .333 | .346 | .388 | .072 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | .620 | (.162) | .437 | (.745) | .432 | .178 | |
Total from Investment Operations | .773 | .153 | .770 | (.399) | .820 | .250 | |
Distributions | |||||||
Dividends from Net Investment Income | (.153) | (. 315) | (. 333) | (. 346) | (. 388) | (. 072) | |
Distributions from Realized Capital Gains | | (. 038) | (. 067) | (.125) | (. 242) | (.138) | |
Total Distributions | (.153) | (. 353) | (. 400) | (. 471) | (. 630) | (. 210) | |
Net Asset Value, End of Period | $11.88 | $11.26 | $11.46 | $11.09 | $11.96 | $11.77 | |
Total Return | 6.90% | 1.33% | 7.01% | -3.40% | 7.07% | 1.84% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $1,379 | $1,057 | $293 | $216 | $239 | $107 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.04% | 0.04% | 0.05% | 0.05% | 0.05% | 0.05%2 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 2.65% | 2.74% | 2.91% | 2.99% | 3.22% | 3.82%2 | |
Portfolio Turnover Rate 3 | 59% | 51% | 60% | 70% | 65% | 61% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the funds capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
40
Intermediate-Term Bond Index Fund
Notes to Financial Statements
Vanguard Intermediate-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers five classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, and Institutional Plus Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares, Institutional Shares, and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2012–2015), and for the period ended June 30, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board
41
Intermediate-Term Bond Index Fund
of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $2,142,000, representing 0.01% of the fund’s net assets and 0.86% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
42
Intermediate-Term Bond Index Fund
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 14,534,086 | — |
Corporate Bonds | — | 11,108,332 | — |
Sovereign Bonds | — | 1,735,869 | — |
Taxable Municipal Bonds | — | 63,561 | — |
Temporary Cash Investments | 255,883 | — | — |
Total | 255,883 | 27,441,848 | — |
D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
During the six months ended June 30, 2016, the fund realized $3,453,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. The fund realized losses of $5,762,000 during the period from November 1, 2015, through December 31, 2015, which are deferred and will be treated as realized for tax purposes in fiscal 2016. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016.
At June 30, 2016, the cost of investment securities for tax purposes was $26,500,534,000. Net unrealized appreciation of investment securities for tax purposes was $1,197,197,000, consisting of unrealized gains of $1,212,136,000 on securities that had risen in value since their purchase and $14,939,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2016, the fund purchased $4,139,438,000 of investment securities and sold $2,238,306,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $7,018,252,000 and $5,099,929,000, respectively. Total purchases and sales include $2,192,461,000 and $100,246,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
43
Intermediate-Term Bond Index Fund
F. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 295,427 | 25,487 | 380,583 | 33,072 |
Issued in Lieu of Cash Distributions | 16,913 | 1,454 | 40,424 | 3,521 |
Redeemed | (252,312) | (21,860) | (548,844) | (47,781) |
Net Increase (Decrease)—Investor Shares | 60,028 | 5,081 | (127,837) | (11,188) |
ETF Shares | ||||
Issued | 2,289,054 | 26,700 | 3,643,962 | 42,900 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (101,636) | (1,200) | (783,737) | (9,200) |
Net Increase (Decrease)—ETF Shares | 2,187,418 | 25,500 | 2,860,225 | 33,700 |
Admiral Shares | ||||
Issued | 2,131,490 | 184,129 | 3,065,720 | 266,763 |
Issued in Lieu of Cash Distributions | 121,160 | 10,414 | 253,284 | 22,080 |
Redeemed | (1,035,952) | (89,642) | (1,990,677) | (173,526) |
Net Increase (Decrease)—Admiral Shares | 1,216,698 | 104,901 | 1,328,327 | 115,317 |
Institutional Shares | ||||
Issued | 489,823 | 42,511 | 1,146,086 | 99,666 |
Issued in Lieu of Cash Distributions | 30,209 | 2,597 | 59,082 | 5,153 |
Redeemed | (460,145) | (39,723) | (368,573) | (32,156) |
Net Increase (Decrease)—Institutional Shares | 59,887 | 5,385 | 836,595 | 72,663 |
Institutional Plus Shares | ||||
Issued | 307,790 | 26,451 | 813,400 | 71,027 |
Issued in Lieu of Cash Distributions | 8,249 | 709 | 13,182 | 1,153 |
Redeemed | (57,574) | (5,023) | (44,647) | (3,883) |
Net Increase (Decrease)—Institutional Plus Shares | 258,465 | 22,137 | 781,935 | 68,297 |
G. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
44
Long-Term Bond Index Fund | ||||
Fund Profile | ||||
As of June 30, 2016 | ||||
Share-Class Characteristics | ||||
Investor | Institutional | Institutional | ||
Shares | ETF Shares | Shares | Plus Shares | |
Ticker Symbol | VBLTX | BLV | VBLLX | VBLIX |
Expense Ratio1 | 0.16% | 0.09% | 0.06% | 0.04% |
30-Day SEC Yield | 3.32% | 3.41% | 3.42% | 3.43% |
Financial Attributes | |||
Barclays | |||
Long | |||
Gov/ | Barclays | ||
Credit Aggregate | |||
Float Adj | Float Adj | ||
Fund | Index | Index | |
Number of Bonds | 2,041 | 2,221 | 9,796 |
Yield to Maturity | |||
(before expenses) | 3.4% | 3.4% | 1.9% |
Average Coupon | 4.7% | 4.8% | 3.1% |
Average Duration | 15.6 years | 15.6 years | 5.8 years |
Average Effective | |||
Maturity | 24.3 years | 24.1 years | 8.0 years |
Short-Term | |||
Reserves | 0.9% | — | — |
Sector Diversification (% of portfolio) | |||
Finance | 8.7% | ||
Foreign | 5.1 | ||
Industrial | 34.4 | ||
Treasury/Agency | 40.0 | ||
Utilities | 6.6 | ||
Other | 5.2 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | ||
Long | ||
Gov/ | ||
Credit | Barclays | |
Float Adj | Aggregate Float | |
Index | Adj Index | |
R-Squared | 0.99 | 0.90 |
Beta | 1.05 | 2.84 |
These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months.
Distribution by Credit Quality (% of portfolio)
U.S. Government | 39.9% |
Aaa | 2.0 |
Aa | 6.9 |
A | 22.9 |
Baa | 28.3 |
Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 0.2% |
3 - 5 Years | 0.2 |
5 - 10 Years | 1.0 |
10 - 20 Years | 22.6 |
20 - 30 Years | 73.0 |
Over 30 Years | 3.0 |
1 The expense ratios shown are from the prospectus dated April 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.16% for Investor Shares, 0.08% for ETF Shares, 0.06% for Institutional Shares, and 0.04% for Institutional Plus Shares.
45
Long-Term Bond Index Fund
46
Long-Term Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016 | ||||
Spliced | ||||
Barclays | ||||
Long | ||||
Gov/Credit | ||||
Investor Shares | FA Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 5.29% | -2.62% | 2.67% | 2.71% |
2007 | 5.55 | 1.04 | 6.59 | 6.60 |
2008 | 5.81 | 2.83 | 8.64 | 8.44 |
2009 | 5.27 | -3.51 | 1.76 | 1.92 |
2010 | 5.21 | 5.06 | 10.27 | 10.16 |
2011 | 5.51 | 16.55 | 22.06 | 22.49 |
2012 | 4.23 | 4.26 | 8.49 | 8.79 |
2013 | 3.76 | -12.89 | -9.13 | -8.83 |
2014 | 4.79 | 14.93 | 19.72 | 19.31 |
2015 | 3.73 | -7.20 | -3.47 | -3.31 |
2016 | 2.14 | 12.35 | 14.49 | 14.33 |
For a benchmark description, see the Glossary. | ||||
Note: For 2016, performance data reflect the six months ended June 30, 2016. |
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||||
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 3/1/1994 | 15.98% | 9.11% | 4.91% | 3.47% | 8.38% |
ETF Shares | 4/3/2007 | |||||
Market Price | 16.63 | 9.19 | 8.181 | |||
Net Asset Value | 16.02 | 9.19 | 8.171 | |||
Institutional Shares | 2/2/2006 | 16.08 | 9.24 | 5.05 | 3.47 | 8.52 |
Institutional Plus Shares | 10/6/2011 | 16.11 | — | 4.381 | 2.341 | 6.721 |
1 Return since inception. |
See Financial Highlights for dividend and capital gains information.
47
Long-Term Bond Index Fund
Financial Statements (unaudited)
Statement of Net AssetsInvestments Summary
As of June 30, 2016
This Statement summarizes the funds holdings by asset type. Details are reported for each of the funds 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the funds net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the funds holdings is available electronically on vanguard.com and on the Securities and Exchange Commissions website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the funds Forms N-Q on the SECs website. Forms N-Q may also be reviewed and copied at the SECs Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | |||
Maturity | Amount | Value | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
U.S. Government and Agency Obligations | |||||
U.S. Government Securities | |||||
United States Treasury Note/Bond | 2.875% | 5/15/43 | 176,855 | 198,962 | 2.0% |
United States Treasury Note/Bond | 2.500% | 2/15/45 | 190,277 | 198,274 | 1.9% |
United States Treasury Note/Bond | 2.875% | 8/15/45 | 166,737 | 187,266 | 1.8% |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 144,444 | 186,310 | 1.8% |
United States Treasury Note/Bond | 3.000% | 5/15/45 | 146,360 | 168,360 | 1.7% |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 139,556 | 160,555 | 1.6% |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 120,580 | 159,185 | 1.6% |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 133,640 | 157,654 | 1.5% |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 141,223 | 155,478 | 1.5% |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 116,587 | 143,803 | 1.4% |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 118,838 | 139,988 | 1.4% |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 102,500 | 132,337 | 1.3% |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 119,203 | 131,440 | 1.3% |
United States Treasury Note/Bond | 2.500% | 2/15/46 | 123,413 | 128,620 | 1.3% |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 70,706 | 103,982 | 1.0% |
United States Treasury Note/Bond | 3.000% | 11/15/45 | 85,750 | 98,679 | 1.0% |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 62,680 | 94,108 | 0.9% |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 63,835 | 91,942 | 0.9% |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 65,292 | 77,167 | 0.8% |
United States Treasury Note/Bond | 2.500% | 5/15/46 | 73,700 | 76,890 | 0.8% |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 50,926 | 72,021 | 0.7% |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 46,095 | 65,858 | 0.6% |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 52,597 | 62,204 | 0.6% |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 42,981 | 62,168 | 0.6% |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 43,900 | 58,304 | 0.6% |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 45,537 | 57,490 | 0.6% |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 40,942 | 57,235 | 0.6% |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 38,630 | 54,927 | 0.5% |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 38,805 | 54,376 | 0.5% |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 36,145 | 53,607 | 0.5% |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 32,220 | 50,646 | 0.5% |
48
Long-Term Bond Index Fund | ||||||
Face | Market | Percentage | ||||
Maturity | Amount | Value | of Net | |||
Coupon | Date | ($000) | ($000) | Assets | ||
United States Treasury Note/Bond | 4.375% | 5/15/40 | 33,368 | 47,508 | 0.5% | |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 25,178 | 35,902 | 0.3% | |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 26,950 | 35,195 | 0.3% | |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 22,350 | 32,421 | 0.3% | |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 21,505 | 30,272 | 0.3% | |
United States Treasury Note/Bond | 6.500% | 11/15/26 | 18,620 | 27,590 | 0.3% | |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 17,570 | 26,888 | 0.3% | |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 18,690 | 26,727 | 0.3% | |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 21,915 | 25,332 | 0.2% | |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 13,269 | 20,397 | 0.2% | |
United States Treasury | ||||||
Note/Bond | 1.625%6.750% | 5/15/262/15/37 | 61,614 | 87,970 | 0.9% | |
3,836,038 | 37.7% | |||||
Agency Bonds and Notes | ||||||
1 Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 20,252 | 30,620 | 0.3% | |
1 Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 16,260 | 25,204 | 0.2% | |
1 Federal National Mortgage Assn. | 6.250% | 5/15/29 | 18,180 | 26,458 | 0.3% | |
Agency Bonds and NotesOther | 117,906 | 1.2% | ||||
200,188 | 2.0% | |||||
Total U.S. Government and Agency Obligations (Cost $3,449,878) | 4,036,226 | 39.7% | ||||
Corporate Bonds | ||||||
Finance | ||||||
Banking | ||||||
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 18,440 | 22,762 | 0.2% | |
2 BankingOther | 452,483 | 4.5% | ||||
Brokerage | 14,003 | 0.2% | ||||
Finance Companies | ||||||
2 GE Capital International | ||||||
Funding Co. | 4.418% | 11/15/35 | 38,226 | 42,826 | 0.4% | |
Finance CompaniesOther | 1,179 | 0.0% | ||||
Insurance | ||||||
Berkshire Hathaway | ||||||
Finance Corp. | 4.300%5.750% | 1/15/405/15/43 | 6,980 | 8,412 | 0.1% | |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 3,152 | 3,563 | 0.0% | |
InsuranceOther | 296,285 | 2.9% | ||||
Real Estate Investment Trusts | 30,696 | 0.3% | ||||
872,209 | 8.6% | |||||
Industrial | ||||||
Basic Industry | ||||||
Lubrizol Corp. | 6.500% | 10/1/34 | 925 | 1,237 | 0.0% | |
Basic IndustryOther | 223,514 | 2.2% | ||||
Capital Goods | ||||||
General Electric | ||||||
Capital Corp. | 5.875%6.875% | 3/15/321/10/39 | 30,851 | 43,364 | 0.4% | |
General Electric Co. | 4.125%4.500% | 10/9/423/11/44 | 15,050 | 17,023 | 0.2% | |
Precision Castparts Corp. | 3.900%4.375% | 6/15/356/15/45 | 2,975 | 3,287 | 0.1% | |
2 Capital GoodsOther | 206,664 | 2.0% | ||||
Communication | ||||||
Ameritech Capital | ||||||
Funding Corp. | 6.550% | 1/15/28 | 875 | 1,050 | 0.0% | |
AT&T Corp. | 8.250% | 11/15/31 | 1,846 | 2,677 | 0.0% | |
AT&T Inc. | 4.300%6.550% | 9/15/342/15/47 | 98,776 | 107,211 | 1.1% | |
AT&T Mobility LLC | 7.125% | 12/15/31 | 1,950 | 2,566 | 0.0% |
49
Long-Term Bond Index Fund | |||||
Face | Market | Percentage | |||
Maturity | Amount | Value | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
Bellsouth Capital | |||||
Funding Corp. | 7.875% | 2/15/30 | 2,618 | 3,347 | 0.0% |
BellSouth LLC | 6.000%6.875% 10/15/3111/15/34 | 3,888 | 4,553 | 0.1% | |
BellSouth | |||||
Telecommunications LLC | 6.375% | 6/1/28 | 1,815 | 2,181 | 0.0% |
GTE Corp. | 6.940% | 4/15/28 | 2,225 | 2,877 | 0.0% |
New Cingular Wireless | |||||
Services Inc. | 8.750% | 3/1/31 | 2,585 | 3,860 | 0.1% |
Verizon | |||||
Communications Inc. | 5.012% | 8/21/54 | 19,318 | 20,528 | 0.2% |
Verizon | |||||
Communications Inc. | 3.850%7.750% | 12/1/303/15/55 | 115,744 | 131,370 | 1.3% |
2 CommunicationOther | 437,591 | 4.3% | |||
Consumer Cyclical | 353,930 | 3.5% | |||
Consumer Noncyclical | |||||
Anheuser-Busch InBev | |||||
Finance Inc. | 4.900% | 2/1/46 | 37,416 | 43,882 | 0.4% |
Anheuser-Busch InBev | |||||
Finance Inc. | 4.700% | 2/1/36 | 20,640 | 23,221 | 0.2% |
2 Consumer NoncyclicalOther | 789,806 | 7.8% | |||
Energy | 520,717 | 5.1% | |||
Other Industrial | 25,039 | 0.2% | |||
2 Technology | 286,278 | 2.8% | |||
Transportation | |||||
Burlington Northern | |||||
Santa Fe LLC | 3.900%7.950% | 8/15/308/1/46 | 34,965 | 41,511 | 0.4% |
2 TransportationOther | 154,127 | 1.5% | |||
3,453,411 | 33.9% | ||||
Utilities | |||||
Electric | |||||
Berkshire Hathaway | |||||
Energy Co. | 4.500%8.480% | 9/15/282/1/45 | 16,329 | 21,647 | 0.2% |
MidAmerican Energy Co. | 4.250%6.750% | 12/30/315/1/46 | 7,474 | 9,634 | 0.1% |
MidAmerican Funding LLC | 6.927% | 3/1/29 | 150 | 211 | 0.0% |
Nevada Power Co. | 5.375%6.750% | 4/1/365/15/41 | 4,510 | 5,942 | 0.1% |
PacifiCorp | 4.100%7.700% | 11/15/312/1/42 | 12,328 | 16,528 | 0.1% |
Sierra Pacific Power Co. | 6.750% | 7/1/37 | 885 | 1,267 | 0.0% |
2 ElectricOther | 558,203 | 5.5% | |||
Natural Gas | 40,152 | 0.4% | |||
Other Utility | 10,019 | 0.1% | |||
663,603 | 6.5% | ||||
Total Corporate Bonds (Cost $4,525,352) | 4,989,223 | 49.0% | |||
Sovereign Bonds (U.S. Dollar-Denominated) | |||||
2 Petroleos Mexicanos | 5.500%6.875% | 8/4/261/23/46 | 65,660 | 65,226 | 0.7% |
United Mexican States | 4.600%8.300% | 8/15/3110/12/10 | 68,818 | 81,968 | 0.8% |
Sovereign Bonds (U.S. Dollar-Denominated)Other | 368,380 | 3.6% | |||
Total Sovereign Bonds (Cost $479,974) | 515,574 | 5.1% | |||
Taxable Municipal Bonds | |||||
Illinois GO | 5.100% | 6/1/33 | 24,940 | 23,941 | 0.2% |
Taxable Municipal BondsOther | 484,948 | 4.8% | |||
Total Taxable Municipal Bonds (Cost $416,011) | 508,889 | 5.0% |
50
Long-Term Bond Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
Coupon | Shares | ($000) | Assets | |
Temporary Cash Investment | ||||
Money Market Fund | ||||
3 Vanguard Market Liquidity Fund | ||||
(Cost $94,842) | 0.538% | 94,842,129 | 94,842 | 0.9% |
Total Investments (Cost $8,966,057) | 10,144,754 | 99.7% | ||
Amount | ||||
($000) | ||||
Other Assets and Liabilities | ||||
Other Assets | ||||
Investment in Vanguard | 786 | |||
Receivables for Investment Securities Sold | 137,771 | |||
Receivables for Accrued Income | 102,296 | |||
Receivables for Capital Shares Issued | 6,610 | |||
Other Assets | 20 | |||
Total Other Assets | 247,483 | 2.4% | ||
Liabilities | ||||
Payables for Investment Securities Purchased | (146,018) | |||
Payables for Capital Shares Redeemed | (65,231) | |||
Payables for Distributions | (1,180) | |||
Payables to Vanguard | (4,634) | |||
Other Liabilities | (310) | |||
Total Liabilities | (217,373) | (2.1%) | ||
Net Assets | 10,174,864 | 100.0% | ||
At June 30, 2016, net assets consisted of: | ||||
Amount | ||||
($000) | ||||
Paid-in Capital | 8,995,590 | |||
Undistributed Net Investment Income | 6,684 | |||
Accumulated Net Realized Losses | (6,107) | |||
Unrealized Appreciation (Depreciation) | 1,178,697 | |||
Net Assets | 10,174,864 | |||
Investor SharesNet Assets | ||||
Applicable to 192,413,919 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,854,161 | |||
Net Asset Value Per ShareInvestor Shares | $14.83 | |||
ETF SharesNet Assets | ||||
Applicable to 23,700,000 outstanding $.001 par value shares of | ||||
beneficial interest (unlimited authorization) | 2,319,896 | |||
Net Asset Value Per ShareETF Shares | $97.89 |
51
Long-Term Bond Index Fund | |
Amount | |
($000) | |
Institutional SharesNet Assets | |
Applicable to 147,638,318 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,189,985 |
Net Asset Value Per ShareInstitutional Shares | $14.83 |
Institutional Plus SharesNet Assets | |
Applicable to 189,492,131 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 2,810,822 |
Net Asset Value Per ShareInstitutional Plus Shares | $14.83 |
See Note A in Notes to Financial Statements.
Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
2 Certain of the funds securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate value of these securities was $160,600,000, representing 1.6% of net assets.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GOGeneral Obligation Bond.
See accompanying Notes, which are an integral part of the Financial Statements.
52
Long-Term Bond Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 185,709 |
Total Income | 185,709 |
Expenses | |
The Vanguard GroupNote B | |
Investment Advisory Services | 122 |
Management and AdministrativeInvestor Shares | 1,708 |
Management and AdministrativeETF Shares | 670 |
Management and AdministrativeInstitutional Shares | 580 |
Management and AdministrativeInstitutional Plus Shares | 453 |
Marketing and DistributionInvestor Shares | 262 |
Marketing and DistributionETF Shares | 76 |
Marketing and DistributionInstitutional Shares | 24 |
Marketing and DistributionInstitutional Plus Shares | 28 |
Custodian Fees | 31 |
Shareholders ReportsInvestor Shares | 27 |
Shareholders ReportsETF Shares | 29 |
Shareholders ReportsInstitutional Shares | 1 |
Shareholders ReportsInstitutional Plus Shares | |
Trustees Fees and Expenses | 3 |
Total Expenses | 4,014 |
Net Investment Income | 181,695 |
Realized Net Gain (Loss) on Investment Securities Sold | 31,732 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 1,070,412 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,283,839 |
1 Interest income from an affiliated company of the fund was $119,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
53
Long-Term Bond Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 181,695 | 350,509 |
Realized Net Gain (Loss) | 31,732 | 45,978 |
Change in Unrealized Appreciation (Depreciation) | 1,070,412 | (706,091) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,283,839 | (309,604) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (49,373) | (100,352) |
ETF Shares | (30,629) | (55,668) |
Institutional Shares | (43,256) | (90,148) |
Institutional Plus Shares | (51,744) | (104,350) |
Realized Capital Gain1 | ||
Investor Shares | | (6,417) |
ETF Shares | | (3,905) |
Institutional Shares | | (5,562) |
Institutional Plus Shares | | (6,633) |
Total Distributions | (175,002) | (373,035) |
Capital Share Transactions | ||
Investor Shares | 132,642 | 21,778 |
ETF Shares | 390,460 | 732,728 |
Institutional Shares | (241,019) | 59,656 |
Institutional Plus Shares | (31,783) | 167,830 |
Net Increase (Decrease) from Capital Share Transactions | 250,300 | 981,992 |
Total Increase (Decrease) | 1,359,137 | 299,353 |
Net Assets | ||
Beginning of Period | 8,815,727 | 8,516,374 |
End of Period2 | 10,174,864 | 8,815,727 |
1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $0 and $0 respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net AssetsEnd of Period includes undistributed (overdistributed) net investment income of $6,684,000 and ($9,000).
See accompanying Notes, which are an integral part of the Financial Statements.
54
Long-Term Bond Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $13.20 | $14.26 | $12.41 | $14.27 | $13.91 | $12.04 |
Investment Operations | ||||||
Net Investment Income | . 265 | .546 | .556 | .557 | .570 | .587 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.630 | (1.025) | 1.853 | (1.837) | .591 | 1.991 |
Total from Investment Operations | 1.895 | (.479) | 2.409 | (1.280) | 1.161 | 2.578 |
Distributions | ||||||
Dividends from Net Investment Income | (. 265) | (. 546) | (. 556) | (. 557) | (. 570) | (. 587) |
Distributions from Realized Capital Gains — | (. 035) | (. 003) | (. 023) | (. 231) | (.121) | |
Total Distributions | (. 265) | (. 581) | (. 559) | (. 580) | (. 801) | (.708) |
Net Asset Value, End of Period | $14.83 | $13.20 | $14.26 | $12.41 | $14.27 | $13.91 |
Total Return1 | 14.49% | -3.47% | 19.72% | -9.13% | 8.49% | 22.06% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,854 | $2,415 | $2,594 | $2,019 | $2,904 | $2,727 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.16% | 0.16% | 0.20% | 0.20% | 0.20% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 3.82% | 3.95% | 4.10% | 4.21% | 4.00% | 4.62% |
Portfolio Turnover Rate2 | 44% | 42% | 39% | 50% | 41% | 45% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
55
Long-Term Bond Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $86.80 | $93.73 | $81.45 | $93.73 | $91.40 | $79.07 |
Investment Operations | ||||||
Net Investment Income | 1.745 | 3.565 | 3.639 | 3.813 | 3.790 | 3.904 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 10.808 | (6.700) | 12.300 | (12.129) | 3.851 | 13.127 |
Total from Investment Operations | 12.553 | (3.135) | 15.939 | (8.316) | 7.641 | 17.031 |
Distributions | ||||||
Dividends from Net Investment Income | (1.463) | (3.565) | (3.639) | (3.813) | (3.790) | (3.904) |
Distributions from Realized Capital Gains — | (.230) | (.020) | (.151) | (1.521) | (.797) | |
Total Distributions | (1.463) | (3.795) | (3.659) | (3.964) | (5.311) | (4.701) |
Net Asset Value, End of Period | $97.89 | $86.80 | $93.73 | $81.45 | $93.73 | $91.40 |
Total Return | 14.60% | -3.45% | 19.89% | -9.03% | 8.49% | 22.18% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,320 | $1,693 | $1,068 | $489 | $806 | $512 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.08% | 0.09% | 0.10% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 3.90% | 4.02% | 4.20% | 4.31% | 4.10% | 4.73% |
Portfolio Turnover Rate1 | 44% | 42% | 39% | 50% | 41% | 45% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
56
Long-Term Bond Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $13.20 | $14.26 | $12.41 | $14.27 | $13.91 | $12.04 |
Investment Operations | ||||||
Net Investment Income | . 272 | .560 | .573 | .574 | .589 | .606 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.630 | (1.025) | 1.853 | (1.837) | .591 | 1.991 |
Total from Investment Operations | 1.902 | (.465) | 2.426 | (1.263) | 1.180 | 2.597 |
Distributions | ||||||
Dividends from Net Investment Income | (. 272) | (. 560) | (. 573) | (. 574) | (. 589) | (. 606) |
Distributions from Realized Capital Gains — | (. 035) | (. 003) | (. 023) | (. 231) | (.121) | |
Total Distributions | (. 272) | (. 595) | (. 576) | (. 597) | (. 820) | (.727) |
Net Asset Value, End of Period | $14.83 | $13.20 | $14.26 | $12.41 | $14.27 | $13.91 |
Total Return | 14.55% | -3.37% | 19.87% | -9.01% | 8.63% | 22.24% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $2,190 | $2,174 | $2,283 | $1,784 | $1,576 | $1,174 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.06% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 3.92% | 4.05% | 4.23% | 4.34% | 4.13% | 4.77% |
Portfolio Turnover Rate1 | 44% | 42% | 39% | 50% | 41% | 45% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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Long-Term Bond Index Fund | |||||||
Financial Highlights | |||||||
Institutional Plus Shares | |||||||
Six Months | Oct. 6, | ||||||
Ended | 20111 to | ||||||
Year Ended December 31, | |||||||
For a Share Outstanding | June 30, | Dec. 31, | |||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | |
Net Asset Value, Beginning of Period | $13.20 | $14.26 | $12.41 | $14.27 | $13.91 | $13.69 | |
Investment Operations | |||||||
Net Investment Income | . 274 | .563 | .576 | .577 | .592 | .152 | |
Net Realized and Unrealized Gain (Loss) | |||||||
on Investments | 1.630 | (1.025) | 1.853 | (1.837) | .591 | .341 | |
Total from Investment Operations | 1.904 | (.462) | 2.429 | (1.260) | 1.183 | .493 | |
Distributions | |||||||
Dividends from Net Investment Income | (. 274) | (. 563) | (. 576) | (. 577) | (. 592) | (.152) | |
Distributions from Realized Capital Gains | | (. 035) | (. 003) | (. 023) | (. 231) | (.121) | |
Total Distributions | (. 274) | (. 598) | (. 579) | (. 600) | (. 823) | (. 273) | |
Net Asset Value, End of Period | $14.83 | $13.20 | $14.26 | $12.41 | $14.27 | $13.91 | |
Total Return | 14.56% | -3.35% | 19.89% | -8.99% | 8.65% | 3.64% | |
Ratios/Supplemental Data | |||||||
Net Assets, End of Period (Millions) | $2,811 | $2,533 | $2,571 | $1,444 | $424 | $440 | |
Ratio of Total Expenses to | |||||||
Average Net Assets | 0.04% | 0.04% | 0.05% | 0.05% | 0.05% | 0.05%2 | |
Ratio of Net Investment Income to | |||||||
Average Net Assets | 3.94% | 4.07% | 4.25% | 4.36% | 4.15% | 4.79%2 | |
Portfolio Turnover Rate 3 | 44% | 42% | 39% | 50% | 41% | 45% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the funds capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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Long-Term Bond Index Fund
Notes to Financial Statements
Vanguard Long-Term Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers four classes of shares: Investor Shares, ETF Shares, Institutional Shares, and Institutional Plus Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares and Institutional Plus Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2012–2015), and for the period ended June 30, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of
59
Long-Term Bond Index Fund
Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
5. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $786,000, representing 0.01% of the fund’s net assets and 0.31% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
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Long-Term Bond Index Fund
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 4,036,226 | — |
Corporate Bonds | — | 4,989,223 | — |
Sovereign Bonds | — | 515,574 | — |
Taxable Municipal Bonds | — | 508,889 | — |
Temporary Cash Investments | 94,842 | — | — |
Total | 94,842 | 10,049,912 | — |
D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
During the six months ended June 30, 2016, the fund realized $22,772,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. The fund realized losses of $15,067,000 during the period from November 1, 2015, through December 31, 2015, which are deferred and will be treated as realized for tax purposes in fiscal 2016. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016.
At June 30, 2016, the cost of investment securities for tax purposes was $8,966,057,000. Net unrealized appreciation of investment securities for tax purposes was $1,178,697,000, consisting of unrealized gains of $1,207,467,000 on securities that had risen in value since their purchase and $28,770,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2016, the fund purchased $1,004,005,000 of investment securities and sold $885,190,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $1,473,553,000 and $1,352,520,000, respectively. Total purchases and sales include $416,954,000 and $194,812,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
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Long-Term Bond Index Fund
F. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 368,628 | 26,372 | 583,049 | 41,650 |
Issued in Lieu of Cash Distributions | 43,369 | 3,088 | 93,791 | 6,780 |
Redeemed | (279,355) | (20,088) | (655,062) | (47,308) |
Net Increase (Decrease)—Investor Shares | 132,642 | 9,372 | 21,778 | 1,122 |
ETF Shares | ||||
Issued | 464,082 | 5,000 | 1,217,481 | 13,500 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (73,622) | (800) | (484,753) | (5,400) |
Net Increase (Decrease)—ETF Shares | 390,460 | 4,200 | 732,728 | 8,100 |
Institutional Shares | ||||
Issued | 145,536 | 10,557 | 461,222 | 33,587 |
Issued in Lieu of Cash Distributions | 41,834 | 2,983 | 92,903 | 6,719 |
Redeemed | (428,389) | (30,668) | (494,469) | (35,610) |
Net Increase (Decrease)—Institutional Shares | (241,019) | (17,128) | 59,656 | 4,696 |
Institutional Plus Shares | ||||
Issued | 349,473 | 24,842 | 426,453 | 30,543 |
Issued in Lieu of Cash Distributions | 51,715 | 3,681 | 107,570 | 7,786 |
Redeemed | (432,971) | (30,997) | (366,193) | (26,645) |
Net Increase (Decrease)—Institutional Plus Shares | (31,783) | (2,474) | 167,830 | 11,684 |
G. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2015 | 6/30/2016 | Period | |
Based on Actual Fund Return | |||
Short-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,025.10 | $0.81 |
ETF Shares | 1,000.00 | 1,025.37 | 0.40 |
Admiral Shares | 1,000.00 | 1,025.47 | 0.40 |
Institutional Shares | 1,000.00 | 1,025.61 | 0.30 |
Institutional Plus Shares | 1,000.00 | 1,025.71 | 0.20 |
Intermediate-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,068.39 | $0.82 |
ETF Shares | 1,000.00 | 1,069.31 | 0.41 |
Admiral Shares | 1,000.00 | 1,068.77 | 0.41 |
Institutional Shares | 1,000.00 | 1,068.91 | 0.31 |
Institutional Plus Shares | 1,000.00 | 1,069.01 | 0.21 |
Long-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,144.89 | $0.85 |
ETF Shares | 1,000.00 | 1,145.99 | 0.43 |
Institutional Shares | 1,000.00 | 1,145.45 | 0.32 |
Institutional Plus Shares | 1,000.00 | 1,145.56 | 0.21 |
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Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
12/31/2015 | 6/30/2016 | Period | |
Based on Hypothetical 5% Yearly Return | |||
Short-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,024.07 | $0.81 |
ETF Shares | 1,000.00 | 1,024.47 | 0.40 |
Admiral Shares | 1,000.00 | 1,024.47 | 0.40 |
Institutional Shares | 1,000.00 | 1,024.57 | 0.30 |
Institutional Plus Shares | 1,000.00 | 1,024.66 | 0.20 |
Intermediate-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,024.07 | $0.81 |
ETF Shares | 1,000.00 | 1,024.47 | 0.40 |
Admiral Shares | 1,000.00 | 1,024.47 | 0.40 |
Institutional Shares | 1,000.00 | 1,024.57 | 0.30 |
Institutional Plus Shares | 1,000.00 | 1,024.66 | 0.20 |
Long-Term Bond Index Fund | |||
Investor Shares | $1,000.00 | $1,024.07 | $0.81 |
ETF Shares | 1,000.00 | 1,024.47 | 0.40 |
Institutional Shares | 1,000.00 | 1,024.57 | 0.30 |
Institutional Plus Shares | 1,000.00 | 1,024.66 | 0.20 |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Bond Index Fund, 0.16% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, 0.06% for Institutional Shares, and 0.04% for Institutional Plus Shares; for the Intermediate-Term Bond Index Fund, 0.16% for Investor Shares, 0.08% for ETF Shares, 0.08% for Admiral Shares, 0.06% for Institutional Shares, and 0.04% for Institutional Plus Shares; and for the Long-Term Bond Index Fund, 0.16% for Investor Shares, 0.08% for ETF Shares, 0.06% for Institutional Shares, and 0.04% for Institutional Plus Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
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Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Short-Term Bond Index Fund, Intermediate-Term Bond Index Fund, and Long-Term Bond Index Fund has renewed each fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard)—through its Fixed Income Group. The board determined that continuing the funds’ internalized management structure was in the best interests of each fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of each fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of each advisory arrangement.
Investment performance
The board considered the short- and long-term performance of each fund, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the funds’ most recent performance can be found on the Performance Summary pages of this report.
Cost
The board concluded that each fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that each fund’s advisory fee rate was also well its peer-group average. Information about the funds’ expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements sections.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that each fund’s at-cost arrangement with Vanguard ensures that the funds will realize economies of scale as they grow, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Barclays and are from Moody’s, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. “Not Rated” is used to classify securities for which a rating is not available.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
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R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
Benchmark Information
Spliced Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index: Barclays U.S. 1–5 Year Government/Credit Bond Index through December 31, 2009; Barclays U.S. 1–5 Year Government/Credit Float Adjusted Index thereafter.
Spliced Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index: Barclays U.S. 5–10 Year Government/Credit Bond Index through December 31, 2009; Barclays U.S. 5–10 Year Government/Credit Float Adjusted Index thereafter.
Spliced Barclays U.S. Long Government/Credit Float Adjusted Index: Barclays U.S. Long Government/Credit Bond Index through December 31, 2009; Barclays U.S. Long Government/Credit Float Adjusted Index thereafter.
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The Vanguard funds are not sponsored, endorsed, issued, sold, or promoted by Barclays Capital Inc. or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied, to the owners or purchasers of the funds or any member of the public regarding the advisability of investing in securities generally or in the funds particularly or the ability of the Barclays indexes to track general bond market performance. Barclays has not passed on the legality or suitability of the funds with respect to any person or entity. Barclays’ only relationship to Vanguard and the funds is the licensing of the Barclays indexes, which are determined, composed, and calculated by Barclays without regard to Vanguard or the funds or any owners or purchasers of the funds. Barclays has no obligation to take the needs of Vanguard, the funds, or the owners of the funds into consideration in determining, composing, or calculating the Barclays indexes. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the funds to be issued. Barclays has no obligation or liability in connection with the administration, marketing, or trading of the funds.
Barclays shall have no liability to third parties for the quality, accuracy, and/or completeness of the indexes or any data included therein or for interruptions in the delivery of the indexes. Barclays makes no warranty, express or implied, as to results to be obtained by owners of the funds or any other person or entity from the use of the indexes or any data included therein in connection with the rights licensed hereunder or for any other use. Barclays reserves the right to change the methods of calculation or publication, or to cease the calculation or publication of the Barclays U.S. 1–5 Year Government/ Credit Float Adjusted Index, Barclays U.S. 5–10 Year Government Credit Float Adjusted Index, and Barclays U.S. Long Government/Credit Float Adjusted Index, and Barclays shall not be liable for any miscalculation of or any incorrect, delayed, or interrupted publication with respect to any of the Barclays indexes. Barclays makes no express or implied warranties, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the indexes or any data included therein. Barclays shall not be liable for any damages, including, without limitation, any indirect or consequential damages resulting from the use of the indexes or any data included therein.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your funds trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguards board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 198 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 |
F. William McNabb III |
Born 1957. Trustee Since July 2009. Chairman of |
the Board. Principal Occupation(s) During the Past |
Five Years and Other Experience: Chairman of the |
Board of The Vanguard Group, Inc., and of each of |
the investment companies served by The Vanguard |
Group, since January 2010; Director of The Vanguard |
Group since 2008; Chief Executive Officer and |
President of The Vanguard Group, and of each of |
the investment companies served by The Vanguard |
Group, since 2008; Director of Vanguard Marketing |
Corporation; Managing Director of The Vanguard |
Group (19952008). |
IndependentTrustees |
Emerson U. Fullwood |
Born 1948. Trustee Since January 2008. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 20092010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (20062008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: President of the University of |
Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and |
Sciences, and Professor of Communication, Annenberg |
School for Communication, with secondary faculty |
appointments in the Department of Philosophy, School |
of Arts and Sciences, and at the Graduate School of |
Education, University of Pennsylvania; Trustee of the |
National Constitution Center; Chair of the Presidential |
Commission for the Study of Bioethical Issues. |
JoAnn Heffernan Heisen |
Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: Corporate Vice President and |
Chief Global Diversity Officer (retired 2008) and |
Member of the Executive Committee (19972008) |
of Johnson & Johnson (pharmaceuticals/medical |
devices/consumer products); Director of Skytop |
Lodge Corporation (hotels) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Womens Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2009) of Cummins Inc. (industrial machinery); |
Chairman of the Board of Hillenbrand, Inc. (specialized |
consumer services), and of Oxfam America; Director |
of SKF AB (industrial machinery), Hyster-Yale Materials |
Handling, Inc. (forklift trucks), the Lumina Foundation |
for Education, and the V Foundation for Cancer |
Research; Member of the Advisory Council for the |
College of Arts and Letters and of the Advisory Board |
to the Kellogg Institute for International Studies, both |
at the University of Notre Dame. |
Mark Loughridge |
Born 1953. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBM’s Retirement Plan |
Committee (2004–2013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chief Investment Officer and Vice |
President at the University of Notre Dame; Assistant |
Professor of Finance at the Mendoza College of |
Business at Notre Dame; Member of the Notre Dame |
403(b) Investment Committee, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: George Gund Professor of Finance and |
Banking, Emeritus at the Harvard Business School |
(retired 2011); Chief Investment Officer and Managing |
Partner of HighVista Strategies LLC (private investment |
firm); Director of Rand Merchant Bank; Overseer of |
the Museum of Fine Arts Boston. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2010) of Corning Incorporated (communications |
equipment); Trustee of Colby-Sawyer College and |
Chairman of its Finance and Enrollment Committee; |
Member of the Advisory Board of the Norris Cotton |
Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (2010–2015); Assistant Controller of each of | |
the investment companies served by The Vanguard | |
Group (2001–2010). | |
Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | |
Years and Other Experience: Principal of The Vanguard | |
Group, Inc.; Chief Financial Officer of each of the | |
investment companies served by The Vanguard Group; | |
Treasurer of each of the investment companies served | |
by The Vanguard Group (1998–2008). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (2008–2014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: Managing Director of The Vanguard | |
Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | |
investment companies served by The Vanguard Group; | |
Director and Senior Vice President of Vanguard | |
Marketing Corporation. | |
Vanguard Senior ManagementTeam | |
Mortimer J. Buckley | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
Founder | |
John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
Who Are Deaf or Hard of Hearing> 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q3142 082016 |
Semiannual Report | June 30, 2016
Vanguard Total Bond Market Index Fund
Vanguards Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguards research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Funds Total Returns. | 1 |
Chairmans Letter. | 2 |
Fund Profile. | 8 |
Performance Summary. | 10 |
Financial Statements. | 12 |
About Your Funds Expenses. | 30 |
Trustees Approve Advisory Arrangement. | 32 |
Glossary. | 33 |
Please note: The opinions expressed in this report are just thatinformed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | ||||
Six Months Ended June 30, 2016 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Total Bond Market Index Fund | ||||
Investor Shares | 1.90% | 1.24% | 4.23% | 5.47% |
ETF Shares | 1.99 | |||
Market Price | 5.51 | |||
Net Asset Value | 5.52 | |||
Admiral™ Shares | 1.99 | 1.29 | 4.23 | 5.52 |
Institutional Shares | 2.00 | 1.30 | 4.23 | 5.53 |
Institutional Plus Shares | 2.01 | 1.30 | 4.23 | 5.53 |
Institutional Select Shares (Inception: 6/24/2016) | — | 0.03 | 0.54 | 0.57 |
Barclays U.S. Aggregate Float Adjusted Index | 5.52 | |||
Core Bond Funds Average | 5.05 |
Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares, Institutional Plus Shares, and Institutional Select Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the NYSE Arca exchange and are available only through brokers. The table provides ETF returns based on both the NYSE Arca market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
Note: The Institutional Select Shares’ 30-day SEC yield is not reported until 30 days after the share class inception.
1
Chairmans Letter
Dear Shareholder,
Bond yields, which looked set to continue rising after the Federal Reserves rate hike in December, instead moved lower over the half year ended June 30, 2016. The decline was more pronounced for intermediate- and long-term bonds, but short-term yields generally ended lower as well.
Because falling bond yields push prices higher, Vanguard Total Bond Market Index Fund returned 5.47% for the six months, with about three-quarters of that result attributable to an increase in the market value of its holdings. (All returns and yields cited in this letter are for the funds Investor Shares.) The funds performance was in line with the 5.52% return of its expense-free benchmark, the Barclays U.S. Aggregate Float Adjusted Index, which includes U.S. Treasury and agency bonds, government mortgage-backed securities, and investment-grade corporate bonds. The fund outpaced the 5.05% average return of its peer group.
On June 30, the portfolios 30-day SEC yield stood at 1.90%, down from 2.33% at the end of 2015. Its important to note that as yields decline, the opportunity for returns to get a significant boost from price appreciation diminishes.
On a separate note, the Total Bond Market Index Funds Institutional Select share class was launched on June 24. With an expense ratio of 0.01%, the new share class is part of our ongoing efforts to reduce the cost of indexing.
2
Stocks waxed and waned through periods of turbulence
United Kingdom voters approved leaving the European Union toward the end of the half year. In reaction, global stock markets dropped sharply then rose. The markets already were jittery before the June 23 “Brexit” vote. But volatility spiked afterward, as investors digested the global economic implications and the likelihood of extended uncertainty while the separation is carried out.
The broad U.S. stock market returned roughly 4% for the six months. U.S. stocks plunged on news of the referendum’s outcome but quickly reversed. Worries about Brexit’s effect on trade and global economic growth seemed to diminish as expectations increased that major central banks would be responsive to any fallout.
International stocks had a rougher time, returning about –1%. European stocks in particular suffered as the lead-up to the referendum and subsequent uncertainty hit closer to home. Developed Pacific markets also retreated. Emerging-market stocks were a bright spot, returning nearly 8%.
Bonds rolled to strong returns as investors weighed options
The broad U.S. bond market returned more than 5% for the half year as investors sought safe-haven assets amid questionable global economic growth, low inflation, and stock market volatility.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.31% | 6.00% | 3.76% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 4.33 | 7.65 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.11 | 0.14 | 0.05 |
Stocks | |||
Russell 1000 Index (Large-caps) | 3.74% | 2.93% | 11.88% |
Russell 2000 Index (Small-caps) | 2.22 | -6.73 | 8.35 |
Russell 3000 Index (Broad U.S. market) | 3.62 | 2.14 | 11.60 |
FTSE All-World ex US Index (International) | -0.92 | -9.75 | 0.49 |
CPI | |||
Consumer Price Index | 1.91% | 1.01% | 1.32% |
3
Early on in the new year, yields headed lower amid concerns about the pace of growth in China, the impact of a continuing slide in commodity prices on the outlook for inflation, and volatility in the stock market. Toward the end of the period, the Brexit vote triggered further uncertainty. And the Fed’s dampening of expectations for further rate hikes in the near term, as well as the exceptionally low or negative yields available abroad, added to the allure of U.S. debt.
The Fed has held its target for short-term interest rates steady since raising it by a quarter of a percentage point in December. During the period, the 0.25%–0.5% rate remained historically low and continued to curb returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 11.94%. Counter to recent trends, a number of foreign currencies strengthened against the dollar, but returns were solid even without this currency benefit.
Longer-dated bonds were the top performers
The U.S. Treasury yield curve flattened over the six months. For example, the 2-year Treasury yield slid 49 basis points to 0.58%, and the 10-year Treasury yield fell 83 basis points to 1.47%, a level not seen since 2012. That translated into greater price increases for Treasuries further out on the maturity spectrum. Short- and intermediate-term Treasuries saw some price appreciation but returned
Expense Ratios | |||||||
Your Fund Compared With Its Peer Group | |||||||
Institutional | Peer | ||||||
Investor | ETF | Admiral | Institutional | Institutional | Select | Group | |
Shares | Shares | Shares | Shares | Plus Shares | Shares | Average | |
Total Bond Market | |||||||
Index Fund | 0.16% | 0.06% | 0.06% | 0.05% | 0.04% | 0.01% | 0.80% |
The fund expense ratios shown are from the prospectus dated April 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the fund’s annualized expense ratios were 0.16% for Investor Shares, 0.06% for ETF Shares, 0.06% for Admiral Shares, 0.05% for Institutional Shares, 0.04% for Institutional Plus Shares, and 0.01% for Institutional Select Shares (since inception). The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2015.
Peer group: Core Bond Funds Average.
4
less than 4% over the six months. Long-term Treasuries, however, returned more than 15%, with the bulk of that coming from a rise in prices. Treasuries make up the largest slice of the Total Bond Market Index Fund, accounting for roughly 40% of its assets.
Government mortgage-backed securities, representing about one-fifth of the fund’s assets, didn’t fare as well. Their return of just under 3% may have been due in part to the fact that there aren’t nearly as many long-dated maturities in this segment. Concerns about prepayment risk may have played a role as well, given that interest rates were falling.
Investment-grade corporate bonds, which constituted more than one-quarter of fund assets, returned close to 8%. The average spread in their yields versus those of Treasuries widened and then narrowed to finish the period a little tighter than where it began. (The narrowing spread indicated that investors were becoming more comfortable with this category of bonds.) Utilities and industrials outperformed. Although many companies in the energy and metals and mining segments had been hard hit by the drop in commodity prices since 2014, demand for their bonds has picked up as prices started moving in the other direction in February. The financial sector, on the other hand, returned less than 5%. In particular, bonds issued by banks were out of favor given that lower interest rates tend to weigh on profitability.
In terms of quality, lower-rated investment-grade bonds did better than their higher-rated counterparts. And by maturity, longer-term bonds again outperformed.
Although it’s important to keep an eye on how your investments are performing, it’s also good not to lose sight of why they are in your portfolio. Returns from bonds may not be as strong going forward as we have become accustomed to in recent decades, but we believe they will continue to fulfill an important role as a diversifier for equities and other riskier assets you may hold.
A dose of discipline is crucial when markets become volatile
The heightened volatility in capital markets that surrounded the Brexit vote reminds us that nobody can control the direction of the markets or reliably predict where they’ll go in the short term. However, investors can control how they react to unstable and turbulent markets.
During periods of market adversity, it’s more important than ever to keep sight of one of Vanguard’s key principles: Maintain perspective and long-term discipline. Whether you’re investing for yourself or on behalf of clients, your success is affected greatly by how you respond—or don’t respond—during turbulent markets. (You can read Vanguard’s Principles for Investing Success at vanguard.com/research.)
5
As Ive written in the past, the best course for long-term investors is generally to ignore daily market moves and not make decisions based on emotion. This is also a good time to evaluate your portfolio and make sure your asset allocation is aligned with your time horizon, goals, and risk tolerance.
The markets are unpredictable and often confounding. Keeping your long-term plans clearly in focus can help you weather these periodic storms.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
July 19, 2016
6
Your Funds Performance at a Glance | ||||
December 31, 2015, Through June 30, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Total Bond Market Index Fund | ||||
Investor Shares | $10.64 | $11.09 | $0.129 | $0.000 |
ETF Shares | 80.58 | 84.16 | 0.846 | 0.000 |
Admiral Shares | 10.64 | 11.09 | 0.135 | 0.000 |
Institutional Shares | 10.64 | 11.09 | 0.135 | 0.000 |
Institutional Plus Shares | 10.64 | 11.09 | 0.136 | 0.000 |
Institutional Select Shares (Inception: 6/24/2016) | 11.03 | 11.09 | 0.003 | 0.000 |
7
Total Bond Market Index Fund | ||||||
Fund Profile | ||||||
As of June 30, 2016 | ||||||
Share-Class Characteristics | ||||||
Institutional | ||||||
Investor | Admiral | Institutional | Institutional | Select | ||
Shares | ETF Shares | Shares | Shares | Plus Shares | Shares | |
Ticker Symbol | VBMFX | BND | VBTLX | VBTIX | VBMPX | VTBSX |
Expense Ratio1 | 0.16% | 0.06% | 0.06% | 0.05% | 0.04% | 0.01% |
30-Day SEC Yield | 1.90% | 1.99% | 1.99% | 2.00% | 2.01% | — |
Financial Attributes | ||
Barclays | ||
Aggregate | ||
Float Adj | ||
Fund | Index | |
Number of Bonds | 8,225 | 9,796 |
Yield to Maturity | ||
(before expenses) | 1.9% | 1.9% |
Average Coupon | 3.2% | 3.1% |
Average Duration | 5.8 years | 5.8 years |
Average Effective | ||
Maturity | 8.0 years | 8.0 years |
Short-Term | ||
Reserves | 3.0% | — |
Sector Diversification (% of portfolio) | ||
Asset-Backed | 0.6% | |
Commercial Mortgage-Backed | 2.0 | |
Finance | 8.6 | |
Foreign | 6.1 | |
Government Mortgage-Backed | 19.6 | |
Industrial | 17.2 | |
Treasury/Agency | 42.9 | |
Utilities | 2.2 | |
Other | 0.8 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | |
Barclays | |
Aggregate | |
Float Adj | |
Index | |
R-Squared | 0.99 |
Beta | 1.03 |
These measures show the degree and timing of the fund’s fluctuations compared with the index over 36 months.
Distribution by Credit Quality (% of portfolio)
U.S. Government | 62.6% |
Aaa | 6.0 |
Aa | 4.2 |
A | 12.4 |
Baa | 14.8 |
Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality.
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 1.8% |
1 - 3 Years | 22.3 |
3 - 5 Years | 30.0 |
5 - 10 Years | 28.7 |
10 - 20 Years | 3.9 |
20 - 30 Years | 12.8 |
Over 30 Years | 0.5 |
1 The expense ratios shown are from the prospectus dated April 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.16% for Investor Shares, 0.06% for ETF Shares, 0.06% for Admiral Shares, 0.05% for Institutional Shares, 0.04% for Institutional Plus Shares, and 0.01% for Institutional Select Shares (since inception).
Note: The Institutional Select Shares’ 30-day SEC yield is not reported until 30 days after the share class inception.
8
Total Bond Market Index Fund
9
Total Bond Market Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016 | ||||
Spliced | ||||
Barclays | ||||
Aggregate | ||||
Investor Shares | FA Index | |||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns |
2006 | 4.97% | -0.70% | 4.27% | 4.33% |
2007 | 5.22 | 1.70 | 6.92 | 6.97 |
2008 | 4.85 | 0.20 | 5.05 | 5.24 |
2009 | 4.26 | 1.67 | 5.93 | 5.93 |
2010 | 3.55 | 2.87 | 6.42 | 6.58 |
2011 | 3.30 | 4.26 | 7.56 | 7.92 |
2012 | 2.63 | 1.42 | 4.05 | 4.32 |
2013 | 2.29 | -4.55 | -2.26 | -1.97 |
2014 | 2.55 | 3.21 | 5.76 | 5.85 |
2015 | 2.32 | -2.02 | 0.30 | 0.44 |
2016 | 1.24 | 4.23 | 5.47 | 5.52 |
For a benchmark description, see the Glossary. | ||||
Note: For 2016, performance data reflect the six months ended June 30, 2016. |
See Financial Highlights for dividend and capital gains information.
10
Total Bond Market Index Fund | ||||||
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||||
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 12/11/1986 | 6.02% | 3.61% | 3.48% | 1.53% | 5.01% |
ETF Shares | 4/3/2007 | |||||
Market Price | 6.42 | 3.74 | 4.811 | |||
Net Asset Value | 6.17 | 3.72 | 4.801 | |||
Admiral Shares | 11/12/2001 | 6.12 | 3.73 | 3.59 | 1.53 | 5.12 |
Institutional Shares | 9/18/1995 | 6.13 | 3.74 | 3.62 | 1.53 | 5.15 |
Institutional Plus Shares | 9/18/1995 | 6.14 | 3.76 | 3.63 | 1.53 | 5.16 |
Institutional Select Shares | 6/24/2016 | — | — | 0.031 | 0.541 | 0.571 |
1 Return since inception.
The creation of the Institutional Plus Shares occurred on February 5, 2010, when Vanguard Total Bond Market Index Fund acquired the net assets of Vanguard Institutional Total Bond Market Index Fund. The returns and other data shown in the table above reflect a blend of historical performance of the fund’s Institutional Shares prior to February 5, 2010, and of the Institutional Plus Shares from then on.
11
Total Bond Market Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of June 30, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | Percentage | |||
Maturity | Amount | Value• | of Net | ||
Coupon | Date | ($000) | ($000) | Assets | |
U.S. Government and Agency Obligations | |||||
U.S. Government Securities | |||||
United States Treasury Note/Bond | 2.125% | 5/15/25 | 914,252 | 965,962 | 0.6% |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 750,907 | 801,473 | 0.5% |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 735,167 | 800,876 | 0.5% |
United States Treasury Note/Bond | 1.000% | 9/15/18 | 786,785 | 793,174 | 0.5% |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 725,899 | 777,844 | 0.5% |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 735,920 | 742,242 | 0.4% |
United States Treasury Note/Bond | 1.250% | 3/31/21 | 725,623 | 734,243 | 0.4% |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 657,918 | 714,769 | 0.4% |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 685,448 | 707,300 | 0.4% |
United States Treasury Note/Bond | 4.750% | 8/15/17 | 641,705 | 671,788 | 0.4% |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 638,325 | 667,547 | 0.4% |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 601,005 | 660,637 | 0.4% |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 657,510 | 660,594 | 0.4% |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 652,760 | 657,858 | 0.4% |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 644,906 | 653,167 | 0.4% |
United States Treasury Note/Bond | 3.000% | 5/15/45 | 563,469 | 648,164 | 0.4% |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 600,474 | 640,724 | 0.4% |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 578,485 | 628,651 | 0.4% |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 626,537 | 627,809 | 0.4% |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 576,534 | 616,349 | 0.4% |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 604,081 | 606,630 | 0.3% |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 546,619 | 601,795 | 0.3% |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 578,775 | 589,806 | 0.3% |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 554,504 | 574,000 | 0.3% |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 526,785 | 570,740 | 0.3% |
United States Treasury Note/Bond | 0.875% | 5/15/19 | 567,645 | 570,392 | 0.3% |
United States Treasury Note/Bond | 1.750% | 2/28/22 | 548,357 | 566,864 | 0.3% |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 556,865 | 565,045 | 0.3% |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 551,460 | 553,699 | 0.3% |
United States Treasury Note/Bond | 1.000% | 3/15/18 | 542,008 | 545,736 | 0.3% |
12
Total Bond Market Index Fund | |||||||
Face | Market | Percentage | |||||
Maturity | Amount | Value | of Net | ||||
Coupon | Date | ($000) | ($000) | Assets | |||
United States Treasury Note/Bond | 3.625% | 2/15/20 | 477,635 | 525,695 | 0.3% | ||
United States Treasury Note/Bond | 1.500% | 10/31/19 | 505,710 | 517,564 | 0.3% | ||
United States Treasury Note/Bond | 3.625% | 2/15/44 | 401,117 | 517,377 | 0.3% | ||
United States Treasury Note/Bond | 1.500% | 11/30/19 | 503,150 | 514,944 | 0.3% | ||
United States Treasury Note/Bond | 1.625% | 2/15/26 | 507,239 | 513,184 | 0.3% | ||
United States Treasury Note/Bond | 2.750% | 2/15/24 | 459,279 | 507,145 | 0.3% | ||
United States Treasury Note/Bond | 2.750% | 8/15/42 | 456,815 | 503,712 | 0.3% | ||
United States Treasury Note/Bond | 1.125% | 6/30/21 | 499,544 | 502,276 | 0.3% | ||
United States Treasury Note/Bond | 2.375% | 8/15/24 | 455,390 | 490,328 | 0.3% | ||
United States Treasury Note/Bond | 2.875% | 5/15/43 | 430,940 | 484,807 | 0.3% | ||
United States Treasury Note/Bond | 1.375% | 5/31/21 | 475,925 | 484,549 | 0.3% | ||
United States Treasury Note/Bond | 1.000% | 9/15/17 | 473,982 | 476,499 | 0.3% | ||
United States Treasury Note/Bond | 0.625% | 11/30/17 | 474,865 | 475,235 | 0.3% | ||
United States Treasury Note/Bond | 2.500% | 2/15/46 | 455,473 | 474,689 | 0.3% | ||
United States Treasury Note/Bond | 1.375% | 1/31/21 | 459,027 | 467,202 | 0.3% | ||
United States Treasury Note/Bond | 2.750% | 11/15/23 | 419,162 | 462,126 | 0.3% | ||
United States Treasury Note/Bond | 1.500% | 3/31/23 | 448,350 | 454,865 | 0.3% | ||
United States Treasury Note/Bond | 1.250% | 11/15/18 | 447,557 | 453,921 | 0.3% | ||
United States Treasury Note/Bond | 2.000% | 2/28/21 | 426,858 | 446,600 | 0.3% | ||
United States Treasury | |||||||
Note/Bond | 0.625%9.125% | 5/15/175/15/46 | 35,648,626 | 38,730,901 | 23.0% | ||
67,919,497 | 40.3% | ||||||
Agency Bonds and Notes | |||||||
1 | Federal Home Loan | ||||||
Mortgage Corp. | 0.000%6.750% | 7/14/177/15/32 | 1,093,944 | 1,164,226 | 0.7% | ||
1,2 | Federal National | ||||||
Mortgage Assn. | 0.000%7.250% | 8/28/177/15/37 | 1,544,621 | 1,627,970 | 1.0% | ||
Agency Bonds and NotesOther | 1,209,647 | 0.7% | |||||
4,001,843 | 2.4% | ||||||
Conventional Mortgage-Backed Securities | |||||||
1,2,3 Fannie Mae Pool | 2.000%10.000% | 7/1/167/1/46 | 13,327,311 | 14,248,061 | 8.5% | ||
1,2,3 Freddie Mac Gold Pool | 2.000%10.000% | 7/1/167/1/46 | 8,378,654 | 8,925,178 | 5.3% | ||
1,2 | Freddie Mac Non | ||||||
Gold Pool | 8.000%9.500% | 6/1/183/1/20 | 4 | 4 | 0.0% | ||
2,3 | Ginnie Mae I Pool | 3.000%10.500% | 8/15/167/1/46 | 1,807,557 | 1,971,888 | 1.2% | |
2,3 | Ginnie Mae II Pool | 3.500% | 7/1/46 | 1,461,725 | 1,551,256 | 0.9% | |
2,3 | Ginnie Mae II Pool | 2.500%8.500% | 4/20/188/1/46 | 6,477,433 | 6,923,378 | 4.1% | |
33,619,765 | 20.0% | ||||||
Nonconventional Mortgage-Backed Securities | |||||||
1,2,4 Fannie Mae Pool | 1.956%6.004% | 11/1/3212/1/43 | 239,951 | 251,779 | 0.2% | ||
1,2,4 Freddie Mac Non Gold Pool | 1.735%6.260% | 4/1/3311/1/43 | 69,777 | 73,374 | 0.0% | ||
2,4 | Ginnie Mae II Pool | 1.750%4.000% | 6/20/291/20/44 | 75,552 | 78,646 | 0.0% | |
403,799 | 0.2% | ||||||
Total U.S. Government and Agency Obligations (Cost $101,672,433) | 105,944,904 | 62.9% | |||||
5Asset-Backed/Commercial Mortgage-Backed Securities (Cost $4,436,927) | 4,596,526 | 2.7% | |||||
Corporate Bonds | |||||||
Finance | |||||||
5 | Banking | 10,068,720 | 6.0% | ||||
5 | Brokerage | 389,136 | 0.2% | ||||
5 | Finance Companies | 446,073 | 0.3% | ||||
Insurance | 2,260,808 | 1.3% |
13
Total Bond Market Index Fund | ||||
Market | Percentage | |||
Value | of Net | |||
($000) | Assets | |||
Other Finance | 861 | 0.0% | ||
Real Estate Investment Trusts | 1,113,433 | 0.7% | ||
14,279,031 | 8.5% | |||
Industrial | ||||
Basic Industry | 1,610,933 | 1.0% | ||
5 Capital Goods | 2,409,710 | 1.4% | ||
5 Communication | 4,414,510 | 2.6% | ||
5 Consumer Cyclical | 3,595,611 | 2.1% | ||
5 Consumer Noncyclical | 7,379,611 | 4.4% | ||
5 Energy | 4,443,349 | 2.7% | ||
Other Industrial | 144,527 | 0.1% | ||
5 Technology | 3,430,836 | 2.0% | ||
5 Transportation | 1,145,317 | 0.7% | ||
28,574,404 | 17.0% | |||
Utilities | ||||
5 Electric | 3,440,532 | 2.1% | ||
Natural Gas | 233,055 | 0.1% | ||
Other Utility | 36,124 | 0.0% | ||
3,709,711 | 2.2% | |||
Total Corporate Bonds (Cost $44,051,831) | 46,563,146 | 27.7% | ||
5Sovereign Bonds (U.S. Dollar-Denominated) (Cost $8,334,585) | 8,638,349 | 5.1% | ||
Taxable Municipal Bonds (Cost $1,378,969) | 1,647,151 | 1.0% | ||
Coupon | Shares | |||
Temporary Cash Investment | ||||
Money Market Fund | ||||
6 Vanguard Market Liquidity Fund | ||||
(Cost $5,235,567) | 0.538% | 5,235,566,569 | 5,235,567 | 3.1% |
Total Investments (Cost $165,110,312) | 172,625,643 | 102.5% |
14
Total Bond Market Index Fund | ||
Percentage | ||
Amount | of Net | |
($000) | Assets | |
Other Assets and Liabilities | ||
Other Assets | ||
Investment in Vanguard | 13,355 | |
Receivables for Investment Securities Sold | 1,509,925 | |
Receivables for Accrued Income | 1,030,465 | |
Receivables for Capital Shares Issued | 263,203 | |
Other Assets | 500 | |
Total Other Assets | 2,817,448 | 1.7% |
Liabilities | ||
Payables for Investment Securities Purchased | (6,300,708) | |
Payables for Capital Shares Redeemed | (600,986) | |
Payables for Distributions | (19,820) | |
Payables to Vanguard | (76,324) | |
Other Liabilities | (39,424) | |
Total Liabilities | (7,037,262) | (4.2%) |
Net Assets | 168,405,829 | 100.0% |
At June 30, 2016, net assets consisted of: | ||
Amount | ||
($000) | ||
Paid-in Capital | 160,893,806 | |
Undistributed Net Investment Income | 53,487 | |
Accumulated Net Realized Losses | (56,795) | |
Unrealized Appreciation (Depreciation) | 7,515,331 | |
Net Assets | 168,405,829 | |
Investor SharesNet Assets | ||
Applicable to 597,919,596 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 6,631,072 | |
Net Asset Value Per ShareInvestor Shares | $11.09 | |
ETF SharesNet Assets | ||
Applicable to 375,523,018 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 31,604,441 | |
Net Asset Value Per ShareETF Shares | $84.16 | |
Admiral SharesNet Assets | ||
Applicable to 6,272,179,583 outstanding $.001 par value shares of | ||
beneficial interest (unlimited authorization) | 69,560,711 | |
Net Asset Value Per ShareAdmiral Shares | $11.09 |
15
Total Bond Market Index Fund | |
Amount | |
($000) | |
Institutional SharesNet Assets | |
Applicable to 3,026,046,562 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 33,560,091 |
Net Asset Value Per ShareInstitutional Shares | $11.09 |
Institutional Plus SharesNet Assets | |
Applicable to 2,287,292,375 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 25,366,147 |
Net Asset Value Per ShareInstitutional Plus Shares | $11.09 |
Institutional Select SharesNet Assets | |
Applicable to 151,787,334 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 1,683,367 |
Net Asset Value Per ShareInstitutional Select Shares | $11.09 |
See Note A in Notes to Financial Statements.
Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent
1% or less of net assets.
1 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the
Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange
for senior preferred stock.
2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
3 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of June 30, 2016.
4 Adjustable-rate security.
5 Certain of the funds securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in
transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate value of these securities
was $1,564,632,000, representing 0.9% of net assets.
6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Total Bond Market Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 1,993,988 |
Total Income | 1,993,988 |
Expenses | |
The Vanguard GroupNote B | |
Investment Advisory Services | 2,070 |
Management and AdministrativeInvestor Shares | 4,245 |
Management and AdministrativeETF Shares | 6,852 |
Management and AdministrativeAdmiral Shares | 14,837 |
Management and AdministrativeInstitutional Shares | 6,641 |
Management and AdministrativeInstitutional Plus Shares | 4,298 |
Management and AdministrativeInstitutional Select Shares | 2 |
Marketing and DistributionInvestor Shares | 747 |
Marketing and DistributionETF Shares | 1,070 |
Marketing and DistributionAdmiral Shares | 3,092 |
Marketing and DistributionInstitutional Shares | 414 |
Marketing and DistributionInstitutional Plus Shares | 222 |
Marketing and DistributionInstitutional Select Shares | |
Custodian Fees | 717 |
Shareholders ReportsInvestor Shares | 102 |
Shareholders ReportsETF Shares | 258 |
Shareholders ReportsAdmiral Shares | 223 |
Shareholders ReportsInstitutional Shares | 138 |
Shareholders ReportsInstitutional Plus Shares | 125 |
Shareholders ReportsInstitutional Select Shares | |
Trustees Fees and Expenses | 49 |
Total Expenses | 46,102 |
Net Investment Income | 1,947,886 |
Realized Net Gain (Loss) on Investment Securities Sold | 11,263 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 6,524,362 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,483,511 |
1 Interest income from an affiliated company of the fund was $9,939,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
17
Total Bond Market Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,947,886 | 3,521,850 |
Realized Net Gain (Loss) | 11,263 | 328,866 |
Change in Unrealized Appreciation (Depreciation) | 6,524,362 | (3,394,903) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 8,483,511 | 455,813 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (78,793) | (160,489) |
ETF Shares | (299,559) | (654,327) |
Admiral Shares | (801,626) | (1,433,427) |
Institutional Shares | (387,636) | (701,366) |
Institutional Plus Shares | (320,466) | (578,189) |
Institutional Select Shares | (371) | |
Realized Capital Gain1 | ||
Investor Shares | | (6,430) |
ETF Shares | | (26,052) |
Admiral Shares | | (57,022) |
Institutional Shares | | (27,582) |
Institutional Plus Shares | | (22,855) |
Institutional Select Shares | | |
Total Distributions | (1,888,451) | (3,667,739) |
Capital Share Transactions | ||
Investor Shares | (76,691) | (489,056) |
ETF Shares | 3,049,537 | 1,833,104 |
Admiral Shares | 6,093,141 | 7,902,135 |
Institutional Shares | 3,171,470 | 2,623,890 |
Institutional Plus Shares | 14,474 | 2,547,427 |
Institutional Select Shares | 1,680,603 | |
Net Increase (Decrease) from Capital Share Transactions | 13,932,534 | 14,417,500 |
Total Increase (Decrease) | 20,527,594 | 11,205,574 |
Net Assets | ||
Beginning of Period | 147,878,235 | 136,672,661 |
End of Period2 | 168,405,829 | 147,878,235 |
1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $0 and $19,617,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net AssetsEnd of Period includes undistributed (overdistributed) net investment income of $53,487,000 and ($5,948,000).
See accompanying Notes, which are an integral part of the Financial Statements.
18
Total Bond Market Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.64 | $10.87 | $10.56 | $11.09 | $11.00 | $10.60 |
Investment Operations | ||||||
Net Investment Income | .129 | .253 | .264 | .256 | .285 | .337 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .450 | (.219) | .339 | (.504) | .156 | .451 |
Total from Investment Operations | .579 | .034 | .603 | (.248) | .441 | .788 |
Distributions | ||||||
Dividends from Net Investment Income | (.129) | (. 254) | (. 264) | (. 256) | (. 285) | (. 337) |
Distributions from Realized Capital Gains | — | (. 010) | (. 029) | (. 026) | (. 066) | (. 051) |
Total Distributions | (.129) | (. 264) | (. 293) | (. 282) | (. 351) | (. 388) |
Net Asset Value, End of Period | $11.09 | $10.64 | $10.87 | $10.56 | $11.09 | $11.00 |
Total Return1 | 5.47% | 0.30% | 5.76% | -2.26% | 4.05% | 7.56% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $6,631 | $6,434 | $7,076 | $7,939 | $11,794 | $12,584 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.16% | 0.16% | 0.20% | 0.20% | 0.20% | 0.22% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.36% | 2.34% | 2.44% | 2.37% | 2.55% | 3.12% |
Portfolio Turnover Rate2,3 | 59% | 84% | 72% | 73% | 80% | 73% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
3 Includes 21%, 45%, 38%, 45%, 49%, and 34% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Total Bond Market Index Fund | ||||||
Financial Highlights | ||||||
ETF Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $80.58 | $82.33 | $79.91 | $83.92 | $83.31 | $80.21 |
Investment Operations | ||||||
Net Investment Income | 1.011 | 2.000 | 2.073 | 2.031 | 2.222 | 2.598 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 3.415 | (1.671) | 2.641 | (3.812) | 1.111 | 3.487 |
Total from Investment Operations | 4.426 | .329 | 4.714 | (1.781) | 3.333 | 6.085 |
Distributions | ||||||
Dividends from Net Investment Income | (.846) | (2.001) | (2.073) | (2.031) | (2.222) | (2.598) |
Distributions from Realized Capital Gains — | (. 078) | (. 221) | (.198) | (. 501) | (. 387) | |
Total Distributions | (.846) | (2.079) | (2.294) | (2.229) | (2.723) | (2.985) |
Net Asset Value, End of Period | $84.16 | $80.58 | $82.33 | $79.91 | $83.92 | $83.31 |
Total Return | 5.52% | 0.39% | 5.96% | -2.14% | 4.04% | 7.71% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $31,604 | $27,279 | $26,041 | $17,637 | $17,968 | $14,596 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.06% | 0.07% | 0.08% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.46% | 2.44% | 2.57% | 2.49% | 2.65% | 3.24% |
Portfolio Turnover Rate1,2 | 59% | 84% | 72% | 73% | 80% | 73% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
2 Includes 21%, 45%, 38%, 45%, 49%, and 34% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Total Bond Market Index Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.64 | $10.87 | $10.56 | $11.09 | $11.00 | $10.60 |
Investment Operations | ||||||
Net Investment Income | .135 | .263 | .278 | .269 | .296 | .350 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .450 | (.219) | .339 | (.504) | .156 | .451 |
Total from Investment Operations | .585 | .044 | .617 | (.235) | .452 | .801 |
Distributions | ||||||
Dividends from Net Investment Income | (.135) | (. 264) | (. 278) | (. 269) | (. 296) | (. 350) |
Distributions from Realized Capital Gains — | (. 010) | (. 029) | (. 026) | (. 066) | (. 051) | |
Total Distributions | (.135) | (. 274) | (. 307) | (. 295) | (. 362) | (. 401) |
Net Asset Value, End of Period | $11.09 | $10.64 | $10.87 | $10.56 | $11.09 | $11.00 |
Total Return1 | 5.52% | 0.40% | 5.89% | -2.15% | 4.15% | 7.69% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $69,561 | $60,783 | $54,198 | $33,450 | $35,533 | $31,366 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.06% | 0.06% | 0.07% | 0.08% | 0.10% | 0.10% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.46% | 2.44% | 2.57% | 2.49% | 2.65% | 3.24% |
Portfolio Turnover Rate2,3 | 59% | 84% | 72% | 73% | 80% | 73% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
3 Includes 21%, 45%, 38%, 45%, 49%, and 34% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
21
Total Bond Market Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.64 | $10.87 | $10.56 | $11.09 | $11.00 | $10.60 |
Investment Operations | ||||||
Net Investment Income | .135 | .265 | .279 | .270 | .299 | .353 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .450 | (.219) | .339 | (.504) | .156 | .451 |
Total from Investment Operations | .585 | .046 | .618 | (.234) | .455 | .804 |
Distributions | ||||||
Dividends from Net Investment Income | (.135) | (. 266) | (. 279) | (. 270) | (. 299) | (. 353) |
Distributions from Realized Capital Gains — | (. 010) | (. 029) | (. 026) | (. 066) | (. 051) | |
Total Distributions | (.135) | (. 276) | (. 308) | (. 296) | (. 365) | (. 404) |
Net Asset Value, End of Period | $11.09 | $10.64 | $10.87 | $10.56 | $11.09 | $11.00 |
Total Return | 5.53% | 0.41% | 5.91% | -2.14% | 4.18% | 7.72% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $33,560 | $29,095 | $27,103 | $20,206 | $22,494 | $22,812 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.05% | 0.05% | 0.06% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.47% | 2.45% | 2.58% | 2.50% | 2.68% | 3.27% |
Portfolio Turnover Rate1,2 | 59% | 84% | 72% | 73% | 80% | 73% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
2 Includes 21%, 45%, 38%, 45%, 49%, and 34% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
22
Total Bond Market Index Fund | ||||||
Financial Highlights | ||||||
Institutional Plus Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.64 | $10.87 | $10.56 | $11.09 | $11.00 | $10.60 |
Investment Operations | ||||||
Net Investment Income | .136 | .266 | .280 | .272 | .301 | .355 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .450 | (.219) | .339 | (.504) | .156 | .451 |
Total from Investment Operations | .586 | .047 | .619 | (.232) | .457 | .806 |
Distributions | ||||||
Dividends from Net Investment Income | (.136) | (. 267) | (. 280) | (. 272) | (. 301) | (. 355) |
Distributions from Realized Capital Gains — | (. 010) | (. 029) | (. 026) | (. 066) | (. 051) | |
Total Distributions | (.136) | (. 277) | (. 309) | (. 298) | (. 367) | (. 406) |
Net Asset Value, End of Period | $11.09 | $10.64 | $10.87 | $10.56 | $11.09 | $11.00 |
Total Return | 5.53% | 0.42% | 5.92% | -2.12% | 4.20% | 7.74% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $25,366 | $24,287 | $22,254 | $18,607 | $16,294 | $9,486 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.04% | 0.04% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.48% | 2.46% | 2.59% | 2.52% | 2.70% | 3.29% |
Portfolio Turnover Rate1,2 | 59% | 84% | 72% | 73% | 80% | 73% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
2 Includes 21%, 45%, 38%, 45%, 49%, and 34% attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
23
Total Bond Market Index Fund | |
Financial Highlights | |
Institutional Select Shares | |
June 24, 20161 to | |
For a Share Outstanding Throughout the Period | June 30, 2016 |
Net Asset Value, Beginning of Period | $11.03 |
Investment Operations | |
Net Investment Income | .003 |
Net Realized and Unrealized Gain (Loss) on Investments | .060 |
Total from Investment Operations | .063 |
Distributions | |
Dividends from Net Investment Income | (.003) |
Distributions from Realized Capital Gains | |
Total Distributions | (.003) |
Net Asset Value, End of Period | $11.09 |
Total Return | 0.57% |
Ratios/Supplemental Data | |
Net Assets, End of Period (Millions) | $1,683 |
Ratio of Total Expenses to Average Net Assets | 0.01% |
Ratio of Net Investment Income to Average Net Assets | 2.51% |
Portfolio Turnover Rate2,3 | 59%4 |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the funds capital shares,
including ETF Creation Units.
3 Includes 21% attributable to mortgage-dollar-roll activity.
4 Reflects the funds portfolio turnover for the six months ended June 30, 2016.
See accompanying Notes, which are an integral part of the Financial Statements.
24
Total Bond Market Index Fund
Notes to Financial Statements
Vanguard Total Bond Market Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers six classes of shares: Investor Shares, ETF Shares, Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Admiral Shares, Institutional Shares, Institutional Plus Shares, and Institutional Select Shares are designed for investors who meet certain administrative, service, and account-size criteria. Institutional Select Shares were issued on June 24, 2016.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At June 30, 2016, counterparties had deposited in segregated accounts securities and cash with a value of $9,309,000 in connection with TBA transactions.
25
Total Bond Market Index Fund
3. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2012–2015), and for the period ended June 30, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions from net investment income are declared daily by all share classes except ETF Shares, and paid on the first business day of the following month. Monthly income dividends from ETF Shares, and annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
7. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
26
Total Bond Market Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $13,355,000, representing 0.01% of the fund’s net assets and 5.34% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 105,944,902 | 2 |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 4,592,343 | 4,183 |
Corporate Bonds | — | 46,563,146 | — |
Sovereign Bonds | — | 8,638,349 | — |
Taxable Municipal Bonds | — | 1,647,151 | — |
Temporary Cash Investments | 5,235,567 | — | — |
Total | 5,235,567 | 167,385,891 | 4,185 |
27
Total Bond Market Index Fund
D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future.
During the six months ended June 30, 2016, the fund realized $14,553,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. The fund realized losses of $53,505,000 during the period from November 1, 2015, through December 31, 2015, which are deferred and will be treated as realized for tax purposes in fiscal 2016. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016.
At June 30, 2016, the cost of investment securities for tax purposes was $165,110,312,000. Net unrealized appreciation of investment securities for tax purposes was $7,515,331,000, consisting of unrealized gains of $7,648,703,000 on securities that had risen in value since their purchase and $133,372,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2016, the fund purchased $11,827,040,000 of investment securities and sold $5,877,671,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $49,337,403,000 and $40,853,640,000, respectively. Total purchases and sales include $2,700,580,000 and $342,914,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 901,271 | 83,017 | 1,525,352 | 140,333 |
Issued in Lieu of Cash Distributions | 75,573 | 6,935 | 160,388 | 14,818 |
Redeemed | (1,053,535) | (96,724) | (2,174,796) | (201,332) |
Net Increase (Decrease)—Investor Shares | (76,691) | (6,772) | (489,056) | (46,181) |
ETF Shares | ||||
Issued | 3,489,799 | 42,400 | 6,868,533 | 83,300 |
Issued in Lieu of Cash Distributions | — | — | — | — |
Redeemed | (440,262) | (5,400) | (5,035,429) | (61,100) |
Net Increase (Decrease)—ETF Shares | 3,049,537 | 37,000 | 1,833,104 | 22,200 |
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Total Bond Market Index Fund | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Admiral Shares | ||||
Issued | 10,369,248 | 953,905 | 16,949,183 | 1,564,126 |
Issued in Lieu of Cash Distributions | 721,027 | 66,146 | 1,345,060 | 124,352 |
Redeemed | (4,997,134) | (460,273) | (10,392,108) | (961,534) |
Net Increase (Decrease)—Admiral Shares | 6,093,141 | 559,778 | 7,902,135 | 726,944 |
Institutional Shares | ||||
Issued | 5,796,789 | 532,842 | 8,909,456 | 822,954 |
Issued in Lieu of Cash Distributions | 364,813 | 33,466 | 686,159 | 63,425 |
Redeemed | (2,990,132) | (274,629) | (6,971,725) | (645,028) |
Net Increase (Decrease)—Institutional Shares | 3,171,470 | 291,679 | 2,623,890 | 241,351 |
Institutional Plus Shares | ||||
Issued | 3,039,661 | 279,246 | 5,012,396 | 463,375 |
Issued in Lieu of Cash Distributions | 310,514 | 28,490 | 584,138 | 53,999 |
Redeemed | (3,335,701) | (302,958) | (3,049,107) | (281,932) |
Net Increase (Decrease)—Institutional Plus Shares | 14,474 | 4,778 | 2,547,427 | 235,442 |
Institutional Select Shares1 | ||||
Issued | 1,682,354 | 151,945 | — | — |
Issued in Lieu of Cash Distributions | 371 | 33 | — | — |
Redeemed | (2,122) | (191) | — | — |
Net Increase (Decrease)—Institutional Select Shares | 1,680,603 | 151,787 | — | — |
1 Inception was June 24, 2016, for Institutional Select Shares. |
G. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
29
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
30
Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Total Bond Market Index Fund | 12/31/2015 | 6/30/2016 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,054.71 | $0.82 |
ETF Shares | 1,000.00 | 1,055.23 | 0.31 |
Admiral Shares | 1,000.00 | 1,055.23 | 0.31 |
Institutional Shares | 1,000.00 | 1,055.28 | 0.26 |
Institutional Plus Shares | 1,000.00 | 1,055.33 | 0.20 |
Institutional Select Shares | 1,000.00 | 1,005.71 | 0.00 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,024.07 | $0.81 |
ETF Shares | 1,000.00 | 1,024.57 | 0.30 |
Admiral Shares | 1,000.00 | 1,024.57 | 0.30 |
Institutional Shares | 1,000.00 | 1,024.61 | 0.25 |
Institutional Plus Shares | 1,000.00 | 1,024.66 | 0.20 |
Institutional Select Shares | 1,000.00 | 1,000.95 | 0.00 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.16% for Investor Shares, 0.06% for ETF Shares, 0.06% for Admiral Shares, 0.05% for Institutional Shares, 0.04% for Institutional Plus Shares, and 0.01% for Institutional Select Shares (since inception). The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366 for Investor, ETF, Admiral, Institutional, and Institutional Plus Shares and 7/366 for Institutional Select Shares).
31
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Total Bond Market Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard)—through its Fixed Income Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent performance can be found on the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s at-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
32
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Barclays and are from Moody’s, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. “Not Rated” is used to classify securities for which a rating is not available.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
33
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
Benchmark Information
Spliced Barclays U.S. Aggregate Float Adjusted Index: Barclays U.S. Aggregate Bond Index through December 31, 2009; Barclays U.S. Aggregate Float Adjusted Index thereafter.
34
Vanguard Total Bond Market Index Fund is not sponsored, endorsed, issued, sold, or promoted by Barclays Capital Inc. or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied, to the owners or purchasers of the fund or any member of the public regarding the advisability of investing in securities generally or in the fund particularly or the ability of the Barclays index to track general bond market performance. Barclays has not passed on the legality or suitability of the fund with respect to any person or entity. Barclays’ only relationship to Vanguard and the fund is the licensing of the Barclays index, which is determined, composed, and calculated by Barclays without regard to Vanguard or the fund or any owners or purchasers of the fund. Barclays has no obligation to take the needs of Vanguard, the fund, or the owners of the fund into consideration in determining, composing, or calculating the Barclays index. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the fund to be issued. Barclays has no obligation or liability in connection with the administration, marketing, or trading of the fund.
Barclays shall have no liability to third parties for the quality, accuracy, and/or completeness of the index or any data included therein or for interruptions in the delivery of the index. Barclays makes no warranty, express or implied, as to results to be obtained by owners of the fund or any other person or entity from the use of the index or any data included therein in connection with the rights licensed hereunder or for any other use. Barclays reserves the right to change the methods of calculation or publication, or to cease the calculation or publication of the Barclays U.S. Aggregate Float Adjusted Index, and Barclays shall not be liable for any miscalculation of or any incorrect, delayed, or interrupted publication with respect to the index. Barclays makes no express or implied warranties, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data included therein. Barclays shall not be liable for any damages, including, without limitation, any indirect or consequential damages resulting from the use of the index or any data included therein.
35
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your funds trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguards board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 198 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 |
F. William McNabb III |
Born 1957. Trustee Since July 2009. Chairman of |
the Board. Principal Occupation(s) During the Past |
Five Years and Other Experience: Chairman of the |
Board of The Vanguard Group, Inc., and of each of |
the investment companies served by The Vanguard |
Group, since January 2010; Director of The Vanguard |
Group since 2008; Chief Executive Officer and |
President of The Vanguard Group, and of each of |
the investment companies served by The Vanguard |
Group, since 2008; Director of Vanguard Marketing |
Corporation; Managing Director of The Vanguard |
Group (19952008). |
IndependentTrustees |
Emerson U. Fullwood |
Born 1948. Trustee Since January 2008. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 20092010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (20062008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: President of the University of |
Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and |
Sciences, and Professor of Communication, Annenberg |
School for Communication, with secondary faculty |
appointments in the Department of Philosophy, School |
of Arts and Sciences, and at the Graduate School of |
Education, University of Pennsylvania; Trustee of the |
National Constitution Center; Chair of the Presidential |
Commission for the Study of Bioethical Issues. |
JoAnn Heffernan Heisen |
Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: Corporate Vice President and |
Chief Global Diversity Officer (retired 2008) and |
Member of the Executive Committee (19972008) |
of Johnson & Johnson (pharmaceuticals/medical |
devices/consumer products); Director of Skytop |
Lodge Corporation (hotels) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Womens Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2009) of Cummins Inc. (industrial machinery); |
Chairman of the Board of Hillenbrand, Inc. (specialized |
consumer services), and of Oxfam America; Director |
of SKF AB (industrial machinery), Hyster-Yale Materials |
Handling, Inc. (forklift trucks), the Lumina Foundation |
for Education, and the V Foundation for Cancer |
Research; Member of the Advisory Council for the |
College of Arts and Letters and of the Advisory Board |
to the Kellogg Institute for International Studies, both |
at the University of Notre Dame. |
Mark Loughridge |
Born 1953. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBM’s Retirement Plan |
Committee (2004–2013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chief Investment Officer and Vice |
President at the University of Notre Dame; Assistant |
Professor of Finance at the Mendoza College of |
Business at Notre Dame; Member of the Notre Dame |
403(b) Investment Committee, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: George Gund Professor of Finance and |
Banking, Emeritus at the Harvard Business School |
(retired 2011); Chief Investment Officer and Managing |
Partner of HighVista Strategies LLC (private investment |
firm); Director of Rand Merchant Bank; Overseer of |
the Museum of Fine Arts Boston. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2010) of Corning Incorporated (communications |
equipment); Trustee of Colby-Sawyer College and |
Chairman of its Finance and Enrollment Committee; |
Member of the Advisory Board of the Norris Cotton |
Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (2010–2015); Assistant Controller of each of | |
the investment companies served by The Vanguard | |
Group (2001–2010). | |
Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | |
Years and Other Experience: Principal of The Vanguard | |
Group, Inc.; Chief Financial Officer of each of the | |
investment companies served by The Vanguard Group; | |
Treasurer of each of the investment companies served | |
by The Vanguard Group (1998–2008). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (2008–2014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: Managing Director of The Vanguard | |
Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | |
investment companies served by The Vanguard Group; | |
Director and Senior Vice President of Vanguard | |
Marketing Corporation. | |
Vanguard Senior ManagementTeam | |
Mortimer J. Buckley | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
Founder | |
John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
Who Are Deaf or Hard of Hearing> 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q842 082016 |
Semiannual Report | June 30, 2016
Vanguard Total Bond Market II Index Fund
Vanguards Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguards research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Funds Total Returns. | 1 |
Chairmans Letter. | 2 |
Fund Profile. | 7 |
Performance Summary. | 9 |
Financial Statements. | 10 |
About Your Funds Expenses. | 152 |
Trustees Approve Advisory Arrangement. | 154 |
Glossary. | 155 |
Please note: The opinions expressed in this report are just thatinformed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | ||||
Six Months Ended June 30, 2016 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Total Bond Market II Index Fund | ||||
Investor Shares | 1.94% | 1.24% | 4.25% | 5.49% |
Institutional Shares | 2.01 | 1.28 | 4.25 | 5.53 |
Barclays U.S. Aggregate Float Adjusted Index | 5.52 | |||
Core Bond Funds Average | 5.05 | |||
Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Institutional Shares are designed for eligible institutional investors who meet specific administrative, service, and account-size criteria.
Your Fund’s Performance at a Glance | ||||
December 31, 2015, Through June 30, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Total Bond Market II Index Fund | ||||
Investor Shares | $10.60 | $11.05 | $0.129 | $0.000 |
Institutional Shares | 10.60 | 11.05 | 0.133 | 0.000 |
1
Chairmans Letter
Dear Shareholder,
Bond yields, which looked set to continue rising after the Federal Reserves rate hike in December, instead moved lower over the half year ended June 30, 2016. The decline was more pronounced for intermediate- and long-term bonds, but short-term yields generally ended lower as well.
Because falling bond yields push prices higher, Vanguard Total Bond Market II Index Fund returned 5.49% for the six months, with about three-quarters of that result attributable to an increase in the market value of its holdings. (All returns and yields cited in this letter are for the funds Investor Shares.) The funds performance was in line with the 5.52% return of its expense-free benchmark, the Barclays U.S. Aggregate Float Adjusted Index, which includes U.S. Treasury and agency bonds, government mortgage-backed securities, and investment-grade corporate bonds. The fund outpaced the 5.05% average return of its peer group.
On June 30, the portfolios 30-day SEC yield stood at 1.94%, down from 2.36% at the end of 2015. Its important to note that as yields decline, the opportunity for returns getting a significant boost from price appreciation diminishes.
2
Stocks waxed and waned through periods of turbulence
United Kingdom voters approved leaving the European Union toward the end of the half year. In reaction, global stock markets dropped sharply then rose. The markets already were jittery before the June 23 “Brexit” vote. But volatility spiked afterward, as investors digested the global economic implications and the likelihood of extended uncertainty while the separation is carried out.
The broad U.S. stock market returned roughly 4% for the six months. U.S. stocks plunged on news of the referendum’s outcome but quickly reversed. Worries about Brexit’s effect on trade and global economic growth seemed to diminish as expectations increased that major central banks would be responsive to any fallout.
International stocks had a rougher time, returning about –1%. European stocks in particular suffered as the lead-up to the Brexit referendum and subsequent uncertainty hit closer to home. Developed Pacific markets also retreated. Emerging-market stocks were a bright spot, returning nearly 8%.
Bonds rolled to strong returns as investors weighed options
The broad U.S. bond market returned more than 5% as investors sought safe-haven assets amid questionable global economic growth, low inflation, and stock market volatility.
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.31% | 6.00% | 3.76% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 4.33 | 7.65 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.11 | 0.14 | 0.05 |
Stocks | |||
Russell 1000 Index (Large-caps) | 3.74% | 2.93% | 11.88% |
Russell 2000 Index (Small-caps) | 2.22 | -6.73 | 8.35 |
Russell 3000 Index (Broad U.S. market) | 3.62 | 2.14 | 11.60 |
FTSE All-World ex US Index (International) | -0.92 | -9.75 | 0.49 |
CPI | |||
Consumer Price Index | 1.91% | 1.01% | 1.32% |
3
Early on in the new year, yields headed lower amid concerns about the pace of growth in China, the impact of a continuing slide in commodity prices on the outlook for inflation, and volatility in the stock market. Toward the end of the period, the Brexit vote triggered further uncertainty. And the Fed’s dampening of expectations for further rate hikes in the near term, as well as the exceptionally low or negative yields available abroad, added to the allure of U.S. debt.
The Fed has held its target for short-term interest rates steady since raising it a quarter of a percentage point in December. During the period, the 0.25%–0.5% rate remained historically low and continued to curb returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 11.94%. Counter to recent trends, a number of foreign currencies strengthened against the dollar, but returns were solid even without this currency benefit.
Longer-dated bonds were the top performers
The U.S. Treasury yield curve flattened over the six months. For example, the 2-year Treasury yield slid 49 basis points to 0.58%, and the 10-year Treasury yield fell 83 basis points to 1.47%, a level not seen since 2012. That translated into greater price increases for Treasuries further out on the maturity spectrum. Short- and intermediate-term Treasuries saw some price appreciation but returned
Expense Ratios | |||
Your Fund Compared With Its Peer Group | |||
Investor | Institutional | Peer Group | |
Shares | Shares | Average | |
Total Bond Market II Index Fund | 0.09% | 0.02% | 0.80% |
The fund expense ratios shown are from the prospectus dated April 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the fund’s annualized expense ratios were 0.09% for Investor Shares and 0.02% for Institutional Shares. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2015.
Peer group: Core Bond Funds Average.
4
less than 4% over the six months. Long-term Treasuries, however, returned more than 15%, with the bulk of that coming from a rise in prices. Treasuries make up the largest slice of the Total Bond Market II Index Fund, accounting for roughly 40% of its assets.
Government mortgage-backed securities, representing about one-fifth of the fund’s assets, didn’t fare as well. Their return of just under 3% may have been due in part to the fact that there aren’t nearly as many long-dated maturities in this segment. Concerns about prepayment risk may have played a role as well, given that interest rates were falling.
Investment-grade corporate bonds, which constituted more than one-quarter of fund assets, returned close to 8%. The average spread in their yields versus those of Treasuries widened and then narrowed to finish the period a little tighter than where it began. (The narrowing spread indicated that investors were becoming more comfortable with this category of bonds.) Utilities and industrials outperformed. Although many companies in the energy and metals and mining segments had been hard hit by the drop in commodity prices since 2014, demand for their bonds has picked up as prices started moving in the other direction in February. The financial sector, on the other hand, returned less than 5%. In particular, bonds issued by banks were out of favor given that lower interest rates tend to weigh on profitability.
In terms of quality, lower-rated investment-grade bonds did better than their higher-rated counterparts. And by maturity, longer-term bonds again outperformed.
Although it’s important to keep an eye on how your investments are performing, it’s also good not to lose sight of why they are in your portfolio. Returns from bonds may not be as strong going forward as we have become accustomed to in recent decades, but we believe they will continue to fulfill an important role as a diversifier for equities and other riskier assets you may hold.
A dose of discipline is crucial when markets become volatile
The heightened volatility in capital markets that surrounded the Brexit vote reminds us that nobody can control the direction of the markets or reliably predict where they’ll go in the short term. However, investors can control how they react to unstable and turbulent markets.
During periods of market adversity, it’s more important than ever to keep sight of one of Vanguard’s key principles: Maintain perspective and long-term discipline. Whether you’re investing for yourself or on behalf of clients, your success is affected greatly by how you respond—or don’t respond—during turbulent markets. (You can read Vanguard’s Principles for Investing Success at vanguard.com/research.)
5
As Ive written in the past, the best course for long-term investors is generally to ignore daily market moves and not make decisions based on emotion. This is also a good time to evaluate your portfolio and make sure your asset allocation is aligned with your time horizon, goals, and risk tolerance.
The markets are unpredictable and often confounding. Keeping your long-term plans clearly in focus can help you weather these periodic storms.
As always, thank you for investing with Vanguard.
F. William McNabb III
Chairman and Chief Executive Officer
July 20, 2016
6
Total Bond Market II Index Fund
Fund Profile | ||
As of June 30, 2016 | ||
Share-Class Characteristics | ||
Investor | Institutional | |
Shares | Shares | |
Ticker Symbol | VTBIX | VTBNX |
Expense Ratio1 | 0.09% | 0.02% |
30-Day SEC Yield | 1.94% | 2.01% |
Financial Attributes | ||
Barclays | ||
Aggregate | ||
Float Adj | ||
Fund | Index | |
Number of Bonds | 7,494 | 9,796 |
Yield to Maturity | ||
(before expenses) | 1.9% | 1.9% |
Average Coupon | 3.0% | 3.1% |
Average Duration | 5.8 years | 5.8 years |
Average Effective | ||
Maturity | 8.0 years | 8.0 years |
Short-Term | ||
Reserves | 2.4% | — |
Sector Diversification (% of portfolio) | ||
Asset-Backed | 0.6% | |
Commercial Mortgage-Backed | 1.9 | |
Finance | 8.5 | |
Foreign | 6.1 | |
Government Mortgage-Backed | 19.8 | |
Industrial | 17.2 | |
Treasury/Agency | 43.0 | |
Utilities | 2.2 | |
Other | 0.7 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | |
Barclays | |
Aggregate | |
Float Adj | |
Index | |
R-Squared | 0.99 |
Beta | 1.05 |
These measures show the degree and timing of the fund’s fluctuations compared with the index over 36 months. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 1.3% |
1 - 3 Years | 22.7 |
3 - 5 Years | 29.8 |
5 - 10 Years | 29.0 |
10 - 20 Years | 3.7 |
20 - 30 Years | 12.9 |
Over 30 Years | 0.6 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 62.8% |
Aaa | 5.9 |
Aa | 4.2 |
A | 12.4 |
Baa | 14.7 |
Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality.
1 The expense ratios shown are from the prospectus dated April 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.09% for Investor Shares and 0.02% for Institutional Shares.
7
Total Bond Market II Index Fund
8
Total Bond Market II Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): January 26, 2009, Through June 30, 2016 | ||||||
Spliced | ||||||
Barclays | ||||||
Aggregate | ||||||
Investor Shares | FA Index | |||||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns | ||
2009 | 3.68% | 2.60% | 6.28% | 6.39% | ||
2010 | 3.42 | 3.00 | 6.42 | 6.58 | ||
2011 | 3.11 | 4.48 | 7.59 | 7.92 | ||
2012 | 2.36 | 1.55 | 3.91 | 4.32 | ||
2013 | 2.00 | -4.26 | -2.26 | -1.97 | ||
2014 | 2.35 | 3.58 | 5.93 | 5.85 | ||
2015 | 2.28 | -2.00 | 0.28 | 0.44 | ||
2016 | 1.24 | 4.25 | 5.49 | 5.52 | ||
For a benchmark description, see the Glossary. | ||||||
Note: For 2016, performance data reflect the six months ended June 30, 2016. | ||||||
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||||
Since Inception | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 1/26/2009 | 6.01% | 3.63% | 2.75% | 1.73% | 4.48% |
Institutional Shares | 2/17/2009 | 6.08 | 3.70 | 2.81 | 1.70 | 4.51 |
See Financial Highlights for dividend and capital gains information.
9
Total Bond Market II Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2016
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (62.7%) | ||||
U.S. Government Securities (39.6%) | ||||
United States Treasury Note/Bond | 0.875% | 8/15/17 | 54,395 | 54,599 |
United States Treasury Note/Bond | 4.750% | 8/15/17 | 45,000 | 47,110 |
United States Treasury Note/Bond | 8.875% | 8/15/17 | 56,325 | 61,570 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 330,294 | 330,654 |
United States Treasury Note/Bond | 1.875% | 8/31/17 | 101,700 | 103,257 |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 163,500 | 164,368 |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 320,040 | 320,389 |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 132,200 | 134,369 |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 99,214 | 99,617 |
United States Treasury Note/Bond | 0.750% | 10/31/17 | 30,000 | 30,075 |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 143,838 | 146,332 |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 170,573 | 171,293 |
United States Treasury Note/Bond | 4.250% | 11/15/17 | 18,865 | 19,817 |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 187,325 | 187,471 |
United States Treasury Note/Bond | 0.875% | 11/30/17 | 261,756 | 262,861 |
United States Treasury Note/Bond | 2.250% | 11/30/17 | 135,000 | 138,185 |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 250,072 | 251,635 |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 105,000 | 105,279 |
United States Treasury Note/Bond | 1.000% | 12/31/17 | 471,435 | 474,457 |
United States Treasury Note/Bond | 2.750% | 12/31/17 | 34,000 | 35,094 |
United States Treasury Note/Bond | 0.875% | 1/15/18 | 392,675 | 394,454 |
United States Treasury Note/Bond | 0.750% | 1/31/18 | 979,283 | 982,035 |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 163,495 | 164,262 |
United States Treasury Note/Bond | 2.625% | 1/31/18 | 89,804 | 92,680 |
United States Treasury Note/Bond | 1.000% | 2/15/18 | 170,000 | 171,142 |
United States Treasury Note/Bond | 3.500% | 2/15/18 | 91,055 | 95,337 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 182,969 | 183,483 |
United States Treasury Note/Bond | 2.750% | 2/28/18 | 60,000 | 62,156 |
United States Treasury Note/Bond | 1.000% | 3/15/18 | 123,849 | 124,701 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 80,680 | 80,907 |
United States Treasury Note/Bond | 0.875% | 3/31/18 | 464,652 | 466,975 |
United States Treasury Note/Bond | 2.875% | 3/31/18 | 1,092 | 1,135 |
United States Treasury Note/Bond | 0.750% | 4/15/18 | 120,000 | 120,337 |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 48,149 | 48,187 |
United States Treasury Note/Bond | 0.750% | 4/30/18 | 111,148 | 111,478 |
United States Treasury Note/Bond | 1.000% | 5/15/18 | 85,000 | 85,651 |
United States Treasury Note/Bond | 9.125% | 5/15/18 | 11,300 | 13,106 |
10
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 0.875% | 5/31/18 | 714,247 | 718,261 |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 86,300 | 86,974 |
United States Treasury Note/Bond | 2.375% | 5/31/18 | 40,646 | 42,024 |
United States Treasury Note/Bond | 1.125% | 6/15/18 | 40,600 | 41,013 |
United States Treasury Note/Bond | 0.625% | 6/30/18 | 150,000 | 150,093 |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 97,400 | 98,891 |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 12,211 | 12,640 |
United States Treasury Note/Bond | 0.875% | 7/15/18 | 60,000 | 60,328 |
United States Treasury Note/Bond | 1.375% | 7/31/18 | 83,258 | 84,558 |
United States Treasury Note/Bond | 2.250% | 7/31/18 | 31,984 | 33,073 |
United States Treasury Note/Bond | 1.000% | 8/15/18 | 151,275 | 152,503 |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 34,925 | 35,591 |
United States Treasury Note/Bond | 1.000% | 9/15/18 | 104,025 | 104,870 |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 267,125 | 271,591 |
United States Treasury Note/Bond | 0.875% | 10/15/18 | 64,645 | 64,999 |
United States Treasury Note/Bond | 1.250% | 10/31/18 | 167,476 | 169,831 |
United States Treasury Note/Bond | 1.750% | 10/31/18 | 99,600 | 102,152 |
United States Treasury Note/Bond | 1.250% | 11/15/18 | 61,187 | 62,057 |
United States Treasury Note/Bond | 3.750% | 11/15/18 | 43,917 | 47,142 |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 207,075 | 210,053 |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 32,530 | 33,094 |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 125,925 | 128,149 |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 135,700 | 138,498 |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 240,005 | 242,743 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 60,775 | 61,687 |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 85,750 | 87,546 |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 436,495 | 437,381 |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 15,365 | 16,196 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 328,275 | 334,276 |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 457,155 | 467,011 |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 466,354 | 470,360 |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 32,800 | 33,543 |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 210,530 | 215,859 |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 6,750 | 6,783 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 20,650 | 20,973 |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 204,000 | 209,259 |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 58,125 | 62,139 |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 56,175 | 56,868 |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 208,925 | 213,659 |
United States Treasury Note/Bond | 0.875% | 6/15/19 | 349,705 | 351,454 |
United States Treasury Note/Bond | 1.000% | 6/30/19 | 37,103 | 37,422 |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 336,175 | 345,211 |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 269,261 | 270,354 |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 436,000 | 447,785 |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 271,150 | 295,385 |
United States Treasury Note/Bond | 8.125% | 8/15/19 | 1,215 | 1,492 |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 276,575 | 278,779 |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 275,523 | 283,014 |
United States Treasury Note/Bond | 1.000% | 9/30/19 | 15,253 | 15,370 |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 306,311 | 315,883 |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 406,250 | 415,773 |
United States Treasury Note/Bond | 1.000% | 11/30/19 | 10,000 | 10,067 |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 482,000 | 493,298 |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 47,315 | 47,833 |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 282,284 | 290,091 |
11
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 137,044 | 139,057 |
United States Treasury Note/Bond | 1.375% | 1/31/20 | 90,400 | 92,152 |
United States Treasury Note/Bond | 8.500% | 2/15/20 | 5,018 | 6,396 |
United States Treasury Note/Bond | 1.375% | 2/29/20 | 81,050 | 82,595 |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 89,805 | 91,517 |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 132,750 | 134,078 |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 110,000 | 112,097 |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 134,995 | 148,389 |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 110,615 | 112,671 |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 255,000 | 260,977 |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 131,875 | 135,645 |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 126,470 | 131,332 |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 180,995 | 186,143 |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 233,220 | 249,363 |
United States Treasury Note/Bond | 8.750% | 8/15/20 | 21,755 | 28,679 |
United States Treasury Note/Bond | 1.375% | 8/31/20 | 235,500 | 239,843 |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 195,683 | 205,283 |
United States Treasury Note/Bond | 1.375% | 9/30/20 | 194,315 | 197,898 |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 14,642 | 15,296 |
United States Treasury Note/Bond | 1.375% | 10/31/20 | 132,743 | 135,170 |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 277,557 | 286,925 |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 290,500 | 311,288 |
United States Treasury Note/Bond | 1.625% | 11/30/20 | 14,000 | 14,411 |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 260,475 | 272,196 |
United States Treasury Note/Bond | 1.750% | 12/31/20 | 162,111 | 167,709 |
United States Treasury Note/Bond | 2.375% | 12/31/20 | 109,345 | 116,094 |
United States Treasury Note/Bond | 1.375% | 1/31/21 | 433,803 | 441,529 |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 169,525 | 178,266 |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 142,000 | 158,952 |
United States Treasury Note/Bond | 7.875% | 2/15/21 | 22,550 | 29,579 |
United States Treasury Note/Bond | 1.125% | 2/28/21 | 138,498 | 139,494 |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 176,100 | 184,245 |
United States Treasury Note/Bond | 1.250% | 3/31/21 | 236,037 | 238,841 |
United States Treasury Note/Bond | 2.250% | 3/31/21 | 283,201 | 299,705 |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 174,581 | 177,636 |
United States Treasury Note/Bond | 2.250% | 4/30/21 | 139,880 | 148,076 |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 73,845 | 81,252 |
United States Treasury Note/Bond | 1.375% | 5/31/21 | 190,735 | 194,191 |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 165,475 | 173,309 |
United States Treasury Note/Bond | 1.125% | 6/30/21 | 352,755 | 354,685 |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 308,285 | 324,760 |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 169,750 | 179,882 |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 276,860 | 291,827 |
United States Treasury Note/Bond | 8.125% | 8/15/21 | 34,550 | 46,783 |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 215,775 | 226,024 |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 140,000 | 147,568 |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 235,870 | 247,112 |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 231,291 | 242,529 |
United States Treasury Note/Bond | 8.000% | 11/15/21 | 9,450 | 12,868 |
United States Treasury Note/Bond | 1.875% | 11/30/21 | 154,589 | 161,014 |
United States Treasury Note/Bond | 2.125% | 12/31/21 | 213,300 | 224,931 |
United States Treasury Note/Bond | 1.500% | 1/31/22 | 309,775 | 316,116 |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 83,537 | 87,531 |
United States Treasury Note/Bond | 1.750% | 2/28/22 | 160,777 | 166,203 |
United States Treasury Note/Bond | 1.750% | 3/31/22 | 82,512 | 85,271 |
12
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.750% | 4/30/22 | 17,100 | 17,672 |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 10,000 | 10,334 |
United States Treasury Note/Bond | 1.875% | 5/31/22 | 144,700 | 150,533 |
United States Treasury Note/Bond | 2.125% | 6/30/22 | 35,735 | 37,689 |
United States Treasury Note/Bond | 2.000% | 7/31/22 | 142,180 | 148,889 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 62,440 | 64,040 |
United States Treasury Note/Bond | 7.250% | 8/15/22 | 75 | 102 |
United States Treasury Note/Bond | 1.875% | 8/31/22 | 187,058 | 194,482 |
United States Treasury Note/Bond | 1.750% | 9/30/22 | 416,253 | 429,523 |
United States Treasury Note/Bond | 1.875% | 10/31/22 | 259,855 | 270,088 |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 23,976 | 24,545 |
United States Treasury Note/Bond | 7.625% | 11/15/22 | 150 | 209 |
United States Treasury Note/Bond | 2.000% | 11/30/22 | 30,800 | 32,239 |
United States Treasury Note/Bond | 2.125% | 12/31/22 | 83,763 | 88,318 |
United States Treasury Note/Bond | 1.750% | 1/31/23 | 314,865 | 324,557 |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 169,625 | 177,709 |
United States Treasury Note/Bond | 7.125% | 2/15/23 | 15,675 | 21,578 |
United States Treasury Note/Bond | 1.500% | 2/28/23 | 411,930 | 418,109 |
United States Treasury Note/Bond | 1.500% | 3/31/23 | 116,865 | 118,563 |
United States Treasury Note/Bond | 1.625% | 4/30/23 | 146,746 | 150,093 |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 297,500 | 306,984 |
United States Treasury Note/Bond | 1.625% | 5/31/23 | 16,505 | 16,881 |
United States Treasury Note/Bond | 1.375% | 6/30/23 | 248,000 | 249,357 |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 323,810 | 350,829 |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 31,045 | 41,620 |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 273,215 | 301,220 |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 284,774 | 314,453 |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 515,793 | 560,363 |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 412,320 | 443,953 |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 279,872 | 298,632 |
United States Treasury Note/Bond | 7.500% | 11/15/24 | 16,650 | 24,764 |
United States Treasury Note/Bond | 2.000% | 2/15/25 | 147,709 | 154,586 |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 525,546 | 555,271 |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 453,808 | 474,583 |
United States Treasury Note/Bond | 6.875% | 8/15/25 | 4,072 | 5,975 |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 411,040 | 438,719 |
United States Treasury Note/Bond | 1.625% | 2/15/26 | 242,129 | 244,967 |
United States Treasury Note/Bond | 6.000% | 2/15/26 | 1,750 | 2,465 |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 406,030 | 411,231 |
United States Treasury Note/Bond | 6.750% | 8/15/26 | 8,800 | 13,181 |
United States Treasury Note/Bond | 6.500% | 11/15/26 | 36,215 | 53,660 |
United States Treasury Note/Bond | 6.625% | 2/15/27 | 39,650 | 59,624 |
United States Treasury Note/Bond | 6.375% | 8/15/27 | 6,850 | 10,243 |
United States Treasury Note/Bond | 6.125% | 11/15/27 | 41,808 | 61,719 |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 40,775 | 58,308 |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 52,342 | 73,680 |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 104,279 | 147,473 |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 22,930 | 35,090 |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 45,435 | 71,418 |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 171,875 | 254,911 |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 108,600 | 156,418 |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 113,000 | 168,106 |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 40,327 | 61,990 |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 76,450 | 109,013 |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 44,579 | 64,667 |
13
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 84,894 | 107,179 |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 74,367 | 103,963 |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 76,306 | 110,370 |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 77,905 | 110,772 |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 128,305 | 188,688 |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 100,320 | 142,831 |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 64,050 | 85,066 |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 88,654 | 124,226 |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 73,492 | 110,342 |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 26,000 | 37,148 |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 30,000 | 39,178 |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 32,626 | 38,560 |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 43,742 | 51,732 |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 438,438 | 483,448 |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 581,354 | 640,036 |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 101,409 | 119,631 |
United States Treasury Note/Bond | 2.875% | 5/15/43 | 162,200 | 182,475 |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 304,652 | 393,333 |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 111,706 | 147,470 |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 155,994 | 201,208 |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 151,990 | 187,471 |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 202,650 | 238,715 |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 232,831 | 267,865 |
United States Treasury Note/Bond | 2.500% | 2/15/45 | 222,882 | 232,250 |
United States Treasury Note/Bond | 3.000% | 5/15/45 | 269,154 | 309,610 |
United States Treasury Note/Bond | 2.875% | 8/15/45 | 255,506 | 286,964 |
United States Treasury Note/Bond | 3.000% | 11/15/45 | 100,937 | 116,156 |
United States Treasury Note/Bond | 2.500% | 2/15/46 | 290,186 | 302,429 |
United States Treasury Note/Bond | 2.500% | 5/15/46 | 216,125 | 225,479 |
40,313,941 | ||||
Agency Bonds and Notes (2.5%) | ||||
1 AID-Israel | 5.500% | 9/18/23 | 6,375 | 8,063 |
1 AID-Israel | 5.500% | 12/4/23 | 6,502 | 8,188 |
1 AID-Israel | 5.500% | 4/26/24 | 5,075 | 6,431 |
1 AID-Jordan | 1.945% | 6/23/19 | 5,200 | 5,384 |
1 AID-Jordan | 2.503% | 10/30/20 | 6,375 | 6,778 |
1 AID-Jordan | 2.578% | 6/30/22 | 2,680 | 2,865 |
1 AID-Tunisia | 2.452% | 7/24/21 | 2,300 | 2,443 |
1 AID-Ukraine | 1.844% | 5/16/19 | 3,200 | 3,294 |
1 AID-Ukraine | 1.847% | 5/29/20 | 5,700 | 5,844 |
2 Federal Farm Credit Banks | 1.125% | 9/22/17 | 4,425 | 4,453 |
2 Federal Farm Credit Banks | 1.000% | 9/25/17 | 3,975 | 3,994 |
2 Federal Farm Credit Banks | 1.125% | 12/18/17 | 12,000 | 12,084 |
2 Federal Farm Credit Banks | 1.110% | 2/20/18 | 3,800 | 3,828 |
2 Federal Farm Credit Banks | 0.750% | 4/18/18 | 15,000 | 15,018 |
2 Federal Farm Credit Banks | 1.100% | 6/1/18 | 2,000 | 2,015 |
2 Federal Farm Credit Banks | 5.150% | 11/15/19 | 5,325 | 6,072 |
2 Federal Farm Credit Banks | 3.500% | 12/20/23 | 5,000 | 5,672 |
2 Federal Home Loan Banks | 0.750% | 8/28/17 | 43,000 | 43,073 |
2 Federal Home Loan Banks | 4.875% | 9/8/17 | 665 | 698 |
2 Federal Home Loan Banks | 0.625% | 10/26/17 | 45,000 | 45,001 |
2 Federal Home Loan Banks | 5.000% | 11/17/17 | 30,695 | 32,526 |
2 Federal Home Loan Banks | 1.000% | 12/19/17 | 30,000 | 30,156 |
2 Federal Home Loan Banks | 1.375% | 3/9/18 | 20,000 | 20,235 |
2 Federal Home Loan Banks | 0.875% | 3/19/18 | 35,340 | 35,461 |
14
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
2 Federal Home Loan Banks | 1.125% | 4/25/18 | 30,000 | 30,239 |
2 Federal Home Loan Banks | 2.750% | 6/8/18 | 13,550 | 14,085 |
2 Federal Home Loan Banks | 0.875% | 6/29/18 | 54,000 | 54,194 |
2 Federal Home Loan Banks | 5.375% | 8/15/18 | 5,250 | 5,767 |
2 Federal Home Loan Banks | 1.125% | 6/21/19 | 36,500 | 36,822 |
2 Federal Home Loan Banks | 5.125% | 8/15/19 | 4,095 | 4,633 |
2 Federal Home Loan Banks | 1.875% | 3/13/20 | 3,425 | 3,537 |
2 Federal Home Loan Banks | 4.125% | 3/13/20 | 11,555 | 12,875 |
2 Federal Home Loan Banks | 3.375% | 6/12/20 | 15,200 | 16,585 |
2 Federal Home Loan Banks | 5.250% | 12/11/20 | 5,000 | 5,895 |
2 Federal Home Loan Banks | 1.375% | 2/18/21 | 14,175 | 14,342 |
2 Federal Home Loan Banks | 2.250% | 6/11/21 | 30,000 | 31,534 |
2 Federal Home Loan Banks | 5.625% | 6/11/21 | 16,950 | 20,556 |
2 Federal Home Loan Banks | 2.125% | 3/10/23 | 28,325 | 29,442 |
2 Federal Home Loan Banks | 5.375% | 8/15/24 | 1,585 | 2,031 |
2 Federal Home Loan Banks | 5.500% | 7/15/36 | 14,475 | 20,945 |
3 Federal Home Loan Mortgage Corp. | 0.750% | 7/14/17 | 18,000 | 18,031 |
3 Federal Home Loan Mortgage Corp. | 1.000% | 7/28/17 | 36,179 | 36,340 |
3 Federal Home Loan Mortgage Corp. | 5.500% | 8/23/17 | 11,550 | 12,194 |
3 Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 98,125 | 98,594 |
3 Federal Home Loan Mortgage Corp. | 5.125% | 11/17/17 | 5,950 | 6,315 |
3 Federal Home Loan Mortgage Corp. | 1.000% | 12/15/17 | 75,000 | 75,387 |
3 Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 13,375 | 13,397 |
3 Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 20,900 | 20,970 |
3 Federal Home Loan Mortgage Corp. | 0.750% | 4/9/18 | 40,000 | 40,047 |
3 Federal Home Loan Mortgage Corp. | 4.875% | 6/13/18 | 9,305 | 10,057 |
3 Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 16,500 | 17,814 |
3 Federal Home Loan Mortgage Corp. | 1.125% | 4/15/19 | 55,200 | 55,688 |
3 Federal Home Loan Mortgage Corp. | 1.750% | 5/30/19 | 35,175 | 36,142 |
3 Federal Home Loan Mortgage Corp. | 1.250% | 8/1/19 | 43,100 | 43,618 |
3 Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 43,700 | 44,198 |
3 Federal Home Loan Mortgage Corp. | 1.375% | 5/1/20 | 16,700 | 16,939 |
3 Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 56,650 | 59,977 |
3 Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 1,150 | 1,753 |
3 Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 23,400 | 36,272 |
3 Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 23,382 | 35,352 |
3 Federal National Mortgage Assn. | 0.875% | 8/28/17 | 35,075 | 35,185 |
3 Federal National Mortgage Assn. | 1.000% | 9/27/17 | 20,100 | 20,196 |
3 Federal National Mortgage Assn. | 0.875% | 10/26/17 | 71,575 | 71,802 |
3 Federal National Mortgage Assn. | 0.875% | 12/20/17 | 71,025 | 71,265 |
3 Federal National Mortgage Assn. | 0.875% | 2/8/18 | 64,425 | 64,662 |
3 Federal National Mortgage Assn. | 0.875% | 3/28/18 | 17,000 | 17,056 |
3 Federal National Mortgage Assn. | 0.875% | 5/21/18 | 47,380 | 47,550 |
3 Federal National Mortgage Assn. | 1.125% | 7/20/18 | 20,000 | 20,176 |
3 Federal National Mortgage Assn. | 1.875% | 9/18/18 | 34,926 | 35,808 |
3 Federal National Mortgage Assn. | 1.125% | 10/19/18 | 12,000 | 12,107 |
3 Federal National Mortgage Assn. | 1.625% | 11/27/18 | 41,640 | 42,514 |
3 Federal National Mortgage Assn. | 1.125% | 12/14/18 | 57,405 | 57,894 |
3 Federal National Mortgage Assn. | 1.375% | 1/28/19 | 45,000 | 45,677 |
3 Federal National Mortgage Assn. | 1.875% | 2/19/19 | 43,000 | 44,209 |
3 Federal National Mortgage Assn. | 1.000% | 2/26/19 | 16,500 | 16,585 |
3 Federal National Mortgage Assn. | 1.750% | 6/20/19 | 76,000 | 78,060 |
3 Federal National Mortgage Assn. | 1.750% | 9/12/19 | 67,575 | 69,437 |
3 Federal National Mortgage Assn. | 0.000% | 10/9/19 | 6,640 | 6,380 |
3 Federal National Mortgage Assn. | 1.750% | 11/26/19 | 16,500 | 16,961 |
15
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3 | Federal National Mortgage Assn. | 1.625% | 1/21/20 | 22,000 | 22,531 |
3 | Federal National Mortgage Assn. | 1.500% | 6/22/20 | 17,000 | 17,321 |
3 | Federal National Mortgage Assn. | 1.500% | 11/30/20 | 26,000 | 26,444 |
3 | Federal National Mortgage Assn. | 1.875% | 12/28/20 | 40,000 | 41,333 |
3 | Federal National Mortgage Assn. | 1.375% | 2/26/21 | 17,000 | 17,186 |
3 | Federal National Mortgage Assn. | 2.625% | 9/6/24 | 20,000 | 21,478 |
3 | Federal National Mortgage Assn. | 2.125% | 4/24/26 | 30,000 | 30,887 |
3 | Federal National Mortgage Assn. | 6.250% | 5/15/29 | 5,550 | 8,077 |
3 | Federal National Mortgage Assn. | 7.125% | 1/15/30 | 7,120 | 11,179 |
3 | Federal National Mortgage Assn. | 7.250% | 5/15/30 | 28,925 | 46,053 |
3 | Federal National Mortgage Assn. | 6.625% | 11/15/30 | 21,295 | 32,562 |
3 | Federal National Mortgage Assn. | 5.625% | 7/15/37 | 2,721 | 4,004 |
2 | Financing Corp. | 9.800% | 4/6/18 | 850 | 985 |
2 | Financing Corp. | 10.350% | 8/3/18 | 100 | 120 |
2 | Financing Corp. | 9.650% | 11/2/18 | 2,375 | 2,859 |
2 | Financing Corp. | 9.700% | 4/5/19 | 425 | 526 |
Private Export Funding Corp. | 2.250% | 12/15/17 | 1,775 | 1,814 | |
Private Export Funding Corp. | 1.875% | 7/15/18 | 2,200 | 2,245 | |
Private Export Funding Corp. | 4.375% | 3/15/19 | 6,867 | 7,501 | |
Private Export Funding Corp. | 1.450% | 8/15/19 | 7,575 | 7,701 | |
Private Export Funding Corp. | 2.250% | 3/15/20 | 6,900 | 7,186 | |
Private Export Funding Corp. | 2.300% | 9/15/20 | 1,500 | 1,567 | |
Private Export Funding Corp. | 4.300% | 12/15/21 | 7,760 | 8,930 | |
Private Export Funding Corp. | 2.800% | 5/15/22 | 1,125 | 1,204 | |
Private Export Funding Corp. | 2.050% | 11/15/22 | 15,350 | 15,780 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 16,350 | 18,349 | |
Private Export Funding Corp. | 2.450% | 7/15/24 | 4,750 | 4,953 | |
Private Export Funding Corp. | 3.250% | 6/15/25 | 1,500 | 1,664 | |
Resolution Funding Corp. | 8.125% | 10/15/19 | 100 | 123 | |
Resolution Funding Corp. | 8.875% | 7/15/20 | 100 | 131 | |
2 | Tennessee Valley Authority | 5.500% | 7/18/17 | 6,400 | 6,725 |
2 | Tennessee Valley Authority | 4.500% | 4/1/18 | 6,425 | 6,838 |
2 | Tennessee Valley Authority | 1.750% | 10/15/18 | 9,500 | 9,710 |
2 | Tennessee Valley Authority | 3.875% | 2/15/21 | 5,170 | 5,779 |
2 | Tennessee Valley Authority | 1.875% | 8/15/22 | 3,750 | 3,836 |
2 | Tennessee Valley Authority | 2.875% | 9/15/24 | 11,831 | 12,753 |
2 | Tennessee Valley Authority | 6.750% | 11/1/25 | 17,756 | 24,839 |
2 | Tennessee Valley Authority | 7.125% | 5/1/30 | 8,975 | 13,756 |
2 | Tennessee Valley Authority | 4.650% | 6/15/35 | 3,425 | 4,341 |
2 | Tennessee Valley Authority | 5.880% | 4/1/36 | 4,265 | 6,183 |
2 | Tennessee Valley Authority | 5.500% | 6/15/38 | 850 | 1,192 |
2 | Tennessee Valley Authority | 5.250% | 9/15/39 | 3,150 | 4,304 |
2 | Tennessee Valley Authority | 3.500% | 12/15/42 | 5,500 | 5,948 |
2 | Tennessee Valley Authority | 4.875% | 1/15/48 | 14,075 | 17,884 |
2 | Tennessee Valley Authority | 5.375% | 4/1/56 | 2,770 | 3,896 |
2 | Tennessee Valley Authority | 4.625% | 9/15/60 | 3,365 | 4,214 |
2 | Tennessee Valley Authority | 4.250% | 9/15/65 | 5,500 | 6,437 |
2,566,995 | |||||
Conventional Mortgage-Backed Securities (20.3%) | |||||
3,4 | Fannie Mae Pool | 2.000% | 8/1/28–10/1/28 | 46,984 | 47,833 |
3,4,5 Fannie Mae Pool | 2.500% | 11/1/26–2/1/43 | 572,717 | 594,366 | |
3,4,5 Fannie Mae Pool | 3.000% | 11/1/20–7/1/46 | 1,792,852 | 1,874,568 | |
3,4,5 Fannie Mae Pool | 3.500% | 3/1/21–7/1/46 | 2,386,447 | 2,528,809 | |
3,4,5 Fannie Mae Pool | 4.000% | 6/1/18–7/1/46 | 1,540,481 | 1,656,579 | |
3,4,5 Fannie Mae Pool | 4.500% | 2/1/18–7/1/46 | 771,616 | 843,584 |
16
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | Fannie Mae Pool | 5.000% | 3/1/17–7/1/46 | 403,323 | 447,594 |
3,4 | Fannie Mae Pool | 5.500% | 11/1/16–2/1/42 | 334,497 | 376,735 |
3,4 | Fannie Mae Pool | 6.000% | 7/1/16–5/1/41 | 224,382 | 257,205 |
3,4 | Fannie Mae Pool | 6.500% | 7/1/16–5/1/40 | 63,257 | 72,970 |
3,4 | Fannie Mae Pool | 7.000% | 11/1/18–12/1/38 | 18,658 | 21,508 |
3,4 | Fannie Mae Pool | 7.500% | 7/1/30–12/1/32 | 194 | 223 |
3,4 | Fannie Mae Pool | 8.000% | 12/1/29 | 24 | 28 |
3,4 | Freddie Mac Gold Pool | 2.000% | 7/1/28–1/1/29 | 36,340 | 37,088 |
3,4,5 Freddie Mac Gold Pool | 2.500% | 4/1/27–3/1/43 | 439,152 | 455,200 | |
3,4,5 Freddie Mac Gold Pool | 3.000% | 10/1/26–7/1/46 | 1,133,330 | 1,183,479 | |
3,4,5 Freddie Mac Gold Pool | 3.500% | 12/1/20–7/1/46 | 1,470,954 | 1,555,636 | |
3,4,5 Freddie Mac Gold Pool | 4.000% | 3/1/18–7/1/46 | 960,735 | 1,030,477 | |
3,4,5 Freddie Mac Gold Pool | 4.500% | 12/1/17–7/1/46 | 449,887 | 490,116 | |
3,4 | Freddie Mac Gold Pool | 5.000% | 4/1/17–8/1/44 | 249,929 | 275,260 |
3,4 | Freddie Mac Gold Pool | 5.500% | 12/1/16–6/1/41 | 197,339 | 220,887 |
3,4 | Freddie Mac Gold Pool | 6.000% | 10/1/16–5/1/40 | 118,523 | 135,376 |
3,4 | Freddie Mac Gold Pool | 6.500% | 7/1/16–9/1/39 | 28,703 | 33,284 |
3,4 | Freddie Mac Gold Pool | 7.000% | 11/1/16–12/1/38 | 10,661 | 12,408 |
3,4 | Freddie Mac Gold Pool | 7.500% | 4/1/27–2/1/32 | 102 | 119 |
3,4 | Freddie Mac Gold Pool | 8.000% | 1/1/27–11/1/31 | 158 | 184 |
3,4 | Freddie Mac Gold Pool | 8.500% | 6/1/25 | 30 | 35 |
4 | Ginnie Mae I Pool | 3.000% | 1/15/26–3/15/45 | 158,603 | 166,215 |
4,5 | Ginnie Mae I Pool | 3.500% | 11/15/25–7/1/46 | 193,745 | 206,384 |
4 | Ginnie Mae I Pool | 4.000% | 8/15/18–7/1/46 | 206,611 | 222,749 |
4,5 | Ginnie Mae I Pool | 4.500% | 6/15/18–7/1/46 | 231,762 | 256,480 |
4,5 | Ginnie Mae I Pool | 5.000% | 12/15/17–7/1/46 | 154,038 | 172,408 |
4 | Ginnie Mae I Pool | 5.500% | 4/15/17–6/15/41 | 76,930 | 87,135 |
4 | Ginnie Mae I Pool | 6.000% | 4/15/17–6/15/41 | 45,919 | 52,787 |
4 | Ginnie Mae I Pool | 6.500% | 5/15/24–8/15/39 | 14,503 | 16,638 |
4 | Ginnie Mae I Pool | 7.000% | 7/15/23–9/15/36 | 696 | 801 |
4 | Ginnie Mae I Pool | 7.500% | 12/15/23 | 22 | 26 |
4 | Ginnie Mae I Pool | 8.000% | 6/15/25–1/15/27 | 58 | 68 |
4 | Ginnie Mae I Pool | 9.000% | 11/15/17–12/15/17 | 5 | 5 |
4 | Ginnie Mae II Pool | 2.500% | 6/20/27–1/20/43 | 34,624 | 35,993 |
4,5 | Ginnie Mae II Pool | 3.000% | 10/20/26–7/1/46 | 1,014,957 | 1,064,333 |
4,5 | Ginnie Mae II Pool | 3.500% | 9/20/25–7/1/46 | 2,026,837 | 2,154,860 |
4,5 | Ginnie Mae II Pool | 4.000% | 9/20/25–7/1/46 | 1,047,859 | 1,124,670 |
4,5 | Ginnie Mae II Pool | 4.500% | 8/20/33–7/1/46 | 488,147 | 527,638 |
4 | Ginnie Mae II Pool | 5.000% | 3/20/18–2/20/44 | 241,623 | 265,737 |
4 | Ginnie Mae II Pool | 5.500% | 8/20/23–7/20/43 | 85,048 | 94,075 |
4 | Ginnie Mae II Pool | 6.000% | 3/20/31–9/20/41 | 29,334 | 32,933 |
4 | Ginnie Mae II Pool | 6.500% | 10/20/28–11/20/39 | 11,148 | 12,596 |
4 | Ginnie Mae II Pool | 7.000% | 8/20/34–11/20/38 | 2,295 | 2,623 |
20,648,705 | |||||
Nonconventional Mortgage-Backed Securities (0.3%) | |||||
3,4,6 Fannie Mae Pool | 1.956% | 4/1/37 | 1,151 | 1,195 | |
3,4,6 Fannie Mae Pool | 2.083% | 9/1/37 | 1,813 | 1,942 | |
3,4 | Fannie Mae Pool | 2.114% | 3/1/43 | 5,572 | 5,716 |
3,4,6 Fannie Mae Pool | 2.126% | 12/1/41 | 2,460 | 2,530 | |
3,4 | Fannie Mae Pool | 2.184% | 6/1/42 | 5,092 | 5,322 |
3,4 | Fannie Mae Pool | 2.189% | 6/1/43 | 4,401 | 4,536 |
3,4 | Fannie Mae Pool | 2.217% | 9/1/42 | 3,626 | 3,789 |
3,4 | Fannie Mae Pool | 2.222% | 10/1/42 | 2,975 | 3,068 |
3,4 | Fannie Mae Pool | 2.267% | 7/1/43 | 5,481 | 5,665 |
3,4,6 Fannie Mae Pool | 2.341% | 8/1/35 | 610 | 650 |
17
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | Fannie Mae Pool | 2.387% | 7/1/42 | 4,195 | 4,343 |
3,4 | Fannie Mae Pool | 2.410% | 9/1/40–5/1/42 | 6,299 | 6,589 |
3,4,6 Fannie Mae Pool | 2.414% | 7/1/35 | 395 | 416 | |
3,4,6 Fannie Mae Pool | 2.415% | 6/1/36 | 15 | 16 | |
3,4 | Fannie Mae Pool | 2.419% | 5/1/43 | 9,086 | 9,450 |
3,4,6 Fannie Mae Pool | 2.439% | 12/1/33 | 203 | 216 | |
3,4,6 Fannie Mae Pool | 2.445% | 7/1/39 | 243 | 253 | |
3,4,6 Fannie Mae Pool | 2.450% | 11/1/33–7/1/37 | 355 | 379 | |
3,4 | Fannie Mae Pool | 2.451% | 10/1/42 | 3,543 | 3,664 |
3,4 | Fannie Mae Pool | 2.453% | 8/1/40–9/1/43 | 1,804 | 1,885 |
3,4,6 Fannie Mae Pool | 2.482% | 9/1/34 | 288 | 302 | |
3,4,6 Fannie Mae Pool | 2.485% | 11/1/36 | 294 | 312 | |
3,4,6 Fannie Mae Pool | 2.488% | 7/1/38 | 142 | 150 | |
3,4,6 Fannie Mae Pool | 2.519% | 2/1/36 | 441 | 449 | |
3,4,6 Fannie Mae Pool | 2.535% | 10/1/39 | 534 | 556 | |
3,4,6 Fannie Mae Pool | 2.544% | 8/1/37–10/1/40 | 2,173 | 2,291 | |
3,4,6 Fannie Mae Pool | 2.566% | 7/1/42 | 1,934 | 2,076 | |
3,4,6 Fannie Mae Pool | 2.568% | 6/1/37 | 397 | 419 | |
3,4,6 Fannie Mae Pool | 2.573% | 12/1/40 | 1,150 | 1,212 | |
3,4,6 Fannie Mae Pool | 2.576% | 7/1/38–11/1/39 | 433 | 458 | |
3,4,6 Fannie Mae Pool | 2.577% | 7/1/36 | 264 | 273 | |
3,4,6 Fannie Mae Pool | 2.612% | 12/1/41 | 2,277 | 2,440 | |
3,4 | Fannie Mae Pool | 2.619% | 11/1/41 | 2,225 | 2,373 |
3,4,6 Fannie Mae Pool | 2.623% | 12/1/35 | 510 | 542 | |
3,4,6 Fannie Mae Pool | 2.634% | 1/1/37 | 665 | 713 | |
3,4,6 Fannie Mae Pool | 2.674% | 10/1/40 | 1,588 | 1,672 | |
3,4,6 Fannie Mae Pool | 2.685% | 11/1/33–12/1/40 | 2,249 | 2,369 | |
3,4,6 Fannie Mae Pool | 2.690% | 11/1/40–12/1/40 | 1,919 | 2,025 | |
3,4,6 Fannie Mae Pool | 2.710% | 1/1/40 | 635 | 659 | |
3,4 | Fannie Mae Pool | 2.712% | 1/1/42 | 2,300 | 2,438 |
3,4 | Fannie Mae Pool | 2.724% | 12/1/43 | 4,953 | 5,131 |
3,4,6 Fannie Mae Pool | 2.725% | 2/1/36 | 527 | 562 | |
3,4 | Fannie Mae Pool | 2.750% | 3/1/42 | 3,677 | 3,863 |
3,4 | Fannie Mae Pool | 2.753% | 2/1/41–1/1/42 | 3,803 | 3,971 |
3,4,6 Fannie Mae Pool | 2.770% | 11/1/34 | 667 | 700 | |
3,4 | Fannie Mae Pool | 2.775% | 11/1/41 | 2,013 | 2,172 |
3,4,6 Fannie Mae Pool | 2.796% | 1/1/35 | 628 | 675 | |
3,4,6 Fannie Mae Pool | 2.805% | 5/1/42 | 1,026 | 1,071 | |
3,4,6 Fannie Mae Pool | 2.818% | 5/1/35 | 568 | 597 | |
3,4,6 Fannie Mae Pool | 2.828% | 3/1/41 | 1,823 | 1,917 | |
3,4,6 Fannie Mae Pool | 2.841% | 4/1/36 | 182 | 190 | |
3,4,6 Fannie Mae Pool | 2.848% | 5/1/40 | 559 | 583 | |
3,4 | Fannie Mae Pool | 2.899% | 12/1/40 | 1,144 | 1,209 |
3,4,6 Fannie Mae Pool | 2.915% | 3/1/42 | 2,612 | 2,807 | |
3,4,6 Fannie Mae Pool | 2.939% | 3/1/41 | 1,630 | 1,739 | |
3,4 | Fannie Mae Pool | 2.947% | 2/1/42–9/1/43 | 11,445 | 12,095 |
3,4,6 Fannie Mae Pool | 2.957% | 4/1/37 | 30 | 31 | |
3,4,6 Fannie Mae Pool | 2.975% | 2/1/42 | 2,089 | 2,238 | |
3,4,6 Fannie Mae Pool | 2.999% | 5/1/41 | 1,347 | 1,421 | |
3,4,6 Fannie Mae Pool | 3.012% | 10/1/36 | 457 | 495 | |
3,4,6 Fannie Mae Pool | 3.043% | 5/1/40 | 272 | 282 | |
3,4 | Fannie Mae Pool | 3.058% | 2/1/41 | 1,407 | 1,491 |
3,4 | Fannie Mae Pool | 3.138% | 2/1/41 | 1,169 | 1,240 |
3,4,6 Fannie Mae Pool | 3.162% | 5/1/36 | 25 | 25 | |
3,4 | Fannie Mae Pool | 3.359% | 8/1/42 | 3,071 | 3,199 |
18
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | Fannie Mae Pool | 3.568% | 4/1/41 | 1,714 | 1,807 |
3,4 | Fannie Mae Pool | 3.580% | 8/1/39 | 517 | 570 |
3,4 | Fannie Mae Pool | 3.582% | 6/1/41 | 494 | 532 |
3,4 | Fannie Mae Pool | 3.586% | 7/1/41 | 3,456 | 3,693 |
3,4 | Fannie Mae Pool | 3.749% | 6/1/41 | 2,134 | 2,286 |
3,4,6 Fannie Mae Pool | 3.796% | 8/1/39 | 1,802 | 1,870 | |
3,4 | Fannie Mae Pool | 3.832% | 9/1/40 | 2,134 | 2,277 |
3,4,6 Fannie Mae Pool | 4.034% | 11/1/39 | 705 | 745 | |
3,4,6 Fannie Mae Pool | 4.282% | 12/1/39 | 1,286 | 1,350 | |
3,4 | Fannie Mae Pool | 4.847% | 3/1/38 | 299 | 313 |
3,4 | Fannie Mae Pool | 5.520% | 4/1/37 | 596 | 632 |
3,4 | Fannie Mae Pool | 5.576% | 10/1/37 | 455 | 481 |
3,4 | Fannie Mae Pool | 5.852% | 12/1/37 | 653 | 711 |
3,4,6 Fannie Mae Pool | 6.004% | 10/1/37 | 1,006 | 1,055 | |
3,4,6 Freddie Mac Non Gold Pool | 1.735% | 10/1/37 | 23 | 23 | |
3,4,6 Freddie Mac Non Gold Pool | 2.230% | 6/1/37 | 527 | 540 | |
3,4,6 Freddie Mac Non Gold Pool | 2.333% | 3/1/37 | 41 | 43 | |
3,4 | Freddie Mac Non Gold Pool | 2.334% | 5/1/42 | 798 | 822 |
3,4,6 Freddie Mac Non Gold Pool | 2.430% | 1/1/37 | 646 | 682 | |
3,4,6 Freddie Mac Non Gold Pool | 2.479% | 7/1/35 | 274 | 289 | |
3,4,6 Freddie Mac Non Gold Pool | 2.492% | 10/1/37 | 877 | 926 | |
3,4,6 Freddie Mac Non Gold Pool | 2.500% | 1/1/38 | 291 | 311 | |
3,4,6 Freddie Mac Non Gold Pool | 2.515% | 12/1/36 | 263 | 280 | |
3,4,6 Freddie Mac Non Gold Pool | 2.531% | 11/1/36 | 156 | 162 | |
3,4 | Freddie Mac Non Gold Pool | 2.548% | 11/1/43 | 4,158 | 4,304 |
3,4 | Freddie Mac Non Gold Pool | 2.573% | 2/1/42 | 1,035 | 1,089 |
3,4,6 Freddie Mac Non Gold Pool | 2.587% | 12/1/34 | 430 | 453 | |
3,4,6 Freddie Mac Non Gold Pool | 2.602% | 1/1/35 | 74 | 80 | |
3,4,6 Freddie Mac Non Gold Pool | 2.612% | 12/1/36 | 515 | 534 | |
3,4,6 Freddie Mac Non Gold Pool | 2.619% | 12/1/40 | 2,507 | 2,600 | |
3,4,6 Freddie Mac Non Gold Pool | 2.621% | 11/1/34 | 615 | 647 | |
3,4,6 Freddie Mac Non Gold Pool | 2.630% | 6/1/40 | 575 | 592 | |
3,4,6 Freddie Mac Non Gold Pool | 2.634% | 12/1/35 | 425 | 449 | |
3,4,6 Freddie Mac Non Gold Pool | 2.635% | 7/1/38 | 231 | 235 | |
3,4,6 Freddie Mac Non Gold Pool | 2.652% | 2/1/37 | 162 | 173 | |
3,4,6 Freddie Mac Non Gold Pool | 2.655% | 3/1/37 | 32 | 34 | |
3,4,6 Freddie Mac Non Gold Pool | 2.662% | 3/1/37 | 131 | 139 | |
3,4,6 Freddie Mac Non Gold Pool | 2.717% | 1/1/37 | 240 | 255 | |
3,4 | Freddie Mac Non Gold Pool | 2.750% | 2/1/42 | 2,644 | 2,770 |
3,4,6 Freddie Mac Non Gold Pool | 2.755% | 11/1/40–12/1/40 | 1,505 | 1,561 | |
3,4,6 Freddie Mac Non Gold Pool | 2.761% | 6/1/37 | 622 | 665 | |
3,4,6 Freddie Mac Non Gold Pool | 2.762% | 11/1/40 | 1,244 | 1,285 | |
3,4,6 Freddie Mac Non Gold Pool | 2.763% | 6/1/37 | 502 | 536 | |
3,4 | Freddie Mac Non Gold Pool | 2.773% | 1/1/41 | 2,596 | 2,726 |
3,4,6 Freddie Mac Non Gold Pool | 2.851% | 5/1/36 | 375 | 395 | |
3,4,6 Freddie Mac Non Gold Pool | 2.875% | 5/1/38 | 97 | 102 | |
3,4,6 Freddie Mac Non Gold Pool | 2.890% | 4/1/35 | 26 | 27 | |
3,4 | Freddie Mac Non Gold Pool | 2.905% | 12/1/41 | 2,620 | 2,753 |
3,4,6 Freddie Mac Non Gold Pool | 2.932% | 6/1/40 | 685 | 732 | |
3,4,6 Freddie Mac Non Gold Pool | 2.973% | 2/1/36 | 162 | 166 | |
3,4,6 Freddie Mac Non Gold Pool | 2.980% | 3/1/41 | 440 | 468 | |
3,4,6 Freddie Mac Non Gold Pool | 2.983% | 10/1/36 | 392 | 410 | |
3,4,6 Freddie Mac Non Gold Pool | 3.005% | 5/1/40 | 445 | 475 | |
3,4,6 Freddie Mac Non Gold Pool | 3.010% | 3/1/37 | 407 | 433 | |
3,4,6 Freddie Mac Non Gold Pool | 3.024% | 2/1/41 | 695 | 740 |
19
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4,6 Freddie Mac Non Gold Pool | 3.035% | 2/1/41 | 1,584 | 1,685 | |
3,4 | Freddie Mac Non Gold Pool | 3.054% | 1/1/41 | 495 | 523 |
3,4,6 Freddie Mac Non Gold Pool | 3.068% | 5/1/40 | 416 | 439 | |
3,4 | Freddie Mac Non Gold Pool | 3.115% | 6/1/41 | 626 | 652 |
3,4,6 Freddie Mac Non Gold Pool | 3.173% | 3/1/37 | 44 | 44 | |
3,4 | Freddie Mac Non Gold Pool | 3.443% | 3/1/42 | 1,961 | 2,082 |
3,4 | Freddie Mac Non Gold Pool | 3.591% | 6/1/40 | 1,903 | 2,019 |
3,4 | Freddie Mac Non Gold Pool | 3.680% | 9/1/40 | 2,052 | 2,182 |
3,4 | Freddie Mac Non Gold Pool | 4.723% | 9/1/37 | 284 | 294 |
3,4 | Freddie Mac Non Gold Pool | 5.258% | 3/1/38 | 586 | 630 |
3,4 | Freddie Mac Non Gold Pool | 5.893% | 5/1/37 | 1,407 | 1,470 |
3,4 | Freddie Mac Non Gold Pool | 6.155% | 12/1/36 | 193 | 209 |
3,4 | Freddie Mac Non Gold Pool | 6.260% | 8/1/37 | 135 | 146 |
4,6 | Ginnie Mae II Pool | 1.750% | 6/20/29–4/20/41 | 621 | 640 |
4 | Ginnie Mae II Pool | 2.000% | 10/20/38–6/20/43 | 29,651 | 30,838 |
4,6 | Ginnie Mae II Pool | 2.250% | 5/20/41 | 739 | 779 |
4 | Ginnie Mae II Pool | 2.500% | 1/20/41–5/20/43 | 6,344 | 6,485 |
4 | Ginnie Mae II Pool | 3.000% | 7/20/38–11/20/41 | 6,540 | 6,905 |
4 | Ginnie Mae II Pool | 3.500% | 7/20/41–12/20/43 | 11,342 | 11,812 |
4 | Ginnie Mae II Pool | 4.000% | 4/20/41–10/20/41 | 3,987 | 4,216 |
259,335 | |||||
Total U.S. Government and Agency Obligations (Cost $61,402,039) | 63,788,976 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.8%) | |||||
4 | AEP Texas Central Transition Funding II | ||||
LLC 2006-A | 5.170% | 1/1/18 | 1,352 | 1,398 | |
4 | Ally Auto Receivables Trust 2013-2 | 0.790% | 1/15/18 | 201 | 201 |
4 | Ally Auto Receivables Trust 2013-2 | 1.240% | 11/15/18 | 700 | 701 |
4 | Ally Auto Receivables Trust 2014-1 | 0.970% | 10/15/18 | 1,698 | 1,698 |
4 | Ally Auto Receivables Trust 2014-1 | 1.530% | 4/15/19 | 1,150 | 1,158 |
4 | Ally Auto Receivables Trust 2014-3 | 1.280% | 6/17/19 | 3,350 | 3,360 |
4 | Ally Auto Receivables Trust 2014-3 | 1.720% | 3/16/20 | 1,325 | 1,332 |
4 | Ally Auto Receivables Trust 2014-SN1 | 0.950% | 6/20/18 | 735 | 734 |
4 | Ally Auto Receivables Trust 2014-SN2 | 1.030% | 9/20/17 | 2,524 | 2,524 |
4 | Ally Auto Receivables Trust 2014-SN2 | 1.210% | 2/20/19 | 1,850 | 1,851 |
4 | Ally Auto Receivables Trust 2015-1 | 1.390% | 9/16/19 | 1,050 | 1,055 |
4 | Ally Auto Receivables Trust 2015-1 | 1.750% | 5/15/20 | 1,075 | 1,088 |
4 | Ally Auto Receivables Trust 2015-2 | 1.490% | 11/15/19 | 2,675 | 2,690 |
4 | Ally Auto Receivables Trust 2015-2 | 1.840% | 6/15/20 | 1,310 | 1,330 |
4 | Ally Master Owner Trust Series 2014-4 | 1.430% | 6/17/19 | 3,800 | 3,807 |
4 | Ally Master Owner Trust Series 2015-3 | 1.630% | 5/15/20 | 4,950 | 4,974 |
4 | American Express Credit Account Secured Note | ||||
Trust 2013-3 | 0.980% | 5/15/19 | 1,000 | 1,001 | |
4 | American Express Credit Account Secured Note | ||||
Trust 2014-3 | 1.490% | 4/15/20 | 5,750 | 5,772 | |
4 | American Express Credit Account Secured Note | ||||
Trust 2014-4 | 1.430% | 6/15/20 | 3,025 | 3,045 | |
4 | AmeriCredit Automobile Receivables Trust 2013-4 | 0.960% | 4/9/18 | 6 | 6 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 0.900% | 9/10/18 | 179 | 179 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 1.520% | 1/8/19 | 400 | 400 |
4 | AmeriCredit Automobile Receivables Trust 2014-1 | 0.900% | 2/8/19 | 238 | 238 |
4 | AmeriCredit Automobile Receivables Trust 2014-1 | 1.680% | 7/8/19 | 375 | 376 |
4 | AmeriCredit Automobile Receivables Trust 2014-2 | 0.940% | 2/8/19 | 811 | 810 |
4 | AmeriCredit Automobile Receivables Trust 2014-3 | 1.150% | 6/10/19 | 1,925 | 1,926 |
4 | AmeriCredit Automobile Receivables Trust 2015-2 | 1.270% | 1/8/20 | 2,450 | 2,452 |
20
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 BA Credit Card Trust 2007-A1 | 5.170% | 6/15/19 | 900 | 919 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-2 | 6.009% | 5/10/45 | 483 | 483 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-3 | 5.889% | 7/10/44 | 55 | 55 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-5 | 5.414% | 9/10/47 | 2,443 | 2,446 |
4 Banc of America Commercial Mortgage | ||||
Trust 2006-5 | 5.448% | 9/10/47 | 890 | 896 |
4 Banc of America Commercial Mortgage | ||||
Trust 2007-2 | 5.790% | 4/10/49 | 1,320 | 1,328 |
4 Banc of America Commercial Mortgage | ||||
Trust 2008-1 | 6.436% | 2/10/51 | 9,082 | 9,488 |
4 Banc of America Commercial Mortgage | ||||
Trust 2015-UBS7 | 3.429% | 9/15/48 | 1,425 | 1,526 |
4 Banc of America Commercial Mortgage | ||||
Trust 2015-UBS7 | 3.705% | 9/15/48 | 2,525 | 2,776 |
Bank of Nova Scotia | 2.125% | 9/11/19 | 7,400 | 7,577 |
Bank of Nova Scotia | 1.850% | 4/14/20 | 17,300 | 17,526 |
Bank of Nova Scotia | 1.875% | 4/26/21 | 5,225 | 5,274 |
4 Barclays Dryrock Issuance Trust 2015-2 | 1.560% | 3/15/21 | 2,875 | 2,899 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2006-PWR13 | 5.582% | 9/11/41 | 1,125 | 1,127 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2006-TOP24 | 5.568% | 10/12/41 | 3,675 | 3,703 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-PWR16 | 5.910% | 6/11/40 | 3,600 | 3,683 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-PWR17 | 5.694% | 6/11/50 | 16,364 | 16,843 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-PWR17 | 5.915% | 6/11/50 | 4,095 | 4,247 |
4 Bear Stearns Commercial Mortgage Securities | ||||
Trust 2007-TOP28 | 5.742% | 9/11/42 | 7,812 | 8,068 |
4 BMW Vehicle Owner Trust 2014-A | 0.970% | 11/26/18 | 2,759 | 2,758 |
4 BMW Vehicle Owner Trust 2014-A | 1.500% | 2/25/21 | 2,275 | 2,283 |
4 BMW Vehicle Owner Trust 2015-1 | 1.240% | 12/20/17 | 3,925 | 3,930 |
4 BMW Vehicle Owner Trust 2015-2 | 1.400% | 9/20/18 | 3,450 | 3,463 |
4 BMW Vehicle Owner Trust 2015-2 | 1.550% | 2/20/19 | 1,250 | 1,248 |
4 Capital Auto Receivables Asset Trust 2013-3 | 1.680% | 4/20/18 | 1,340 | 1,342 |
4 Capital Auto Receivables Asset Trust 2013-4 | 1.090% | 3/20/18 | 691 | 691 |
4 Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 700 | 701 |
4 Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 700 | 702 |
4 Capital Auto Receivables Asset Trust 2014-1 | 1.690% | 10/22/18 | 1,090 | 1,093 |
4 Capital Auto Receivables Asset Trust 2014-1 | 2.220% | 1/22/19 | 1,116 | 1,124 |
4 Capital Auto Receivables Asset Trust 2014-2 | 1.260% | 5/21/18 | 674 | 674 |
4 Capital Auto Receivables Asset Trust 2014-2 | 1.620% | 10/22/18 | 775 | 776 |
4 Capital Auto Receivables Asset Trust 2014-3 | 1.480% | 11/20/18 | 1,350 | 1,352 |
4 Capital Auto Receivables Asset Trust 2014-3 | 1.830% | 4/22/19 | 975 | 980 |
4 Capital Auto Receivables Asset Trust 2015-1 | 1.610% | 6/20/19 | 2,375 | 2,386 |
4 Capital Auto Receivables Asset Trust 2015-1 | 1.860% | 10/21/19 | 1,300 | 1,312 |
4 Capital Auto Receivables Asset Trust 2015-2 | 1.730% | 9/20/19 | 3,650 | 3,674 |
4 Capital Auto Receivables Asset Trust 2015-3 | 1.940% | 1/21/20 | 2,875 | 2,909 |
4 Capital Auto Receivables Asset Trust 2015-3 | 1.970% | 1/21/20 | 1,800 | 1,816 |
4 Capital Auto Receivables Asset Trust 2015-3 | 2.130% | 5/20/20 | 1,840 | 1,854 |
4 Capital Auto Receivables Asset Trust 2015-4 | 1.830% | 3/20/20 | 2,750 | 2,764 |
21
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Capital Auto Receivables Asset Trust 2015-4 | 2.010% | 7/20/20 | 1,775 | 1,785 |
4 Capital One Multi-Asset Execution Trust 2007-A7 | 5.750% | 7/15/20 | 7,190 | 7,571 |
4 Capital One Multi-Asset Execution Trust 2014-A2 | 1.260% | 1/15/20 | 1,325 | 1,325 |
4 Capital One Multi-Asset Execution Trust 2014-A5 | 1.480% | 7/15/20 | 4,700 | 4,714 |
4 Capital One Multi-Asset Execution Trust 2015-A2 | 2.080% | 3/15/23 | 7,675 | 7,905 |
4 Capital One Multi-Asset Execution Trust 2015-A5 | 1.600% | 5/17/21 | 3,625 | 3,671 |
4 Capital One Multi-Asset Execution Trust 2015-A8 | 2.050% | 8/15/23 | 4,950 | 5,045 |
4 CarMax Auto Owner Trust 2012-3 | 0.790% | 4/16/18 | 940 | 939 |
4 CarMax Auto Owner Trust 2013-2 | 0.640% | 1/16/18 | 218 | 218 |
4 CarMax Auto Owner Trust 2013-2 | 0.840% | 11/15/18 | 799 | 797 |
4 CarMax Auto Owner Trust 2013-3 | 0.970% | 4/16/18 | 552 | 552 |
4 CarMax Auto Owner Trust 2013-3 | 1.490% | 1/15/19 | 1,210 | 1,215 |
4 CarMax Auto Owner Trust 2013-4 | 0.800% | 7/16/18 | 327 | 327 |
4 CarMax Auto Owner Trust 2013-4 | 1.280% | 5/15/19 | 375 | 376 |
4 CarMax Auto Owner Trust 2014-1 | 0.790% | 10/15/18 | 583 | 583 |
4 CarMax Auto Owner Trust 2014-1 | 1.320% | 7/15/19 | 735 | 737 |
4 CarMax Auto Owner Trust 2014-2 | 0.980% | 1/15/19 | 1,358 | 1,359 |
4 CarMax Auto Owner Trust 2014-2 | 1.610% | 10/15/19 | 1,000 | 1,007 |
4 CarMax Auto Owner Trust 2014-3 | 1.160% | 6/17/19 | 2,053 | 2,057 |
4 CarMax Auto Owner Trust 2014-3 | 1.730% | 2/18/20 | 1,150 | 1,160 |
4 CarMax Auto Owner Trust 2014-4 | 1.250% | 11/15/19 | 4,150 | 4,160 |
4 CarMax Auto Owner Trust 2015-2 | 1.370% | 3/16/20 | 2,175 | 2,182 |
4 CarMax Auto Owner Trust 2015-2 | 1.800% | 3/15/21 | 1,025 | 1,035 |
4 CarMax Auto Owner Trust 2015-3 | 1.630% | 5/15/20 | 3,300 | 3,328 |
4 CarMax Auto Owner Trust 2015-3 | 1.980% | 2/16/21 | 800 | 810 |
4 CarMax Auto Owner Trust 2015-4 | 1.560% | 11/16/20 | 2,500 | 2,524 |
4 CarMax Auto Owner Trust 2015-4 | 1.830% | 6/15/21 | 1,250 | 1,263 |
4 CD 2006-CD3 Mortgage Trust | 5.617% | 10/15/48 | 5,041 | 5,033 |
4 CD 2006-CD3 Mortgage Trust | 5.648% | 10/15/48 | 4,150 | 4,161 |
4 CD 2007-CD4 Commercial Mortgage Trust | 5.322% | 12/11/49 | 7,160 | 7,212 |
4 CD 2007-CD5 Mortgage Trust | 5.886% | 11/15/44 | 4,954 | 5,107 |
4 CenterPoint Energy Transition Bond Co. II | ||||
LLC 2005-A | 5.170% | 8/1/19 | 426 | 433 |
4 CenterPoint Energy Transition Bond Co. II | ||||
LLC 2005-A | 5.302% | 8/1/20 | 654 | 710 |
4 CenterPoint Energy Transition Bond Co. IV | ||||
LLC 2012-1 | 3.028% | 10/15/25 | 5,300 | 5,667 |
4 CFCRE Commercial Mortgage Trust 2016-C3 | 3.865% | 1/10/48 | 3,650 | 4,032 |
4 CFCRE Commercial Mortgage Trust 2016-C4 | 3.283% | 5/10/58 | 5,050 | 5,312 |
4 CFCRE Commercial Mortgage Trust 2016-C4 | 3.691% | 5/10/58 | 3,600 | 3,786 |
4 Chase Issuance Trust 2012-A4 | 1.580% | 8/16/21 | 5,500 | 5,572 |
4 Chase Issuance Trust 2012-A7 | 2.160% | 9/16/24 | 12,805 | 13,005 |
4 Chase Issuance Trust 2013-A1 | 1.300% | 2/18/20 | 9,550 | 9,603 |
4 Chase Issuance Trust 2013-A8 | 1.010% | 10/15/18 | 6,425 | 6,429 |
4 Chase Issuance Trust 2014-A1 | 1.150% | 1/15/19 | 19,175 | 19,213 |
4 Chase Issuance Trust 2014-A2 | 2.770% | 3/15/23 | 7,550 | 8,018 |
4 Chase Issuance Trust 2014-A6 | 1.260% | 7/15/19 | 9,700 | 9,686 |
4 Chase Issuance Trust 2014-A7 | 1.380% | 11/15/19 | 7,400 | 7,435 |
4 Chase Issuance Trust 2015-A2 | 1.590% | 2/18/20 | 14,896 | 15,055 |
4 Chase Issuance Trust 2015-A4 | 1.840% | 4/15/22 | 5,400 | 5,512 |
4 Chase Issuance Trust 2015-A5 | 1.360% | 4/15/20 | 11,000 | 11,080 |
4 Chase Issuance Trust 2016-A2 | 1.370% | 6/15/21 | 6,975 | 7,018 |
4 Citibank Credit Card Issuance Trust 2007-A8 | 5.650% | 9/20/19 | 7,150 | 7,538 |
4 Citibank Credit Card Issuance Trust 2008-A1 | 5.350% | 2/7/20 | 6,114 | 6,532 |
4 Citibank Credit Card Issuance Trust 2014-A1 | 2.880% | 1/23/23 | 15,000 | 15,970 |
22
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4 | Citibank Credit Card Issuance Trust 2014-A4 | 1.230% | 4/24/19 | 7,600 | 7,597 |
4 | Citibank Credit Card Issuance Trust 2014-A5 | 2.680% | 6/7/23 | 6,525 | 6,886 |
4 | Citibank Credit Card Issuance Trust 2014-A6 | 2.150% | 7/15/21 | 18,925 | 19,494 |
4 | Citibank Credit Card Issuance Trust 2014-A8 | 1.730% | 4/9/20 | 11,625 | 11,773 |
4 | Citigroup Commercial Mortgage Trust 2006-C5 | 5.431% | 10/15/49 | 1,597 | 1,602 |
4 | Citigroup Commercial Mortgage Trust 2006-C5 | 5.462% | 10/15/49 | 1,585 | 1,597 |
4 | Citigroup Commercial Mortgage Trust 2007-C6 | 5.901% | 12/10/49 | 9,305 | 9,567 |
4 | Citigroup Commercial Mortgage Trust 2008-C7 | 6.345% | 12/10/49 | 9,600 | 9,936 |
4 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.024% | 9/10/45 | 3,950 | 4,185 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 1,500 | 1,585 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.422% | 4/10/46 | 1,300 | 1,370 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 1,700 | 1,754 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 800 | 867 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 4.371% | 9/10/46 | 1,200 | 1,370 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 4.649% | 9/10/46 | 1,700 | 1,930 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 3.675% | 11/10/46 | 550 | 591 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 4.131% | 11/10/46 | 1,825 | 2,056 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 4.544% | 11/10/46 | 750 | 845 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 5.095% | 11/10/46 | 750 | 876 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 2.790% | 3/10/47 | 3,210 | 3,300 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 3.552% | 3/10/47 | 750 | 803 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 1,150 | 1,281 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.345% | 3/10/47 | 955 | 1,036 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.477% | 5/10/47 | 375 | 404 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.855% | 5/10/47 | 1,675 | 1,849 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 4.328% | 5/10/47 | 1,350 | 1,471 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 2,725 | 2,970 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 5,650 | 6,129 |
4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.137% | 2/10/48 | 7,425 | 7,805 |
4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.571% | 2/10/48 | 3,025 | 3,199 |
4 | Citigroup Commercial Mortgage Trust 2015-GC29 | 2.674% | 4/10/48 | 1,525 | 1,580 |
4 | Citigroup Commercial Mortgage Trust 2015-GC29 | 3.758% | 4/10/48 | 2,937 | 3,062 |
4 | Citigroup Commercial Mortgage Trust 2015-GC31 | 3.762% | 6/10/48 | 2,925 | 3,217 |
4 | Citigroup Commercial Mortgage Trust 2015-GC33 | 3.778% | 9/10/58 | 3,375 | 3,714 |
4 | Citigroup Commercial Mortgage Trust 2016-C1 | 3.003% | 5/10/49 | 2,075 | 2,162 |
4 | Citigroup Commercial Mortgage Trust 2016-C1 | 3.209% | 5/10/49 | 3,950 | 4,153 |
4 | Citigroup Commercial Mortgage Trust 2016-C32 | 3.616% | 2/10/49 | 7,150 | 7,745 |
4 | Citigroup/Deutsche Bank Commercial Mortgage | ||||
Trust 2016-C1 | 3.276% | 5/10/49 | 2,600 | 2,765 | |
4 | COBALT CMBS Commercial Mortgage | ||||
Trust 2007-C2 | 5.484% | 4/15/47 | 4,934 | 5,023 | |
4 | COBALT CMBS Commercial Mortgage | ||||
Trust 2007-C3 | 5.956% | 5/15/46 | 5,466 | 5,606 | |
4 | COMM 2007-C9 Mortgage Trust | 6.007% | 12/10/49 | 7,518 | 7,737 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 1,285 | 1,368 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 1,825 | 1,980 |
4,7 | COMM 2012-CCRE3 Mortgage Trust | 3.416% | 10/15/45 | 2,195 | 2,329 |
4 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 6,300 | 6,605 |
4 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 1,500 | 1,566 |
4 | COMM 2012-CR3 Mortgage Trust | 2.822% | 10/15/45 | 5,000 | 5,216 |
4 | COMM 2013-CCRE10 Mortgage Trust | 4.210% | 8/10/46 | 660 | 743 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.047% | 10/10/46 | 1,310 | 1,352 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.660% | 10/10/46 | 1,310 | 1,407 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 10/10/46 | 1,750 | 1,958 |
4 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 10/10/46 | 5,890 | 6,626 |
23
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 COMM 2013-CCRE11 Mortgage Trust | 4.715% | 10/10/46 | 1,310 | 1,501 |
4 COMM 2013-CCRE12 Mortgage Trust | 1.295% | 10/10/46 | 413 | 413 |
4 COMM 2013-CCRE12 Mortgage Trust | 2.904% | 10/10/46 | 1,075 | 1,106 |
4 COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 1,075 | 1,152 |
4 COMM 2013-CCRE12 Mortgage Trust | 3.765% | 10/10/46 | 1,500 | 1,645 |
4 COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 1,125 | 1,253 |
4 COMM 2013-CCRE12 Mortgage Trust | 4.300% | 10/10/46 | 750 | 834 |
4 COMM 2013-CCRE12 Mortgage Trust | 4.762% | 10/10/46 | 350 | 387 |
4 COMM 2013-CCRE13 Mortgage Trust | 1.259% | 11/10/18 | 291 | 292 |
4 COMM 2013-CCRE13 Mortgage Trust | 3.039% | 12/10/18 | 550 | 567 |
4 COMM 2013-CCRE13 Mortgage Trust | 3.706% | 10/10/23 | 375 | 409 |
4 COMM 2013-CCRE13 Mortgage Trust | 4.449% | 12/10/23 | 1,100 | 1,236 |
4 COMM 2013-CCRE6 Mortgage Trust | 3.101% | 3/10/46 | 1,744 | 1,848 |
4 COMM 2013-CCRE7 Mortgage Trust | 3.213% | 3/10/46 | 1,425 | 1,519 |
4 COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 1,888 | 2,052 |
4 COMM 2013-CCRE9 Mortgage Trust | 4.375% | 7/10/45 | 2,295 | 2,597 |
4 COMM 2013-CR13 Mortgage Trust | 4.194% | 11/10/23 | 3,700 | 4,173 |
4 COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 2,050 | 2,112 |
4 COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 2,020 | 2,274 |
4 COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 3,981 | 4,193 |
4 COMM 2013-LC6 Mortgage Trust | 3.282% | 1/10/46 | 2,184 | 2,291 |
4 COMM 2014-CCRE14 Mortgage Trust | 3.147% | 2/10/47 | 3,275 | 3,378 |
4 COMM 2014-CCRE14 Mortgage Trust | 4.526% | 2/10/47 | 2,725 | 3,077 |
4 COMM 2014-CCRE14 Mortgage Trust | 4.752% | 2/10/47 | 1,650 | 1,799 |
4 COMM 2014-CCRE15 Mortgage Trust | 2.928% | 2/10/47 | 2,712 | 2,793 |
4 COMM 2014-CCRE15 Mortgage Trust | 3.595% | 2/10/47 | 935 | 1,000 |
4 COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 1,737 | 1,943 |
4 COMM 2014-CCRE15 Mortgage Trust | 4.865% | 2/10/47 | 869 | 978 |
4 COMM 2014-CCRE16 Mortgage Trust | 3.653% | 4/10/47 | 1,500 | 1,606 |
4 COMM 2014-CCRE16 Mortgage Trust | 4.278% | 4/10/47 | 1,975 | 2,192 |
4 COMM 2014-CCRE19 Mortgage Trust | 3.796% | 8/10/47 | 5,775 | 6,352 |
4 COMM 2014-CCRE19 Mortgage Trust | 4.080% | 8/10/47 | 1,550 | 1,691 |
4 COMM 2014-CCRE21 Mortgage Trust | 3.095% | 12/10/47 | 2,916 | 3,058 |
4 COMM 2014-CCRE21 Mortgage Trust | 3.528% | 12/10/47 | 5,625 | 6,073 |
4 COMM 2014-CR14 Mortgage Trust | 4.236% | 2/10/47 | 2,450 | 2,771 |
4 COMM 2014-CR17 Mortgage Trust | 3.012% | 5/10/47 | 1,900 | 1,969 |
4 COMM 2014-CR17 Mortgage Trust | 3.598% | 5/10/47 | 950 | 1,010 |
4 COMM 2014-CR17 Mortgage Trust | 3.977% | 5/10/47 | 1,525 | 1,695 |
4 COMM 2014-CR17 Mortgage Trust | 4.377% | 5/10/47 | 955 | 1,040 |
4 COMM 2014-CR18 Mortgage Trust | 3.452% | 7/15/47 | 2,950 | 3,140 |
4 COMM 2014-CR18 Mortgage Trust | 3.828% | 7/15/47 | 975 | 1,073 |
4 COMM 2014-CR18 Mortgage Trust | 4.103% | 7/15/47 | 1,281 | 1,410 |
4 COMM 2014-CR20 Mortgage Trust | 3.590% | 11/10/47 | 1,525 | 1,657 |
4 COMM 2014-LC15 Mortgage Trust | 2.840% | 4/10/47 | 1,150 | 1,187 |
4 COMM 2014-LC15 Mortgage Trust | 4.006% | 4/10/47 | 5,225 | 5,808 |
4 COMM 2014-LC17 Mortgage Trust | 3.164% | 10/10/47 | 3,900 | 4,081 |
4 COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 1,550 | 1,717 |
4 COMM 2014-LC19 Mortgage Trust | 3.040% | 2/10/48 | 750 | 781 |
4 COMM 2014-LC19 Mortgage Trust | 3.183% | 2/10/48 | 4,000 | 4,225 |
4 COMM 2014-LC19 Mortgage Trust | 3.527% | 2/10/48 | 1,775 | 1,889 |
4 COMM 2014-UBS2 Mortgage Trust | 2.820% | 3/10/47 | 757 | 778 |
4 COMM 2014-UBS2 Mortgage Trust | 3.472% | 3/10/47 | 658 | 701 |
4 COMM 2014-UBS2 Mortgage Trust | 3.961% | 3/10/47 | 1,699 | 1,872 |
4 COMM 2014-UBS2 Mortgage Trust | 4.199% | 3/10/47 | 475 | 519 |
4 COMM 2014-UBS2 Mortgage Trust | 4.701% | 3/10/47 | 301 | 341 |
24
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
4 | COMM 2014-UBS3 Mortgage Trust | 2.844% | 6/10/47 | 1,150 | 1,191 |
4 | COMM 2014-UBS3 Mortgage Trust | 3.819% | 6/10/47 | 3,075 | 3,362 |
4 | COMM 2014-UBS4 Mortgage Trust | 3.694% | 8/10/47 | 6,000 | 6,484 |
4 | COMM 2014-UBS4 Mortgage Trust | 3.968% | 8/10/47 | 1,502 | 1,587 |
4 | COMM 2014-UBS5 Mortgage Trust | 3.838% | 9/10/47 | 4,575 | 5,013 |
4 | COMM 2014-UBS6 Mortgage Trust | 2.935% | 12/10/47 | 3,850 | 4,016 |
4 | COMM 2014-UBS6 Mortgage Trust | 3.387% | 12/10/47 | 3,850 | 4,090 |
4 | COMM 2014-UBS6 Mortgage Trust | 3.644% | 12/10/47 | 7,200 | 7,764 |
4 | COMM 2014-UBS6 Mortgage Trust | 4.048% | 12/10/47 | 1,925 | 2,092 |
4 | COMM 2015-CR22 Mortgage Trust | 2.856% | 3/10/48 | 1,900 | 1,976 |
4 | COMM 2015-CR22 Mortgage Trust | 3.309% | 3/10/48 | 5,325 | 5,634 |
4 | COMM 2015-CR22 Mortgage Trust | 3.603% | 3/10/48 | 1,900 | 2,014 |
4 | COMM 2015-CR23 Mortgage Trust | 3.257% | 5/10/48 | 2,200 | 2,331 |
4 | COMM 2015-CR23 Mortgage Trust | 3.497% | 5/10/48 | 3,250 | 3,497 |
4 | COMM 2015-CR23 Mortgage Trust | 3.801% | 5/10/48 | 1,450 | 1,565 |
4 | COMM 2015-CR25 Mortgage Trust | 3.759% | 8/10/48 | 3,500 | 3,830 |
4 | COMM 2015-CR26 Mortgage Trust | 3.630% | 10/10/48 | 6,675 | 7,220 |
4 | COMM 2015-CR27 Mortgage Trust | 3.404% | 10/10/48 | 3,575 | 3,819 |
4 | COMM 2015-CR27 Mortgage Trust | 3.612% | 10/10/48 | 3,575 | 3,865 |
4 | COMM 2016-CR28 Mortgage Trust | 3.762% | 2/10/49 | 5,350 | 5,858 |
4 | COMM 2016-DC2 Mortgage Trust | 3.550% | 2/10/49 | 4,375 | 4,659 |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2006-C4 | 5.509% | 9/15/39 | 368 | 367 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2006-C5 | 5.311% | 12/15/39 | 5,219 | 5,243 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2007-C1 | 5.383% | 2/15/40 | 2,093 | 2,108 | |
4 | Credit Suisse Commercial Mortgage Trust | ||||
Series 2007-C3 | 5.889% | 6/15/39 | 8,827 | 8,918 | |
4 | CSAIL Commercial Mortgage Trust 2015-C1 | 3.505% | 4/15/50 | 3,750 | 4,062 |
4 | CSAIL Commercial Mortgage Trust 2015-C1 | 3.791% | 4/15/50 | 1,900 | 2,054 |
4 | CSAIL Commercial Mortgage Trust 2015-C1 | 4.044% | 4/15/50 | 1,525 | 1,633 |
4 | CSAIL Commercial Mortgage Trust 2015-C2 | 1.454% | 6/15/57 | 2,154 | 2,157 |
4 | CSAIL Commercial Mortgage Trust 2015-C2 | 3.504% | 6/15/57 | 4,700 | 5,069 |
4 | CSAIL Commercial Mortgage Trust 2015-C2 | 3.849% | 6/15/57 | 1,800 | 1,949 |
4 | CSAIL Commercial Mortgage Trust 2015-C3 | 3.448% | 8/15/48 | 2,772 | 2,965 |
4 | CSAIL Commercial Mortgage Trust 2015-C3 | 3.718% | 8/15/48 | 3,550 | 3,853 |
4 | CSAIL Commercial Mortgage Trust 2015-C3 | 4.256% | 8/15/48 | 1,625 | 1,719 |
4 | CSAIL Commercial Mortgage Trust 2015-C4 | 3.617% | 11/15/48 | 1,800 | 1,947 |
4 | CSAIL Commercial Mortgage Trust 2015-C4 | 3.808% | 11/15/48 | 2,850 | 3,140 |
4 | Discover Card Execution Note Trust 2007-A1 | 5.650% | 3/16/20 | 9,453 | 9,948 |
4 | Discover Card Execution Note Trust 2014-A3 | 1.220% | 10/15/19 | 12,325 | 12,320 |
4 | Discover Card Execution Note Trust 2014-A5 | 1.390% | 4/15/20 | 10,650 | 10,687 |
4 | Discover Card Execution Note Trust 2015-A2 | 1.900% | 10/17/22 | 9,175 | 9,400 |
4 | Discover Card Execution Note Trust 2015-A3 | 1.450% | 3/15/21 | 6,900 | 6,964 |
4 | Discover Card Execution Note Trust 2015-A4 | 2.190% | 4/17/23 | 6,950 | 7,181 |
4 | Discover Card Execution Note Trust 2016-A1 | 1.640% | 7/15/21 | 11,000 | 11,162 |
3,4 | Fannie Mae-Aces 2010-M1 | 4.450% | 9/25/19 | 1,212 | 1,319 |
3,4 | Fannie Mae-Aces 2011-M2 | 3.764% | 4/25/21 | 5,200 | 5,735 |
3,4 | Fannie Mae-Aces 2011-M4 | 3.726% | 6/25/21 | 9,050 | 9,963 |
3,4 | Fannie Mae-Aces 2012-M9 | 1.553% | 4/25/22 | 865 | 874 |
3,4 | Fannie Mae-Aces 2013-M12 | 2.473% | 3/25/23 | 9,400 | 9,628 |
3,4 | Fannie Mae-Aces 2013-M14 | 2.586% | 4/25/23 | 10,839 | 11,229 |
3,4 | Fannie Mae-Aces 2013-M14 | 3.329% | 10/25/23 | 11,450 | 12,425 |
3,4 | Fannie Mae-Aces 2013-M4 | 2.608% | 3/25/22 | 675 | 711 |
25
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | Fannie Mae-Aces 2013-M7 | 2.280% | 12/27/22 | 3,850 | 3,953 |
3,4 | Fannie Mae-Aces 2014-M10 | 2.171% | 9/25/19 | 7,250 | 7,467 |
3,4 | Fannie Mae-Aces 2014-M12 | 2.614% | 10/25/21 | 11,300 | 11,833 |
3,4 | Fannie Mae-Aces 2014-M13 | 1.637% | 11/25/17 | 1,561 | 1,572 |
3,4 | Fannie Mae-Aces 2014-M13 | 2.566% | 8/25/24 | 1,580 | 1,664 |
3,4 | Fannie Mae-Aces 2014-M13 | 3.021% | 8/25/24 | 4,500 | 4,794 |
3,4 | Fannie Mae-Aces 2014-M15 | 2.509% | 7/25/22 | 4,150 | 4,301 |
3,4 | Fannie Mae-Aces 2014-M2 | 1.916% | 6/25/21 | 2,372 | 2,402 |
3,4 | Fannie Mae-Aces 2014-M2 | 3.513% | 12/25/23 | 11,322 | 12,430 |
3,4 | Fannie Mae-Aces 2014-M3 | 2.613% | 1/25/24 | 4,020 | 4,226 |
3,4 | Fannie Mae-Aces 2014-M3 | 3.501% | 1/25/24 | 5,400 | 5,945 |
3,4 | Fannie Mae-Aces 2014-M4 | 3.346% | 3/25/24 | 5,650 | 6,196 |
3,4 | Fannie Mae-Aces 2014-M6 | 2.679% | 5/25/21 | 10,600 | 11,133 |
3,4 | Fannie Mae-Aces 2014-M7 | 3.356% | 6/25/24 | 11,340 | 12,581 |
3,4 | Fannie Mae-Aces 2014-M8 | 2.346% | 6/25/24 | 1,685 | 1,753 |
3,4 | Fannie Mae-Aces 2014-M8 | 3.056% | 6/25/24 | 5,850 | 6,236 |
3,4 | Fannie Mae-Aces 2014-M9 | 1.462% | 4/25/17 | 6,253 | 6,239 |
3,4 | Fannie Mae-Aces 2014-M9 | 3.103% | 7/25/24 | 6,825 | 7,394 |
3,4 | Fannie Mae-Aces 2015-M1 | 1.626% | 2/25/18 | 2,821 | 2,845 |
3,4 | Fannie Mae-Aces 2015-M1 | 2.532% | 9/25/24 | 10,000 | 10,353 |
3,4 | Fannie Mae-Aces 2015-M10 | 3.092% | 4/25/27 | 2,750 | 2,939 |
3,4 | Fannie Mae-Aces 2015-M12 | 2.885% | 5/25/25 | 6,425 | 6,705 |
3,4 | Fannie Mae-Aces 2015-M15 | 2.923% | 10/25/25 | 8,825 | 9,286 |
3,4 | Fannie Mae-Aces 2015-M2 | 2.620% | 12/25/24 | 7,194 | 7,363 |
3,4 | Fannie Mae-Aces 2015-M3 | 2.723% | 10/25/24 | 3,700 | 3,869 |
3,4 | Fannie Mae-Aces 2015-M7 | 1.550% | 4/25/18 | 1,875 | 1,893 |
3,4 | Fannie Mae-Aces 2015-M7 | 2.590% | 12/25/24 | 6,650 | 6,907 |
3,4 | Fannie Mae-Aces 2015-M8 | 2.344% | 1/25/25 | 3,428 | 3,581 |
3,4 | Fannie Mae-Aces 2015-M8 | 2.900% | 1/25/25 | 3,600 | 3,854 |
3,4 | Fannie Mae-Aces 2016-M2 | 2.152% | 1/25/23 | 6,425 | 6,519 |
3,4 | Fannie Mae-Aces 2016-M3 | 2.702% | 2/25/26 | 3,500 | 3,653 |
3,4 | Fannie Mae-Aces 2016-M4 | 2.576% | 3/25/26 | 3,525 | 3,650 |
3,4 | Fannie Mae-Aces 2016-M5 | 2.469% | 4/25/26 | 7,600 | 7,831 |
3,4 | Fannie Mae-Aces 2016-M6 | 2.488% | 5/25/26 | 5,150 | 5,286 |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K004 | 4.186% | 8/25/19 | 2,050 | 2,223 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K005 | 3.484% | 4/25/19 | 6,845 | 6,984 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K006 | 3.398% | 7/25/19 | 4,851 | 4,993 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K007 | 3.342% | 12/25/19 | 3,726 | 3,795 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K009 | 2.757% | 5/25/20 | 5,843 | 5,949 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K010 | 2.412% | 8/25/18 | 2,414 | 2,475 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K010 | 3.320% | 7/25/20 | 3,246 | 3,329 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K011 | 4.084% | 11/25/20 | 1,675 | 1,852 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K012 | 4.186% | 12/25/20 | 2,725 | 3,047 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K014 | 3.871% | 4/25/21 | 4,667 | 5,157 |
26
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K017 | 2.873% | 12/25/21 | 12,820 | 13,578 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K019 | 2.272% | 3/25/22 | 5,430 | 5,589 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K020 | 2.373% | 5/25/22 | 13,400 | 13,905 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K021 | 2.396% | 6/25/22 | 8,300 | 8,681 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K021 | 3.490% | 1/25/24 | 475 | 529 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K022 | 2.355% | 7/25/22 | 575 | 600 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K026 | 2.510% | 11/25/22 | 11,500 | 12,040 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K028 | 3.111% | 2/25/23 | 8,625 | 9,376 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K028 | 2.745% | 1/25/26 | 6,350 | 6,702 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K029 | 3.320% | 2/25/23 | 11,425 | 12,542 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K030 | 2.779% | 9/25/22 | 9,301 | 9,673 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K030 | 3.250% | 4/25/23 | 11,425 | 12,499 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K031 | 3.300% | 4/25/23 | 11,906 | 13,068 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K032 | 3.016% | 2/25/23 | 5,519 | 5,836 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K032 | 3.310% | 5/25/23 | 6,420 | 7,052 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K033 | 2.871% | 2/25/23 | 10,097 | 10,615 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K033 | 3.060% | 7/25/23 | 12,300 | 13,303 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K034 | 3.531% | 7/25/23 | 10,633 | 11,834 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K035 | 3.458% | 8/25/23 | 12,575 | 13,905 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K038 | 2.604% | 10/25/23 | 3,411 | 3,575 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K038 | 3.389% | 3/25/24 | 5,225 | 5,783 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K039 | 2.683% | 12/25/23 | 2,417 | 2,538 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K039 | 3.303% | 7/25/24 | 2,600 | 2,865 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K040 | 2.768% | 4/25/24 | 3,498 | 3,704 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K040 | 3.241% | 9/25/24 | 9,300 | 10,190 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K041 | 3.171% | 10/25/24 | 9,300 | 10,176 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K042 | 2.267% | 6/25/24 | 1,781 | 1,867 |
27
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K042 | 2.670% | 12/25/24 | 7,225 | 7,599 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K043 | 2.532% | 10/25/23 | 1,826 | 1,908 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K043 | 2.493% | 11/25/24 | 3,530 | 3,735 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K043 | 3.062% | 12/25/24 | 5,600 | 6,072 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K043 | 3.023% | 1/25/25 | 5,800 | 6,284 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K046 | 3.205% | 3/25/25 | 5,800 | 6,331 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K047 | 2.827% | 12/25/24 | 1,767 | 1,881 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K047 | 3.329% | 5/25/25 | 4,450 | 4,900 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K048 | 3.284% | 6/25/25 | 6,350 | 7,012 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K049 | 3.010% | 7/25/25 | 3,850 | 4,143 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K050 | 3.334% | 8/25/25 | 6,375 | 7,045 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K052 | 3.151% | 11/25/25 | 4,150 | 4,517 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K053 | 2.995% | 12/25/25 | 2,450 | 2,635 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K055 | 2.673% | 3/25/26 | 7,000 | 7,334 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K152 | 3.080% | 1/25/31 | 3,500 | 3,624 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K503 | 1.384% | 1/25/19 | 4,933 | 4,950 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K503 | 2.456% | 8/25/19 | 11,200 | 11,545 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K504 | 2.566% | 9/25/20 | 3,500 | 3,634 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K702 | 3.154% | 2/25/18 | 15,419 | 15,848 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K706 | 2.323% | 10/25/18 | 4,929 | 5,062 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K707 | 2.220% | 12/25/18 | 4,725 | 4,847 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K708 | 1.670% | 10/25/18 | 101 | 101 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K710 | 1.883% | 5/25/19 | 1,205 | 1,229 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K711 | 1.321% | 12/25/18 | 6,023 | 6,038 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K711 | 1.730% | 7/25/19 | 14,925 | 15,115 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K712 | 1.869% | 11/25/19 | 7,000 | 7,150 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K713 | 2.313% | 3/25/20 | 18,525 | 19,205 |
28
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K714 | 3.034% | 10/25/20 | 13,040 | 13,881 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K716 | 3.130% | 6/25/21 | 12,630 | 13,633 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K716 | 2.413% | 8/25/47 | 2,275 | 2,338 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K717 | 2.991% | 9/25/21 | 7,475 | 8,038 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K718 | 2.375% | 9/25/21 | 8,476 | 8,799 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K718 | 2.791% | 1/25/22 | 6,800 | 7,260 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K722 | 2.183% | 5/25/22 | 2,500 | 2,550 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates KW01 | 2.853% | 1/25/26 | 7,000 | 7,433 | |
3,4 | FHLMC Multifamily Structures Pass Through | ||||
Certificates K715 | 2.856% | 1/25/21 | 4,225 | 4,498 | |
3,4 | FHLMC Multifamily Structures Pass Through | ||||
Certificates K715 | 2.716% | 6/25/22 | 4,550 | 4,831 | |
4 | Fifth Third Auto 2014-1 | 0.680% | 4/16/18 | 653 | 653 |
4 | Fifth Third Auto 2014-1 | 1.420% | 3/16/20 | 3,575 | 3,596 |
4 | Fifth Third Auto 2014-1 | 1.140% | 10/15/20 | 1,500 | 1,502 |
4 | Fifth Third Auto 2014-2 | 0.890% | 11/15/18 | 1,035 | 1,035 |
4 | Fifth Third Auto 2014-2 | 1.380% | 12/15/20 | 975 | 979 |
4 | Ford Credit Auto Lease Trust 2014-A | 0.900% | 6/15/17 | 27 | 27 |
4 | Ford Credit Auto Lease Trust 2014-A | 1.160% | 8/15/17 | 1,050 | 1,050 |
4 | Ford Credit Auto Lease Trust 2014-B | 0.890% | 9/15/17 | 894 | 894 |
4 | Ford Credit Auto Lease Trust 2015-A | 1.130% | 6/15/18 | 1,000 | 1,001 |
4 | Ford Credit Auto Lease Trust 2015-A | 1.310% | 8/15/18 | 725 | 727 |
4 | Ford Credit Auto Lease Trust 2015-B | 1.380% | 12/15/18 | 2,500 | 2,503 |
4 | Ford Credit Auto Lease Trust 2015-B | 1.540% | 2/15/19 | 1,775 | 1,778 |
4 | Ford Credit Auto Owner Trust 2013-B | 0.760% | 8/15/18 | 743 | 743 |
4 | Ford Credit Auto Owner Trust 2013-C | 0.820% | 12/15/17 | 205 | 205 |
4 | Ford Credit Auto Owner Trust 2013-C | 1.250% | 10/15/18 | 692 | 694 |
4 | Ford Credit Auto Owner Trust 2013-D | 0.670% | 4/15/18 | 561 | 561 |
4 | Ford Credit Auto Owner Trust 2013-D | 1.110% | 2/15/19 | 350 | 351 |
4 | Ford Credit Auto Owner Trust 2014-A | 0.790% | 5/15/18 | 469 | 469 |
4 | Ford Credit Auto Owner Trust 2014-A | 1.290% | 4/15/19 | 800 | 803 |
4 | Ford Credit Auto Owner Trust 2014-B | 0.900% | 10/15/18 | 2,131 | 2,131 |
4 | Ford Credit Auto Owner Trust 2014-B | 1.420% | 8/15/19 | 575 | 576 |
4 | Ford Credit Auto Owner Trust 2015-A | 1.280% | 9/15/19 | 1,850 | 1,856 |
4 | Ford Credit Auto Owner Trust 2015-A | 1.640% | 6/15/20 | 575 | 580 |
4 | Ford Credit Auto Owner Trust 2015-B | 1.160% | 11/15/19 | 2,300 | 2,306 |
4 | Ford Credit Auto Owner Trust 2015-B | 1.580% | 8/15/20 | 900 | 907 |
4 | Ford Credit Auto Owner Trust 2015-C | 1.410% | 2/15/20 | 1,725 | 1,736 |
4 | Ford Credit Auto Owner Trust 2015-C | 1.740% | 2/15/21 | 800 | 808 |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2013-5 | 1.500% | 9/15/18 | 2,800 | 2,803 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-1 | 1.200% | 2/15/19 | 3,550 | 3,556 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2014-4 | 1.400% | 8/15/19 | 2,725 | 2,719 | |
4 | Ford Credit Floorplan Master Owner Trust A | ||||
Series 2016-1 | 1.760% | 2/15/21 | 7,125 | 7,160 |
29
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 GE Capital Credit Card Master Note Trust | ||||
Series 2012-7 | 1.760% | 9/15/22 | 5,644 | 5,699 |
4 GE Commercial Mortgage Corp. | ||||
Series 2005-C4 Trust | 5.628% | 11/10/45 | 1,670 | 1,670 |
4 GE Commercial Mortgage Corp. | ||||
Series 2007-C1 Trust | 5.543% | 12/10/49 | 4,300 | 4,330 |
4 GM Financial Leasing Trust 2015-2 | 1.680% | 12/20/18 | 3,000 | 3,023 |
4 GM Financial Leasing Trust 2015-2 | 1.850% | 7/22/19 | 1,600 | 1,610 |
4 GM Financial Leasing Trust 2015-3 | 1.690% | 3/20/19 | 1,725 | 1,738 |
4 GM Financial Leasing Trust 2015-3 | 1.810% | 11/20/19 | 1,775 | 1,782 |
4 GM Financial Leasing Trust 2016-1 | 1.790% | 3/20/20 | 3,650 | 3,655 |
4 GM Financial Leasing Trust 2016-2 | 1.620% | 9/20/19 | 3,550 | 3,569 |
4 GS Mortgage Securities Trust 2007-GG10 | 5.988% | 8/10/45 | 4,361 | 4,462 |
4 GS Mortgage Securities Trust 2011-GC5 | 3.707% | 8/10/44 | 1,500 | 1,632 |
4 GS Mortgage Securities Trust 2012-GC6 | 3.482% | 1/10/45 | 6,350 | 6,849 |
4 GS Mortgage Securities Trust 2012-GCJ7 | 3.377% | 5/10/45 | 3,825 | 4,104 |
4 GS Mortgage Securities Trust 2012-GCJ9 | 2.773% | 11/10/45 | 2,955 | 3,091 |
4 GS Mortgage Securities Trust 2013-GC10 | 2.943% | 2/10/46 | 3,494 | 3,666 |
4 GS Mortgage Securities Trust 2013-GC10 | 3.279% | 2/10/46 | 1,310 | 1,369 |
4 GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 2,255 | 2,399 |
4 GS Mortgage Securities Trust 2013-GCJ12 | 3.375% | 6/10/46 | 966 | 1,018 |
4 GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 1,875 | 1,924 |
4 GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 1,340 | 1,443 |
4 GS Mortgage Securities Trust 2013-GCJ16 | 3.033% | 11/10/46 | 2,000 | 2,057 |
4 GS Mortgage Securities Trust 2013-GCJ16 | 3.813% | 11/10/46 | 710 | 774 |
4 GS Mortgage Securities Trust 2013-GCJ16 | 4.271% | 11/10/46 | 1,150 | 1,306 |
4 GS Mortgage Securities Trust 2014-GC18 | 1.298% | 1/10/47 | 1,520 | 1,516 |
4 GS Mortgage Securities Trust 2014-GC18 | 4.074% | 1/10/47 | 9,225 | 10,299 |
4 GS Mortgage Securities Trust 2014-GC18 | 4.383% | 1/10/47 | 2,750 | 3,074 |
4 GS Mortgage Securities Trust 2014-GC18 | 3.467% | 6/10/47 | 1,550 | 1,668 |
4 GS Mortgage Securities Trust 2014-GC18 | 3.516% | 6/10/47 | 500 | 533 |
4 GS Mortgage Securities Trust 2014-GC18 | 3.862% | 6/10/47 | 1,350 | 1,491 |
4 GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 4,275 | 4,745 |
4 GS Mortgage Securities Trust 2014-GC24 | 4.641% | 9/10/47 | 1,175 | 1,321 |
4 GS Mortgage Securities Trust 2014-GC26 | 2.902% | 11/10/47 | 1,225 | 1,277 |
4 GS Mortgage Securities Trust 2014-GC26 | 3.365% | 11/10/47 | 2,275 | 2,447 |
4 GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 7,475 | 8,103 |
4 GS Mortgage Securities Trust 2014-GC26 | 3.964% | 11/10/47 | 1,325 | 1,432 |
4 GS Mortgage Securities Trust 2014-GC26 | 4.215% | 11/10/47 | 1,125 | 1,233 |
4 GS Mortgage Securities Trust 2015-GC28 | 3.396% | 2/10/48 | 4,150 | 4,412 |
4 GS Mortgage Securities Trust 2015-GC30 | 2.726% | 5/10/50 | 2,575 | 2,673 |
4 GS Mortgage Securities Trust 2015-GC30 | 3.382% | 5/10/50 | 3,700 | 3,957 |
4 GS Mortgage Securities Trust 2015-GC32 | 3.513% | 7/10/48 | 3,675 | 3,970 |
4 GS Mortgage Securities Trust 2015-GC32 | 3.764% | 7/10/48 | 1,425 | 1,568 |
4 GS Mortgage Securities Trust 2015-GC34 | 3.278% | 10/10/48 | 3,575 | 3,820 |
4 GS Mortgage Securities Trust 2015-GC34 | 3.506% | 10/10/48 | 3,400 | 3,670 |
4 GS Mortgage Securities Trust 2016-GS2 | 3.050% | 5/10/49 | 2,700 | 2,829 |
4 Honda Auto Receivables 2013-4 Owner Trust | 1.040% | 2/18/20 | 1,100 | 1,100 |
4 Honda Auto Receivables 2014-1 Owner Trust | 1.040% | 2/21/20 | 1,122 | 1,123 |
4 Honda Auto Receivables 2014-2 Owner Trust | 1.180% | 5/18/20 | 1,000 | 1,001 |
4 Honda Auto Receivables 2014-3 Owner Trust | 1.310% | 10/15/20 | 1,925 | 1,936 |
4 Honda Auto Receivables 2015-1 Owner Trust | 1.050% | 10/15/18 | 3,325 | 3,331 |
4 Honda Auto Receivables 2015-1 Owner Trust | 1.320% | 11/16/20 | 2,250 | 2,261 |
4 Honda Auto Receivables 2015-2 Owner Trust | 1.040% | 2/21/19 | 2,500 | 2,504 |
4 Honda Auto Receivables 2015-2 Owner Trust | 1.470% | 8/23/21 | 1,450 | 1,461 |
30
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Honda Auto Receivables 2015-3 Owner Trust | 1.270% | 4/18/19 | 2,575 | 2,585 |
4 Honda Auto Receivables 2015-3 Owner Trust | 1.560% | 10/18/21 | 700 | 707 |
4 Honda Auto Receivables 2015-4 Owner Trust | 1.230% | 9/23/19 | 3,605 | 3,620 |
4 Honda Auto Receivables 2015-4 Owner Trust | 1.440% | 1/21/22 | 900 | 903 |
4 Huntington Auto Trust 2015-1 | 1.240% | 9/16/19 | 3,675 | 3,686 |
4 Hyundai Auto Receivables Trust 2012-C | 0.730% | 6/15/18 | 581 | 581 |
4 Hyundai Auto Receivables Trust 2013-B | 1.010% | 2/15/19 | 1,199 | 1,200 |
4 Hyundai Auto Receivables Trust 2013-C | 1.550% | 3/15/19 | 1,730 | 1,736 |
4 Hyundai Auto Receivables Trust 2014-A | 0.790% | 7/16/18 | 799 | 799 |
4 Hyundai Auto Receivables Trust 2014-B | 0.900% | 12/17/18 | 1,882 | 1,882 |
4 Hyundai Auto Receivables Trust 2014-B | 1.460% | 11/15/19 | 900 | 903 |
4 Hyundai Auto Receivables Trust 2015-A | 1.370% | 7/15/20 | 1,125 | 1,129 |
4 Hyundai Auto Receivables Trust 2015-C | 1.460% | 2/18/20 | 1,225 | 1,234 |
4 Hyundai Auto Receivables Trust 2015-C | 1.780% | 11/15/21 | 850 | 860 |
4 Hyundai Auto Receivables Trust 2016-A | 1.560% | 9/15/20 | 1,200 | 1,210 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2005-CIBC11 | 5.588% | 8/12/37 | 113 | 113 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-CB17 | 5.429% | 12/12/43 | 5,010 | 5,027 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-CIBC16 | 5.593% | 5/12/45 | 4,580 | 4,578 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-LDP7 | 6.184% | 4/17/45 | 1,762 | 1,758 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2006-LDP8 | 5.440% | 5/15/45 | 1,720 | 1,722 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-CIBC18 | 5.440% | 6/12/47 | 6,052 | 6,095 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-CIBC20 | 5.794% | 2/12/51 | 17,652 | 18,265 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-CIBC20 | 6.087% | 2/12/51 | 1,650 | 1,728 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-LDP11 | 5.927% | 6/15/49 | 5,610 | 5,732 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2007-LDP12 | 5.882% | 2/15/51 | 6,620 | 6,753 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C6 | 3.507% | 5/15/45 | 4,875 | 5,277 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-C8 | 2.829% | 10/15/45 | 11,975 | 12,526 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-CIBX | 3.483% | 6/15/45 | 3,816 | 4,112 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2012-LC9 | 2.840% | 12/15/47 | 2,250 | 2,352 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C10 | 3.143% | 12/15/47 | 1,389 | 1,474 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C10 | 3.372% | 12/15/47 | 1,042 | 1,099 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.674% | 12/15/46 | 1,250 | 1,357 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 3.881% | 12/15/46 | 1,500 | 1,668 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 4.166% | 12/15/46 | 4,900 | 5,522 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 4.517% | 12/15/46 | 1,250 | 1,403 |
31
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-C16 | 5.076% | 12/15/46 | 1,250 | 1,388 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2013-LC11 | 2.960% | 4/15/46 | 6,766 | 7,099 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2014-C20 | 2.872% | 7/15/47 | 1,525 | 1,586 |
4 JP Morgan Chase Commercial Mortgage | ||||
Securities Trust 2014-C20 | 3.805% | 7/15/47 | 575 | 632 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 3.664% | 7/15/45 | 1,982 | 2,168 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C12 | 4.161% | 7/15/45 | 655 | 717 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 3.761% | 8/15/46 | 990 | 1,078 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 4.133% | 8/15/46 | 2,640 | 2,968 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C14 | 4.409% | 8/15/46 | 740 | 829 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 2.977% | 11/15/45 | 3,846 | 3,972 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 3.659% | 11/15/45 | 505 | 548 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 4.131% | 11/15/45 | 3,520 | 3,963 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C15 | 4.420% | 11/15/45 | 2,010 | 2,242 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 3.003% | 1/15/47 | 1,550 | 1,608 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 3.705% | 1/15/47 | 1,163 | 1,265 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 4.199% | 1/15/47 | 4,320 | 4,883 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 4.458% | 1/15/47 | 775 | 867 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2013-C17 | 5.050% | 1/15/47 | 1,163 | 1,349 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.079% | 2/15/47 | 4,338 | 4,859 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.439% | 2/15/47 | 771 | 858 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C18 | 4.974% | 2/15/47 | 935 | 1,063 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 3.046% | 4/15/47 | 1,525 | 1,592 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 3.669% | 4/15/47 | 1,900 | 2,023 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 3.997% | 4/15/47 | 1,900 | 2,117 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 4.243% | 4/15/47 | 1,525 | 1,679 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C19 | 4.110% | 9/15/47 | 1,550 | 1,683 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C21 | 3.428% | 8/15/47 | 979 | 1,052 |
32
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C21 | 3.775% | 8/15/47 | 950 | 1,044 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C21 | 3.997% | 8/15/47 | 575 | 623 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C22 | 3.801% | 9/15/47 | 5,850 | 6,428 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C23 | 3.934% | 9/15/47 | 2,919 | 3,242 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C23 | 4.202% | 9/15/47 | 1,722 | 1,895 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C24 | 2.940% | 11/15/47 | 1,900 | 1,987 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C24 | 3.639% | 11/15/47 | 1,525 | 1,660 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C24 | 3.914% | 11/15/47 | 2,750 | 2,974 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C25 | 3.672% | 11/15/47 | 6,825 | 7,448 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C25 | 4.065% | 11/15/47 | 1,900 | 2,082 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.019% | 1/15/48 | 3,750 | 3,932 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.494% | 1/15/48 | 9,525 | 10,271 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.800% | 1/15/48 | 1,875 | 1,994 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2014-C26 | 3.951% | 1/15/48 | 1,875 | 1,958 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C27 | 2.734% | 2/15/48 | 3,000 | 3,119 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C27 | 3.017% | 2/15/48 | 3,763 | 3,954 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C28 | 2.773% | 10/15/48 | 3,750 | 3,881 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C28 | 3.532% | 10/15/48 | 1,125 | 1,178 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C29 | 2.921% | 5/15/48 | 3,000 | 3,145 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C29 | 3.304% | 5/15/48 | 1,903 | 2,033 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C29 | 3.611% | 5/15/48 | 2,900 | 3,150 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C30 | 3.559% | 7/15/48 | 3,675 | 3,977 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C30 | 3.822% | 7/15/48 | 3,600 | 3,967 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C30 | 4.226% | 7/15/48 | 1,850 | 2,057 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C31 | 3.540% | 8/15/48 | 1,709 | 1,852 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C31 | 3.801% | 8/15/48 | 1,841 | 2,028 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C32 | 3.358% | 11/15/48 | 3,575 | 3,831 |
33
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C32 | 3.598% | 11/15/48 | 3,575 | 3,880 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2015-C33 | 3.770% | 12/15/48 | 2,610 | 2,871 |
4 JPMBB Commercial Mortgage Securities | ||||
Trust 2016-C1 | 3.316% | 3/15/49 | 2,925 | 3,125 |
4 JPMCC Commercial Mortgage Securities | ||||
Trust 2015-JP1 | 3.914% | 1/15/49 | 2,825 | 3,157 |
4 JPMDB WP Glimcher Mall Trust 2016-C2 | 3.144% | 6/15/49 | 2,725 | 2,863 |
4 JPMDB WP Glimcher Mall Trust 2016-C2 | 3.484% | 6/15/49 | 1,250 | 1,318 |
4 LB-UBS Commercial Mortgage Trust 2006-C6 | 5.372% | 9/15/39 | 3,212 | 3,212 |
4 LB-UBS Commercial Mortgage Trust 2006-C6 | 5.413% | 9/15/39 | 1,176 | 1,179 |
4 LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 726 | 727 |
4 LB-UBS Commercial Mortgage Trust 2006-C7 | 5.378% | 11/15/38 | 1,585 | 1,599 |
4 LB-UBS Commercial Mortgage Trust 2007-C2 | 5.430% | 2/15/40 | 6,318 | 6,396 |
4 LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 11,848 | 12,340 |
4 LB-UBS Commercial Mortgage Trust 2008-C1 | 6.248% | 4/15/41 | 11,329 | 11,892 |
4 Mercedes-Benz Auto Lease Trust 2015-A | 1.210% | 10/15/20 | 5,650 | 5,658 |
4 Mercedes-Benz Auto Lease Trust 2015-B | 1.340% | 7/16/18 | 1,800 | 1,806 |
4 Mercedes-Benz Auto Lease Trust 2015-B | 1.530% | 5/17/21 | 1,075 | 1,082 |
4 Mercedes-Benz Auto Receivables Trust 2013-1 | 0.780% | 8/15/17 | 26 | 26 |
4 Mercedes-Benz Auto Receivables Trust 2013-1 | 1.130% | 11/15/19 | 692 | 692 |
4 Mercedes-Benz Auto Receivables Trust 2014-1 | 0.870% | 10/15/18 | 1,328 | 1,327 |
4 Mercedes-Benz Auto Receivables Trust 2014-1 | 1.310% | 11/16/20 | 600 | 602 |
4 Mercedes-Benz Auto Receivables Trust 2015-1 | 1.340% | 12/16/19 | 2,150 | 2,162 |
4 Mercedes-Benz Auto Receivables Trust 2015-1 | 1.750% | 12/15/21 | 725 | 737 |
4 Merrill Lynch Mortgage Trust 2006-C2 | 5.782% | 8/12/43 | 1,936 | 1,934 |
4 Merrill Lynch Mortgage Trust 2007-C1 | 6.021% | 6/12/50 | 2,345 | 2,393 |
4 Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 5,181 | 5,390 |
4 ML-CFC Commercial Mortgage Trust 2006-3 | 5.456% | 7/12/46 | 435 | 435 |
4 ML-CFC Commercial Mortgage Trust 2006-4 | 5.204% | 12/12/49 | 1,225 | 1,239 |
4 ML-CFC Commercial Mortgage Trust 2007-5 | 5.378% | 8/12/48 | 6,153 | 6,210 |
4 ML-CFC Commercial Mortgage Trust 2007-7 | 5.810% | 6/12/50 | 4,484 | 4,621 |
4 ML-CFC Commercial Mortgage Trust 2007-9 | 5.700% | 9/12/49 | 10,528 | 10,820 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C5 | 3.176% | 8/15/45 | 1,600 | 1,696 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2012-C6 | 2.858% | 11/15/45 | 4,000 | 4,184 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 4.360% | 8/15/46 | 990 | 1,123 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C11 | 4.560% | 8/15/46 | 490 | 548 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 3.001% | 10/15/46 | 2,260 | 2,325 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C12 | 4.259% | 10/15/46 | 3,360 | 3,805 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C13 | 2.936% | 11/15/46 | 1,100 | 1,134 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C13 | 4.039% | 11/15/46 | 2,200 | 2,454 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C13 | 4.903% | 11/15/46 | 1,100 | 1,246 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C7 | 2.918% | 2/15/46 | 1,707 | 1,789 |
34
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C7 | 3.214% | 2/15/46 | 341 | 356 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C8 | 3.134% | 12/15/48 | 2,100 | 2,229 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C8 | 3.376% | 12/15/48 | 1,000 | 1,053 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C9 | 3.102% | 5/15/46 | 1,275 | 1,347 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2013-C9 | 3.456% | 5/15/46 | 1,125 | 1,191 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 1.250% | 2/15/47 | 714 | 711 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 2.916% | 2/15/47 | 1,525 | 1,575 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 3.669% | 2/15/47 | 3,201 | 3,393 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 4.064% | 2/15/47 | 3,050 | 3,420 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C14 | 4.802% | 2/15/47 | 1,150 | 1,263 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 2.849% | 6/15/47 | 575 | 595 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 3.477% | 6/15/47 | 775 | 827 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 3.892% | 6/15/47 | 2,875 | 3,175 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C16 | 4.482% | 6/15/47 | 1,150 | 1,275 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C18 | 3.194% | 10/15/47 | 3,500 | 3,665 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C18 | 3.923% | 10/15/47 | 1,000 | 1,109 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C18 | 4.593% | 10/15/47 | 1,150 | 1,310 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C19 | 3.101% | 12/15/47 | 3,775 | 3,956 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C19 | 3.326% | 12/15/47 | 2,000 | 2,119 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2014-C19 | 3.526% | 12/15/47 | 3,275 | 3,564 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C20 | 3.069% | 2/15/48 | 1,875 | 1,963 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C20 | 3.249% | 2/15/48 | 6,650 | 7,033 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C21 | 3.338% | 3/15/48 | 1,500 | 1,558 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C22 | 3.040% | 4/15/48 | 3,750 | 3,920 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C22 | 3.306% | 4/15/48 | 2,950 | 3,094 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C22 | 3.883% | 4/15/48 | 1,875 | 1,951 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C23 | 2.982% | 7/15/50 | 1,800 | 1,884 |
35
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C23 | 3.398% | 7/15/50 | 1,050 | 1,120 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C23 | 3.719% | 7/15/50 | 3,650 | 3,997 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C25 | 3.383% | 10/15/48 | 3,850 | 4,093 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C25 | 3.635% | 10/15/48 | 1,975 | 2,156 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C26 | 3.323% | 10/15/48 | 2,325 | 2,477 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C26 | 3.531% | 10/15/48 | 2,625 | 2,848 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C27 | 3.557% | 12/15/47 | 1,800 | 1,940 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2015-C27 | 3.753% | 12/15/47 | 2,175 | 2,391 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2016-C28 | 3.288% | 1/15/49 | 2,425 | 2,534 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2016-C28 | 3.544% | 1/15/49 | 7,000 | 7,579 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2016-C29 | 3.140% | 5/15/49 | 1,500 | 1,573 |
4 Morgan Stanley Bank of America Merrill Lynch | ||||
Trust 2016-C29 | 3.325% | 5/15/49 | 750 | 798 |
4 Morgan Stanley Capital I Trust 2005-IQ9 | 4.770% | 7/15/56 | 886 | 889 |
4 Morgan Stanley Capital I Trust 2005-TOP19 | 4.985% | 6/12/47 | 34 | 34 |
4 Morgan Stanley Capital I Trust 2006-HQ10 | 5.360% | 11/12/41 | 2,626 | 2,643 |
4 Morgan Stanley Capital I Trust 2006-HQ9 | 5.793% | 7/12/44 | 984 | 984 |
4 Morgan Stanley Capital I Trust 2006-IQ12 | 5.332% | 12/15/43 | 3,932 | 3,941 |
4 Morgan Stanley Capital I Trust 2006-IQ12 | 5.370% | 12/15/43 | 1,355 | 1,364 |
4 Morgan Stanley Capital I Trust 2007-IQ14 | 5.654% | 4/15/49 | 170 | 171 |
4 Morgan Stanley Capital I Trust 2007-IQ14 | 5.692% | 4/15/49 | 9,610 | 9,731 |
4 Morgan Stanley Capital I Trust 2007-IQ15 | 6.102% | 6/11/49 | 3,568 | 3,696 |
4 Morgan Stanley Capital I Trust 2007-IQ16 | 5.809% | 12/12/49 | 10,622 | 10,999 |
4 Morgan Stanley Capital I Trust 2007-IQ16 | 6.256% | 12/12/49 | 2,285 | 2,353 |
4 Morgan Stanley Capital I Trust 2007-TOP25 | 5.514% | 11/12/49 | 938 | 943 |
4 Morgan Stanley Capital I Trust 2007-TOP25 | 5.544% | 11/12/49 | 1,750 | 1,780 |
4 Morgan Stanley Capital I Trust 2007-TOP27 | 5.820% | 6/11/42 | 9,248 | 9,503 |
4 Morgan Stanley Capital I Trust 2007-TOP27 | 5.820% | 6/11/42 | 2,475 | 2,560 |
4 Morgan Stanley Capital I Trust 2008-TOP29 | 6.477% | 1/11/43 | 14,691 | 15,398 |
4 Morgan Stanley Capital I Trust 2012-C4 | 3.244% | 3/15/45 | 6,000 | 6,369 |
4 Morgan Stanley Capital I Trust 2012-C4 | 3.773% | 3/15/45 | 1,800 | 1,937 |
4 Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 2,525 | 2,791 |
7 National Australia Bank Ltd. | 2.250% | 3/16/21 | 12,000 | 12,317 |
4 Nissan Auto Lease Trust 2014-B | 1.120% | 9/15/17 | 1,125 | 1,126 |
4 Nissan Auto Lease Trust 2015-B | 1.540% | 4/16/18 | 2,500 | 2,515 |
4 Nissan Auto Lease Trust 2015-B | 1.700% | 4/15/21 | 1,625 | 1,634 |
4 Nissan Auto Receivables 2013-B Owner Trust | 0.840% | 11/15/17 | 220 | 220 |
4 Nissan Auto Receivables 2013-B Owner Trust | 1.310% | 10/15/19 | 1,040 | 1,043 |
4 Nissan Auto Receivables 2013-C Owner Trust | 0.670% | 8/15/18 | 641 | 641 |
4 Nissan Auto Receivables 2013-C Owner Trust | 1.300% | 6/15/20 | 1,150 | 1,155 |
4 Nissan Auto Receivables 2014-A Owner Trust | 0.720% | 8/15/18 | 640 | 640 |
4 Nissan Auto Receivables 2014-A Owner Trust | 1.340% | 8/17/20 | 1,475 | 1,482 |
4 Nissan Auto Receivables 2014-B Owner Trust | 1.110% | 5/15/19 | 1,784 | 1,786 |
4 Nissan Auto Receivables 2015-B Owner Trust | 1.340% | 3/16/20 | 2,125 | 2,137 |
36
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Nissan Auto Receivables 2015-B Owner Trust | 1.790% | 1/17/22 | 1,075 | 1,094 |
4 Nissan Auto Receivables 2015-C Owner Trust | 1.370% | 5/15/20 | 1,025 | 1,031 |
4 Nissan Auto Receivables 2015-C Owner Trust | 1.670% | 2/15/22 | 1,750 | 1,769 |
4 Nissan Auto Receivables 2016-B Owner Trust | 1.540% | 10/17/22 | 2,500 | 2,514 |
4 Royal Bank of Canada | 1.200% | 9/19/18 | 11,600 | 11,623 |
4 Royal Bank of Canada | 2.200% | 9/23/19 | 24,550 | 25,154 |
4 Royal Bank of Canada | 2.000% | 10/1/19 | 12,000 | 12,175 |
4 Royal Bank of Canada | 2.100% | 10/14/20 | 35,000 | 35,760 |
4 Royal Bank of Canada | 2.300% | 3/22/21 | 5,000 | 5,144 |
4 Santander Drive Auto Receivables Trust 2013-4 | 1.590% | 10/15/18 | 918 | 918 |
4 Santander Drive Auto Receivables Trust 2014-4 | 1.080% | 9/17/18 | 833 | 833 |
4 Synchrony Credit Card Master Note Trust 2014-1 | 1.610% | 11/15/20 | 2,225 | 2,235 |
4 Synchrony Credit Card Master Note Trust 2015-2 | 1.600% | 4/15/21 | 2,200 | 2,211 |
4 Synchrony Credit Card Master Note Trust 2016-2 | 2.210% | 5/15/24 | 3,225 | 3,281 |
4 TIAA Seasoned Commercial Mortgage | ||||
Trust 2007-C4 | 5.538% | 8/15/39 | 304 | 304 |
7 Toronto-Dominion Bank | 2.250% | 3/15/21 | 18,000 | 18,475 |
4 Toyota Auto Receivables 2013-A Owner Trust | 0.690% | 11/15/18 | 777 | 777 |
4 Toyota Auto Receivables 2014-A Owner Trust | 1.180% | 6/17/19 | 850 | 851 |
4 Toyota Auto Receivables 2014-B Owner Trust | 0.760% | 3/15/18 | 602 | 602 |
4 Toyota Auto Receivables 2014-B Owner Trust | 1.310% | 9/16/19 | 750 | 753 |
4 Toyota Auto Receivables 2015-6 Owner Trust | 1.300% | 4/15/20 | 1,750 | 1,758 |
4 Toyota Auto Receivables 2015-6 Owner Trust | 1.520% | 8/16/21 | 2,200 | 2,216 |
4 Toyota Auto Receivables 2015-B Owner Trust | 1.270% | 5/15/19 | 5,300 | 5,319 |
4 Toyota Auto Receivables 2015-B Owner Trust | 1.740% | 9/15/20 | 3,275 | 3,316 |
4 Toyota Auto Receivables 2015-C Owner Trust | 1.340% | 6/17/19 | 3,050 | 3,064 |
4 Toyota Auto Receivables Owner Trust 2015-C | 1.690% | 12/15/20 | 3,000 | 3,029 |
4 UBS-Barclays Commercial Mortgage | ||||
Trust 2013-C5 | 3.185% | 3/10/46 | 2,870 | 3,038 |
4 UBS-Barclays Commercial Mortgage | ||||
Trust 2013-C6 | 3.244% | 4/10/46 | 4,765 | 5,063 |
4 UBS-Barclays Commercial Mortgage | ||||
Trust 2013-C6 | 3.469% | 4/10/46 | 700 | 740 |
4 USAA Auto Owner Trust 2014-1 | 0.580% | 12/15/17 | 198 | 198 |
4 USAA Auto Owner Trust 2014-1 | 0.940% | 5/15/19 | 750 | 750 |
4 Volkswagen Auto Lease Trust 2014-A | 0.800% | 4/20/17 | 117 | 117 |
4 Volkswagen Auto Lease Trust 2014-A | 0.990% | 7/20/18 | 735 | 734 |
4 Volkswagen Auto Loan Enhanced Trust 2013-2 | 0.700% | 4/20/18 | 413 | 412 |
4 Volkswagen Auto Loan Enhanced Trust 2013-2 | 1.160% | 3/20/20 | 550 | 549 |
4 Volkswagen Auto Loan Enhanced Trust 2014-1 | 0.910% | 10/22/18 | 1,696 | 1,694 |
4 Volkswagen Auto Loan Enhanced Trust 2014-1 | 1.450% | 9/21/20 | 1,950 | 1,946 |
4 Volkswagen Auto Loan Enhanced Trust 2014-2 | 1.390% | 5/20/21 | 1,875 | 1,870 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2005-C21 | 5.467% | 10/15/44 | 48 | 48 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-C26 | 6.224% | 6/15/45 | 475 | 475 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2006-C29 | 5.339% | 11/15/48 | 2,400 | 2,417 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2007-C30 | 5.342% | 12/15/43 | 2,040 | 2,058 |
4 Wachovia Bank Commercial Mortgage Trust | ||||
Series 2007-C33 | 6.147% | 2/15/51 | 3,937 | 4,006 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2012-LC5 | 2.918% | 10/15/45 | 4,975 | 5,221 |
37
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2014-LC16 | 2.819% | 8/15/50 | 1,150 | 1,187 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2014-LC16 | 3.477% | 8/15/50 | 775 | 828 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2014-LC16 | 3.817% | 8/15/50 | 2,700 | 2,963 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2014-LC16 | 4.020% | 8/15/50 | 400 | 438 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2014-LC18 | 2.954% | 12/15/47 | 2,250 | 2,343 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2014-LC18 | 3.244% | 12/15/47 | 1,400 | 1,482 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2014-LC18 | 3.271% | 12/15/47 | 2,625 | 2,762 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2014-LC18 | 3.405% | 12/15/47 | 3,725 | 3,981 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2014-LC18 | 3.808% | 12/15/47 | 1,875 | 2,055 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-C26 | 2.991% | 2/15/48 | 3,750 | 3,896 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-C26 | 3.166% | 2/15/48 | 2,075 | 2,183 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-C26 | 3.580% | 2/15/48 | 1,500 | 1,564 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-C28 | 3.540% | 5/15/48 | 5,425 | 5,862 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-C28 | 3.872% | 5/15/48 | 1,040 | 1,125 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-C29 | 3.400% | 6/15/48 | 3,650 | 3,895 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-LC20 | 2.978% | 4/15/50 | 1,029 | 1,074 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-LC20 | 3.719% | 4/15/50 | 1,900 | 1,955 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-LC22 | 3.571% | 9/15/58 | 1,425 | 1,533 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-LC22 | 3.839% | 9/15/58 | 2,000 | 2,211 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-LC22 | 4.207% | 9/15/58 | 1,775 | 1,936 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-NSX1 | 2.632% | 5/15/48 | 1,600 | 1,652 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-NSX1 | 2.934% | 5/15/48 | 1,125 | 1,172 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-NSX1 | 3.148% | 5/15/48 | 1,500 | 1,584 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-P2 | 3.656% | 12/15/48 | 2,875 | 3,119 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-P2 | 3.809% | 12/15/48 | 1,800 | 1,986 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2015-SG1 | 3.789% | 12/15/47 | 2,400 | 2,638 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2016-C32 | 3.324% | 1/15/59 | 1,929 | 2,053 |
38
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2016-C32 | 3.560% | 1/15/59 | 4,200 | 4,538 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2016-C33 | 3.426% | 3/15/59 | 1,450 | 1,552 |
4 Wells Fargo Commercial Mortgage | ||||
Trust 2016-C34 | 3.096% | 6/15/49 | 2,900 | 3,030 |
4 WFRBS Commercial Mortgage Trust 2012-C10 | 2.875% | 12/15/45 | 2,500 | 2,620 |
4 WFRBS Commercial Mortgage Trust 2012-C6 | 3.440% | 4/15/45 | 3,875 | 4,177 |
4 WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 3,511 | 3,795 |
4 WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 2,200 | 2,415 |
4 WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 1,600 | 1,691 |
4 WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 3,300 | 3,464 |
4 WFRBS Commercial Mortgage Trust 2013-C11 | 3.071% | 3/15/45 | 2,414 | 2,553 |
4 WFRBS Commercial Mortgage Trust 2013-C12 | 3.198% | 3/15/48 | 1,045 | 1,113 |
4 WFRBS Commercial Mortgage Trust 2013-C12 | 3.560% | 3/15/48 | 495 | 524 |
4 WFRBS Commercial Mortgage Trust 2013-C13 | 3.001% | 5/15/45 | 2,154 | 2,267 |
4 WFRBS Commercial Mortgage Trust 2013-C13 | 3.345% | 5/15/45 | 421 | 442 |
4 WFRBS Commercial Mortgage Trust 2013-C14 | 3.337% | 6/15/46 | 3,250 | 3,475 |
4 WFRBS Commercial Mortgage Trust 2013-C14 | 3.488% | 6/15/46 | 1,725 | 1,825 |
4 WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 660 | 712 |
4 WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 2,640 | 2,971 |
4 WFRBS Commercial Mortgage Trust 2013-C15 | 4.358% | 8/15/46 | 660 | 735 |
4 WFRBS Commercial Mortgage Trust 2013-C16 | 3.223% | 9/15/46 | 2,530 | 2,619 |
4 WFRBS Commercial Mortgage Trust 2013-C16 | 3.963% | 9/15/46 | 1,520 | 1,659 |
4 WFRBS Commercial Mortgage Trust 2013-C16 | 4.415% | 9/15/46 | 1,520 | 1,733 |
4 WFRBS Commercial Mortgage Trust 2013-C16 | 4.668% | 9/15/46 | 2,530 | 2,874 |
4 WFRBS Commercial Mortgage Trust 2013-C17 | 2.921% | 12/15/46 | 725 | 747 |
4 WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 725 | 778 |
4 WFRBS Commercial Mortgage Trust 2013-C17 | 4.023% | 12/15/46 | 925 | 1,035 |
4 WFRBS Commercial Mortgage Trust 2013-C17 | 4.255% | 12/15/46 | 725 | 805 |
4 WFRBS Commercial Mortgage Trust 2013-C17 | 4.788% | 12/15/46 | 725 | 822 |
4 WFRBS Commercial Mortgage Trust 2013-C18 | 3.027% | 12/15/46 | 750 | 776 |
4 WFRBS Commercial Mortgage Trust 2013-C18 | 3.651% | 12/15/46 | 1,500 | 1,617 |
4 WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 7,268 | 8,169 |
4 WFRBS Commercial Mortgage Trust 2013-C18 | 4.387% | 12/15/46 | 375 | 420 |
4 WFRBS Commercial Mortgage Trust 2013-C18 | 4.822% | 12/15/46 | 563 | 634 |
4 WFRBS Commercial Mortgage Trust 2013-UBS1 | 2.927% | 3/15/46 | 1,850 | 1,909 |
4 WFRBS Commercial Mortgage Trust 2013-UBS1 | 3.591% | 3/15/46 | 1,100 | 1,171 |
4 WFRBS Commercial Mortgage Trust 2013-UBS1 | 4.079% | 3/15/46 | 1,475 | 1,652 |
4 WFRBS Commercial Mortgage Trust 2013-UBS1 | 4.783% | 3/15/46 | 375 | 428 |
4 WFRBS Commercial Mortgage Trust 2014-C19 | 1.233% | 3/15/47 | 395 | 395 |
4 WFRBS Commercial Mortgage Trust 2014-C19 | 3.618% | 3/15/47 | 475 | 511 |
4 WFRBS Commercial Mortgage Trust 2014-C19 | 3.660% | 3/15/47 | 650 | 692 |
4 WFRBS Commercial Mortgage Trust 2014-C19 | 4.101% | 3/15/47 | 1,450 | 1,622 |
4 WFRBS Commercial Mortgage Trust 2014-C19 | 4.723% | 3/15/47 | 475 | 527 |
4 WFRBS Commercial Mortgage Trust 2014-C20 | 3.036% | 5/15/47 | 775 | 806 |
4 WFRBS Commercial Mortgage Trust 2014-C20 | 3.638% | 5/15/47 | 775 | 834 |
4 WFRBS Commercial Mortgage Trust 2014-C20 | 3.995% | 5/15/47 | 1,150 | 1,278 |
4 WFRBS Commercial Mortgage Trust 2014-C20 | 4.176% | 5/15/47 | 1,150 | 1,267 |
4 WFRBS Commercial Mortgage Trust 2014-C21 | 3.678% | 8/15/47 | 3,000 | 3,271 |
4 WFRBS Commercial Mortgage Trust 2014-C22 | 3.752% | 9/15/57 | 5,825 | 6,373 |
4 WFRBS Commercial Mortgage Trust 2014-C22 | 4.371% | 9/15/57 | 1,200 | 1,303 |
4 WFRBS Commercial Mortgage Trust 2014-C23 | 3.636% | 10/15/57 | 2,054 | 2,219 |
4 WFRBS Commercial Mortgage Trust 2014-C23 | 3.917% | 10/15/57 | 1,150 | 1,274 |
4 WFRBS Commercial Mortgage Trust 2014-C23 | 4.210% | 10/15/57 | 800 | 876 |
39
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 WFRBS Commercial Mortgage Trust 2014-C24 | 3.428% | 11/15/47 | 2,075 | 2,233 |
4 WFRBS Commercial Mortgage Trust 2014-C24 | 3.607% | 11/15/47 | 2,075 | 2,251 |
4 WFRBS Commercial Mortgage Trust 2014-LC14 | 1.193% | 3/15/47 | 820 | 815 |
4 WFRBS Commercial Mortgage Trust 2014-LC14 | 2.862% | 3/15/47 | 735 | 758 |
4 WFRBS Commercial Mortgage Trust 2014-LC14 | 3.522% | 3/15/47 | 1,840 | 1,969 |
4 WFRBS Commercial Mortgage Trust 2014-LC14 | 4.045% | 3/15/47 | 4,415 | 4,920 |
4 WFRBS Commercial Mortgage Trust 2014-LC14 | 4.351% | 3/15/47 | 1,840 | 2,050 |
4 World Financial Network Credit Card Master Note | ||||
Trust Series 2013-A | 1.610% | 12/15/21 | 900 | 905 |
4 World Omni Auto Receivables Trust 2012-B | 0.810% | 1/15/19 | 1,065 | 1,064 |
4 World Omni Auto Receivables Trust 2013-B | 0.830% | 8/15/18 | 408 | 408 |
4 World Omni Auto Receivables Trust 2013-B | 1.320% | 1/15/20 | 550 | 552 |
4 World Omni Auto Receivables Trust 2014-A | 0.940% | 4/15/19 | 1,231 | 1,231 |
4 World Omni Auto Receivables Trust 2014-A | 1.530% | 6/15/20 | 1,925 | 1,939 |
4 World Omni Auto Receivables Trust 2014-B | 1.140% | 1/15/20 | 2,475 | 2,479 |
4 World Omni Auto Receivables Trust 2014-B | 1.680% | 12/15/20 | 1,000 | 1,004 |
4 World Omni Auto Receivables Trust 2015-B | 1.490% | 12/15/20 | 1,775 | 1,791 |
4 World Omni Auto Receivables Trust 2015-B | 1.840% | 1/17/22 | 1,775 | 1,794 |
4 World Omni Automobile Lease Securitization | ||||
Trust 2014-A | 1.160% | 9/15/17 | 1,950 | 1,950 |
4 World Omni Automobile Lease Securitization | ||||
Trust 2014-A | 1.370% | 1/15/20 | 575 | 576 |
4 World Omni Automobile Lease Securitization | ||||
Trust 2015-A | 1.540% | 10/15/18 | 1,800 | 1,806 |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $2,705,410) | 2,810,508 | |||
Corporate Bonds (27.8%) | ||||
Finance (8.5%) | ||||
Banking (6.0%) | ||||
American Express Bank FSB | 6.000% | 9/13/17 | 11,275 | 11,890 |
American Express Centurion Bank | 6.000% | 9/13/17 | 8,700 | 9,182 |
American Express Co. | 6.150% | 8/28/17 | 15,715 | 16,609 |
American Express Co. | 7.000% | 3/19/18 | 14,644 | 15,954 |
American Express Co. | 1.550% | 5/22/18 | 4,175 | 4,197 |
American Express Co. | 2.650% | 12/2/22 | 3,375 | 3,430 |
American Express Co. | 3.625% | 12/5/24 | 6,775 | 6,948 |
American Express Co. | 4.050% | 12/3/42 | 600 | 625 |
American Express Credit Corp. | 1.125% | 6/5/17 | 11,500 | 11,496 |
American Express Credit Corp. | 2.125% | 7/27/18 | 10,700 | 10,883 |
American Express Credit Corp. | 2.125% | 3/18/19 | 3,375 | 3,442 |
American Express Credit Corp. | 2.250% | 8/15/19 | 13,275 | 13,562 |
American Express Credit Corp. | 2.600% | 9/14/20 | 3,000 | 3,097 |
American Express Credit Corp. | 2.250% | 5/5/21 | 6,000 | 6,100 |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 3,450 | 3,482 |
Australia & New Zealand Banking Group Ltd. | 1.450% | 5/15/18 | 2,700 | 2,710 |
Australia & New Zealand Banking Group Ltd. | 2.000% | 11/16/18 | 10,000 | 10,140 |
Australia & New Zealand Banking Group Ltd. | 2.250% | 6/13/19 | 1,600 | 1,633 |
Australia & New Zealand Banking Group Ltd. | 2.700% | 11/16/20 | 10,000 | 10,379 |
Australia & New Zealand Banking Group Ltd. | 2.300% | 6/1/21 | 6,700 | 6,805 |
Australia & New Zealand Banking Group Ltd. | 3.700% | 11/16/25 | 9,425 | 10,418 |
Banco Bilbao Vizcaya Argentaria SA | 3.000% | 10/20/20 | 8,125 | 8,278 |
Bank of America Corp. | 1.700% | 8/25/17 | 5,400 | 5,421 |
Bank of America Corp. | 6.400% | 8/28/17 | 20,684 | 21,827 |
Bank of America Corp. | 6.000% | 9/1/17 | 1,899 | 1,996 |
Bank of America Corp. | 5.750% | 12/1/17 | 9,369 | 9,917 |
40
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Bank of America Corp. | 2.000% | 1/11/18 | 26,652 | 26,835 |
Bank of America Corp. | 6.875% | 4/25/18 | 33,670 | 36,750 |
Bank of America Corp. | 5.650% | 5/1/18 | 26,030 | 27,869 |
Bank of America Corp. | 6.500% | 7/15/18 | 10,060 | 11,022 |
Bank of America Corp. | 2.600% | 1/15/19 | 28,900 | 29,501 |
Bank of America Corp. | 2.650% | 4/1/19 | 11,325 | 11,613 |
Bank of America Corp. | 7.625% | 6/1/19 | 14,170 | 16,374 |
Bank of America Corp. | 2.250% | 4/21/20 | 9,700 | 9,736 |
Bank of America Corp. | 5.625% | 7/1/20 | 10,715 | 12,066 |
Bank of America Corp. | 2.625% | 10/19/20 | 30,875 | 31,388 |
Bank of America Corp. | 2.625% | 4/19/21 | 20,350 | 20,623 |
Bank of America Corp. | 5.000% | 5/13/21 | 4,745 | 5,292 |
Bank of America Corp. | 5.700% | 1/24/22 | 3,586 | 4,140 |
Bank of America Corp. | 3.300% | 1/11/23 | 30,350 | 31,184 |
Bank of America Corp. | 4.100% | 7/24/23 | 8,150 | 8,697 |
Bank of America Corp. | 4.125% | 1/22/24 | 16,650 | 17,935 |
Bank of America Corp. | 4.000% | 4/1/24 | 46,100 | 49,211 |
Bank of America Corp. | 4.200% | 8/26/24 | 25,750 | 26,638 |
Bank of America Corp. | 4.000% | 1/22/25 | 16,300 | 16,601 |
Bank of America Corp. | 3.950% | 4/21/25 | 12,750 | 12,963 |
Bank of America Corp. | 3.875% | 8/1/25 | 17,550 | 18,596 |
Bank of America Corp. | 4.450% | 3/3/26 | 10,950 | 11,552 |
Bank of America Corp. | 4.250% | 10/22/26 | 15,350 | 15,927 |
Bank of America Corp. | 6.110% | 1/29/37 | 10,712 | 12,716 |
Bank of America Corp. | 7.750% | 5/14/38 | 10,515 | 14,806 |
Bank of America Corp. | 5.875% | 2/7/42 | 9,550 | 12,056 |
Bank of America Corp. | 5.000% | 1/21/44 | 11,500 | 13,277 |
Bank of America Corp. | 4.875% | 4/1/44 | 4,725 | 5,386 |
Bank of America Corp. | 4.750% | 4/21/45 | 1,000 | 1,022 |
Bank of America NA | 1.650% | 3/26/18 | 29,825 | 29,942 |
Bank of America NA | 1.750% | 6/5/18 | 11,000 | 11,077 |
Bank of America NA | 2.050% | 12/7/18 | 12,000 | 12,171 |
Bank of America NA | 6.000% | 10/15/36 | 6,475 | 8,259 |
Bank of Montreal | 1.300% | 7/14/17 | 9,000 | 9,014 |
Bank of Montreal | 1.400% | 9/11/17 | 2,000 | 2,011 |
Bank of Montreal | 1.400% | 4/10/18 | 3,750 | 3,769 |
Bank of Montreal | 2.375% | 1/25/19 | 14,975 | 15,373 |
Bank of Montreal | 2.550% | 11/6/22 | 3,925 | 4,047 |
Bank of New York Mellon Corp. | 1.969% | 6/20/17 | 3,200 | 3,228 |
Bank of New York Mellon Corp. | 1.300% | 1/25/18 | 1,325 | 1,331 |
Bank of New York Mellon Corp. | 1.350% | 3/6/18 | 11,000 | 11,060 |
Bank of New York Mellon Corp. | 2.100% | 8/1/18 | 1,548 | 1,578 |
Bank of New York Mellon Corp. | 2.100% | 1/15/19 | 2,675 | 2,732 |
Bank of New York Mellon Corp. | 2.200% | 3/4/19 | 7,625 | 7,817 |
Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 6,645 | 7,437 |
Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 12,000 | 12,284 |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 6,875 | 7,585 |
Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 2,750 | 2,853 |
Bank of New York Mellon Corp. | 2.450% | 11/27/20 | 8,330 | 8,562 |
Bank of New York Mellon Corp. | 2.050% | 5/3/21 | 9,475 | 9,630 |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 5,700 | 6,178 |
Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 1,100 | 1,210 |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 2,875 | 3,100 |
Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 4,050 | 4,337 |
Bank of New York Mellon Corp. | 2.800% | 5/4/26 | 3,000 | 3,100 |
41
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Bank of Nova Scotia | 1.300% | 7/21/17 | 3,800 | 3,809 |
Bank of Nova Scotia | 1.375% | 12/18/17 | 4,590 | 4,607 |
Bank of Nova Scotia | 1.700% | 6/11/18 | 6,920 | 6,989 |
Bank of Nova Scotia | 2.050% | 10/30/18 | 26,475 | 26,900 |
Bank of Nova Scotia | 1.950% | 1/15/19 | 5,600 | 5,680 |
Bank of Nova Scotia | 2.050% | 6/5/19 | 5,963 | 6,064 |
Bank of Nova Scotia | 1.650% | 6/14/19 | 7,000 | 7,047 |
Bank of Nova Scotia | 2.350% | 10/21/20 | 9,800 | 10,000 |
Bank of Nova Scotia | 4.375% | 1/13/21 | 1,570 | 1,747 |
Bank of Nova Scotia | 2.450% | 3/22/21 | 7,000 | 7,197 |
Bank of Nova Scotia | 2.800% | 7/21/21 | 17,825 | 18,626 |
Bank of Nova Scotia | 4.500% | 12/16/25 | 18,950 | 19,971 |
Bank One Capital III | 8.750% | 9/1/30 | 290 | 424 |
Bank One Corp. | 7.625% | 10/15/26 | 975 | 1,297 |
Bank One Corp. | 8.000% | 4/29/27 | 2,500 | 3,362 |
Bank One Michigan | 8.250% | 11/1/24 | 6,000 | 7,937 |
Barclays Bank plc | 2.500% | 2/20/19 | 7,256 | 7,274 |
Barclays Bank plc | 6.750% | 5/22/19 | 1,565 | 1,767 |
Barclays Bank plc | 5.125% | 1/8/20 | 2,615 | 2,843 |
Barclays Bank plc | 5.140% | 10/14/20 | 4,545 | 4,819 |
Barclays Bank plc | 3.750% | 5/15/24 | 1,925 | 2,012 |
Barclays plc | 2.000% | 3/16/18 | 3,300 | 3,287 |
Barclays plc | 2.750% | 11/8/19 | 12,225 | 12,138 |
Barclays plc | 2.875% | 6/8/20 | 4,000 | 3,964 |
Barclays plc | 3.250% | 1/12/21 | 9,000 | 8,962 |
Barclays plc | 4.375% | 9/11/24 | 5,000 | 4,829 |
Barclays plc | 3.650% | 3/16/25 | 14,900 | 14,323 |
Barclays plc | 4.375% | 1/12/26 | 7,000 | 7,065 |
Barclays plc | 5.200% | 5/12/26 | 8,225 | 8,393 |
Barclays plc | 5.250% | 8/17/45 | 4,900 | 5,149 |
BB&T Corp. | 4.900% | 6/30/17 | 100 | 103 |
BB&T Corp. | 1.600% | 8/15/17 | 915 | 921 |
BB&T Corp. | 1.450% | 1/12/18 | 3,825 | 3,841 |
BB&T Corp. | 2.050% | 6/19/18 | 3,000 | 3,049 |
BB&T Corp. | 2.250% | 2/1/19 | 1,800 | 1,844 |
BB&T Corp. | 6.850% | 4/30/19 | 1,261 | 1,448 |
BB&T Corp. | 5.250% | 11/1/19 | 3,650 | 4,041 |
BB&T Corp. | 2.450% | 1/15/20 | 1,250 | 1,289 |
BB&T Corp. | 2.050% | 5/10/21 | 14,000 | 14,171 |
BB&T Corp. | 3.950% | 3/22/22 | 2,049 | 2,199 |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 17,650 | 18,755 |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 24,855 | 27,080 |
BNP Paribas SA | 2.375% | 9/14/17 | 16,175 | 16,409 |
BNP Paribas SA | 2.700% | 8/20/18 | 16,825 | 17,237 |
BNP Paribas SA | 2.450% | 3/17/19 | 1,200 | 1,225 |
BNP Paribas SA | 2.375% | 5/21/20 | 9,500 | 9,653 |
BNP Paribas SA | 5.000% | 1/15/21 | 8,065 | 9,057 |
BNP Paribas SA | 3.250% | 3/3/23 | 9,025 | 9,390 |
BNP Paribas SA | 4.250% | 10/15/24 | 3,600 | 3,672 |
BPCE SA | 1.613% | 7/25/17 | 7,000 | 6,987 |
BPCE SA | 2.500% | 12/10/18 | 5,500 | 5,612 |
BPCE SA | 2.500% | 7/15/19 | 6,320 | 6,458 |
BPCE SA | 2.250% | 1/27/20 | 2,375 | 2,415 |
BPCE SA | 2.650% | 2/3/21 | 5,025 | 5,158 |
BPCE SA | 4.000% | 4/15/24 | 9,800 | 10,735 |
42
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Branch Banking & Trust Co. | 1.350% | 10/1/17 | 10,345 | 10,370 | |
Branch Banking & Trust Co. | 2.300% | 10/15/18 | 6,000 | 6,149 | |
Branch Banking & Trust Co. | 1.450% | 5/10/19 | 5,775 | 5,787 | |
Branch Banking & Trust Co. | 2.850% | 4/1/21 | 3,000 | 3,154 | |
Branch Banking & Trust Co. | 3.625% | 9/16/25 | 9,100 | 9,663 | |
Branch Banking & Trust Co. | 3.800% | 10/30/26 | 2,800 | 3,085 | |
Capital One Bank USA NA | 1.300% | 6/5/17 | 4,450 | 4,450 | |
Capital One Bank USA NA | 2.250% | 2/13/19 | 10,000 | 10,141 | |
Capital One Bank USA NA | 2.300% | 6/5/19 | 6,750 | 6,841 | |
Capital One Bank USA NA | 8.800% | 7/15/19 | 6,825 | 8,000 | |
Capital One Bank USA NA | 3.375% | 2/15/23 | 5,585 | 5,715 | |
Capital One Financial Corp. | 6.750% | 9/15/17 | 1,820 | 1,929 | |
Capital One Financial Corp. | 2.450% | 4/24/19 | 6,875 | 6,996 | |
Capital One Financial Corp. | 4.750% | 7/15/21 | 545 | 606 | |
Capital One Financial Corp. | 3.500% | 6/15/23 | 1,210 | 1,247 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 6,900 | 7,201 | |
Capital One Financial Corp. | 3.200% | 2/5/25 | 7,000 | 7,071 | |
Capital One Financial Corp. | 4.200% | 10/29/25 | 425 | 435 | |
Capital One NA | 1.500% | 9/5/17 | 2,400 | 2,400 | |
Capital One NA | 1.500% | 3/22/18 | 6,075 | 6,058 | |
Capital One NA | 2.400% | 9/5/19 | 2,850 | 2,897 | |
Capital One NA | 2.950% | 7/23/21 | 19,000 | 19,497 | |
4,7 | Citicorp Lease Pass-Through Trust 1999-1 | 8.040% | 12/15/19 | 4,025 | 4,728 |
Citigroup Inc. | 1.550% | 8/14/17 | 5,275 | 5,290 | |
Citigroup Inc. | 6.000% | 8/15/17 | 1,296 | 1,362 | |
Citigroup Inc. | 6.125% | 11/21/17 | 8,065 | 8,578 | |
Citigroup Inc. | 1.850% | 11/24/17 | 12,000 | 12,069 | |
Citigroup Inc. | 1.800% | 2/5/18 | 6,425 | 6,447 | |
Citigroup Inc. | 1.700% | 4/27/18 | 10,000 | 10,012 | |
Citigroup Inc. | 1.750% | 5/1/18 | 7,575 | 7,605 | |
Citigroup Inc. | 6.125% | 5/15/18 | 4,962 | 5,358 | |
Citigroup Inc. | 2.150% | 7/30/18 | 10,500 | 10,617 | |
Citigroup Inc. | 2.500% | 9/26/18 | 3,375 | 3,440 | |
Citigroup Inc. | 2.050% | 12/7/18 | 45,000 | 45,330 | |
Citigroup Inc. | 2.550% | 4/8/19 | 24,000 | 24,498 | |
Citigroup Inc. | 2.050% | 6/7/19 | 8,725 | 8,776 | |
Citigroup Inc. | 2.500% | 7/29/19 | 8,775 | 8,938 | |
Citigroup Inc. | 2.400% | 2/18/20 | 6,000 | 6,057 | |
Citigroup Inc. | 5.375% | 8/9/20 | 5,564 | 6,292 | |
Citigroup Inc. | 2.650% | 10/26/20 | 2,000 | 2,033 | |
Citigroup Inc. | 2.700% | 3/30/21 | 23,320 | 23,729 | |
Citigroup Inc. | 4.500% | 1/14/22 | 8,300 | 9,180 | |
Citigroup Inc. | 4.050% | 7/30/22 | 2,050 | 2,167 | |
Citigroup Inc. | 3.375% | 3/1/23 | 1,600 | 1,649 | |
Citigroup Inc. | 3.500% | 5/15/23 | 17,175 | 17,516 | |
Citigroup Inc. | 3.875% | 10/25/23 | 3,905 | 4,192 | |
Citigroup Inc. | 3.750% | 6/16/24 | 1,950 | 2,056 | |
Citigroup Inc. | 4.000% | 8/5/24 | 5,525 | 5,708 | |
Citigroup Inc. | 3.875% | 3/26/25 | 11,325 | 11,433 | |
Citigroup Inc. | 3.300% | 4/27/25 | 7,150 | 7,301 | |
Citigroup Inc. | 4.400% | 6/10/25 | 30,200 | 31,479 | |
Citigroup Inc. | 5.500% | 9/13/25 | 9,000 | 10,091 | |
Citigroup Inc. | 3.700% | 1/12/26 | 4,500 | 4,719 | |
Citigroup Inc. | 4.600% | 3/9/26 | 1,450 | 1,532 | |
Citigroup Inc. | 4.300% | 11/20/26 | 550 | 569 |
43
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Citigroup Inc. | 4.450% | 9/29/27 | 26,025 | 26,684 |
Citigroup Inc. | 6.625% | 1/15/28 | 2,700 | 3,408 |
Citigroup Inc. | 6.625% | 6/15/32 | 1,125 | 1,377 |
Citigroup Inc. | 6.000% | 10/31/33 | 2,700 | 3,164 |
Citigroup Inc. | 6.125% | 8/25/36 | 7,768 | 9,106 |
Citigroup Inc. | 8.125% | 7/15/39 | 12,924 | 20,174 |
Citigroup Inc. | 5.875% | 1/30/42 | 6,164 | 7,770 |
Citigroup Inc. | 6.675% | 9/13/43 | 4,000 | 5,137 |
Citigroup Inc. | 4.950% | 11/7/43 | 8,250 | 9,275 |
Citigroup Inc. | 5.300% | 5/6/44 | 4,725 | 5,106 |
Citizens Bank NA | 1.600% | 12/4/17 | 3,000 | 2,975 |
Citizens Bank NA | 2.300% | 12/3/18 | 4,225 | 4,277 |
Citizens Bank NA | 2.500% | 3/14/19 | 7,500 | 7,607 |
Citizens Bank NA | 2.450% | 12/4/19 | 3,100 | 3,141 |
Citizens Financial Group Inc. | 4.300% | 12/3/25 | 3,950 | 4,171 |
Comerica Bank | 5.200% | 8/22/17 | 2,550 | 2,654 |
Comerica Bank | 4.000% | 7/27/25 | 1,750 | 1,807 |
Comerica Inc. | 2.125% | 5/23/19 | 800 | 811 |
Commonwealth Bank of Australia | 1.400% | 9/8/17 | 6,825 | 6,854 |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 2,000 | 2,019 |
Commonwealth Bank of Australia | 1.625% | 3/12/18 | 23,500 | 23,668 |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 4,000 | 4,094 |
Commonwealth Bank of Australia | 1.750% | 11/2/18 | 5,525 | 5,563 |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 2,000 | 2,044 |
Commonwealth Bank of Australia | 2.050% | 3/15/19 | 6,775 | 6,863 |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 3,350 | 3,404 |
Commonwealth Bank of Australia | 2.400% | 11/2/20 | 7,500 | 7,651 |
Commonwealth Bank of Australia | 2.550% | 3/15/21 | 5,775 | 5,963 |
7 Commonwealth Bank of Australia | 4.500% | 12/9/25 | 6,500 | 6,813 |
Compass Bank | 1.850% | 9/29/17 | 2,000 | 1,993 |
Compass Bank | 6.400% | 10/1/17 | 1,440 | 1,509 |
Compass Bank | 2.750% | 9/29/19 | 1,750 | 1,732 |
Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 18,700 | 19,067 |
Cooperatieve Rabobank UA | 2.250% | 1/14/20 | 12,500 | 12,686 |
Cooperatieve Rabobank UA | 4.500% | 1/11/21 | 2,365 | 2,631 |
Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 40,200 | 41,204 |
Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 7,775 | 8,472 |
Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 15,000 | 15,499 |
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 13,525 | 14,288 |
Cooperatieve Rabobank UA | 3.375% | 5/21/25 | 6,942 | 7,262 |
Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 11,375 | 11,869 |
Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 9,715 | 12,061 |
Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 7,925 | 9,338 |
Cooperatieve Rabobank UA | 5.250% | 8/4/45 | 3,700 | 4,129 |
Credit Suisse AG | 6.000% | 2/15/18 | 15,314 | 16,254 |
Credit Suisse AG | 1.700% | 4/27/18 | 21,500 | 21,527 |
Credit Suisse AG | 2.300% | 5/28/19 | 26,025 | 26,373 |
Credit Suisse AG | 5.300% | 8/13/19 | 8,500 | 9,368 |
Credit Suisse AG | 5.400% | 1/14/20 | 5,725 | 6,208 |
Credit Suisse AG | 3.000% | 10/29/21 | 4,600 | 4,705 |
Credit Suisse AG | 3.625% | 9/9/24 | 10,775 | 11,114 |
7 Credit Suisse Group Funding Guernsey Ltd. | 3.450% | 4/16/21 | 24,255 | 24,615 |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 10,100 | 10,159 |
7 Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 6/9/23 | 3,500 | 3,493 |
Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 23,250 | 22,816 |
44
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
7 Credit Suisse Group Funding Guernsey Ltd. | 4.550% | 4/17/26 | 9,700 | 10,100 |
Credit Suisse Group Funding Guernsey Ltd. | 4.875% | 5/15/45 | 8,800 | 8,973 |
Credit Suisse USA Inc. | 7.125% | 7/15/32 | 4,535 | 6,031 |
Deutsche Bank AG | 1.400% | 2/13/17 | 1,100 | 1,096 |
Deutsche Bank AG | 6.000% | 9/1/17 | 14,763 | 15,418 |
Deutsche Bank AG | 1.875% | 2/13/18 | 8,100 | 8,066 |
Deutsche Bank AG | 2.500% | 2/13/19 | 18,050 | 18,093 |
Deutsche Bank AG | 2.850% | 5/10/19 | 5,775 | 5,781 |
Deutsche Bank AG | 2.950% | 8/20/20 | 10,500 | 10,499 |
Deutsche Bank AG | 3.125% | 1/13/21 | 5,000 | 4,953 |
Deutsche Bank AG | 3.375% | 5/12/21 | 5,775 | 5,804 |
Deutsche Bank AG | 3.700% | 5/30/24 | 4,550 | 4,533 |
Deutsche Bank AG | 4.100% | 1/13/26 | 3,450 | 3,441 |
Discover Bank | 2.000% | 2/21/18 | 9,970 | 10,003 |
Discover Bank | 2.600% | 11/13/18 | 2,000 | 2,032 |
Discover Bank | 7.000% | 4/15/20 | 1,350 | 1,536 |
Discover Bank | 3.200% | 8/9/21 | 1,400 | 1,436 |
Discover Bank | 4.200% | 8/8/23 | 8,150 | 8,644 |
Discover Bank | 4.250% | 3/13/26 | 2,175 | 2,274 |
Discover Financial Services | 6.450% | 6/12/17 | 325 | 338 |
Discover Financial Services | 5.200% | 4/27/22 | 950 | 1,044 |
Discover Financial Services | 3.850% | 11/21/22 | 5,630 | 5,811 |
Discover Financial Services | 3.750% | 3/4/25 | 3,600 | 3,617 |
Fifth Third Bancorp | 4.500% | 6/1/18 | 425 | 447 |
Fifth Third Bancorp | 2.300% | 3/1/19 | 4,000 | 4,076 |
Fifth Third Bancorp | 3.500% | 3/15/22 | 6,025 | 6,373 |
Fifth Third Bancorp | 4.300% | 1/16/24 | 7,050 | 7,529 |
Fifth Third Bancorp | 8.250% | 3/1/38 | 5,771 | 8,626 |
Fifth Third Bank | 1.450% | 2/28/18 | 4,400 | 4,423 |
Fifth Third Bank | 2.150% | 8/20/18 | 7,000 | 7,108 |
Fifth Third Bank | 2.300% | 3/15/19 | 5,000 | 5,105 |
Fifth Third Bank | 2.375% | 4/25/19 | 10,000 | 10,252 |
Fifth Third Bank | 2.250% | 6/14/21 | 6,500 | 6,602 |
Fifth Third Bank | 3.850% | 3/15/26 | 10,000 | 10,482 |
First Horizon National Corp. | 3.500% | 12/15/20 | 2,050 | 2,067 |
First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 2,300 | 2,618 |
FirstMerit Bank NA | 4.270% | 11/25/26 | 4,150 | 4,271 |
FirstMerit Corp. | 4.350% | 2/4/23 | 4,950 | 5,188 |
Goldman Sachs Capital I | 6.345% | 2/15/34 | 8,175 | 9,608 |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 19,933 | 21,288 |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 22,892 | 23,204 |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 23,975 | 25,835 |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 26,586 | 27,281 |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 8,000 | 8,178 |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 19,330 | 22,091 |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 18,500 | 18,910 |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 23,140 | 25,743 |
Goldman Sachs Group Inc. | 2.600% | 4/23/20 | 11,125 | 11,316 |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 22,270 | 25,388 |
Goldman Sachs Group Inc. | 2.750% | 9/15/20 | 6,775 | 6,913 |
Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 7,000 | 7,098 |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 17,950 | 20,230 |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 32,850 | 38,099 |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 9,700 | 10,178 |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 23,400 | 25,031 |
45
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 4,525 | 4,799 |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 8,125 | 8,352 |
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 26,050 | 27,329 |
Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 5,945 | 6,853 |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 7,690 | 9,613 |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 10,750 | 12,676 |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 34,915 | 43,099 |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 13,256 | 17,147 |
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 16,675 | 18,423 |
Goldman Sachs Group Inc. | 5.150% | 5/22/45 | 19,600 | 20,220 |
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 6,500 | 7,166 |
HSBC Bank USA NA | 4.875% | 8/24/20 | 9,025 | 9,763 |
HSBC Bank USA NA | 5.875% | 11/1/34 | 3,875 | 4,697 |
HSBC Bank USA NA | 5.625% | 8/15/35 | 3,950 | 4,541 |
HSBC Bank USA NA | 7.000% | 1/15/39 | 7,226 | 9,209 |
HSBC Holdings plc | 3.400% | 3/8/21 | 21,239 | 21,875 |
HSBC Holdings plc | 5.100% | 4/5/21 | 14,020 | 15,435 |
HSBC Holdings plc | 2.950% | 5/25/21 | 20,000 | 20,234 |
HSBC Holdings plc | 4.875% | 1/14/22 | 2,625 | 2,882 |
HSBC Holdings plc | 4.000% | 3/30/22 | 11,725 | 12,553 |
HSBC Holdings plc | 3.600% | 5/5/23 | 7,250 | 7,410 |
HSBC Holdings plc | 4.250% | 3/14/24 | 7,500 | 7,571 |
HSBC Holdings plc | 4.250% | 8/18/25 | 5,000 | 5,043 |
HSBC Holdings plc | 4.300% | 3/8/26 | 27,805 | 29,487 |
HSBC Holdings plc | 3.900% | 5/25/26 | 17,000 | 17,485 |
HSBC Holdings plc | 7.625% | 5/17/32 | 575 | 732 |
HSBC Holdings plc | 7.350% | 11/27/32 | 600 | 734 |
HSBC Holdings plc | 6.500% | 5/2/36 | 16,015 | 19,128 |
HSBC Holdings plc | 6.500% | 9/15/37 | 15,815 | 19,082 |
HSBC Holdings plc | 6.800% | 6/1/38 | 3,975 | 4,971 |
HSBC Holdings plc | 6.100% | 1/14/42 | 4,075 | 5,228 |
HSBC Holdings plc | 5.250% | 3/14/44 | 12,600 | 13,285 |
HSBC USA Inc. | 1.500% | 11/13/17 | 575 | 574 |
HSBC USA Inc. | 1.625% | 1/16/18 | 11,500 | 11,470 |
HSBC USA Inc. | 2.000% | 8/7/18 | 7,000 | 7,013 |
HSBC USA Inc. | 2.625% | 9/24/18 | 9,670 | 9,819 |
HSBC USA Inc. | 2.250% | 6/23/19 | 1,000 | 1,006 |
HSBC USA Inc. | 2.375% | 11/13/19 | 10,225 | 10,318 |
HSBC USA Inc. | 2.350% | 3/5/20 | 13,200 | 13,197 |
HSBC USA Inc. | 2.750% | 8/7/20 | 3,000 | 3,038 |
HSBC USA Inc. | 5.000% | 9/27/20 | 4,755 | 5,109 |
HSBC USA Inc. | 3.500% | 6/23/24 | 11,425 | 11,766 |
Huntington Bancshares Inc. | 2.600% | 8/2/18 | 1,100 | 1,121 |
Huntington Bancshares Inc. | 7.000% | 12/15/20 | 6,800 | 7,933 |
Huntington Bancshares Inc. | 3.150% | 3/14/21 | 5,600 | 5,814 |
Huntington National Bank | 1.375% | 4/24/17 | 8,450 | 8,462 |
Huntington National Bank | 2.000% | 6/30/18 | 4,250 | 4,297 |
Huntington National Bank | 2.200% | 11/6/18 | 5,500 | 5,568 |
Huntington National Bank | 2.200% | 4/1/19 | 425 | 430 |
Huntington National Bank | 2.400% | 4/1/20 | 3,600 | 3,655 |
Huntington National Bank | 2.875% | 8/20/20 | 4,000 | 4,113 |
Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 4,775 | 4,901 |
Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 14,120 | 14,538 |
Intesa Sanpaolo SPA | 5.250% | 1/12/24 | 5,975 | 6,342 |
JPMorgan Chase & Co. | 6.125% | 6/27/17 | 3,275 | 3,424 |
46
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 8,750 | 8,832 |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 25,022 | 26,765 |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 2,450 | 2,467 |
JPMorgan Chase & Co. | 1.700% | 3/1/18 | 11,350 | 11,415 |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 15,355 | 15,421 |
JPMorgan Chase & Co. | 2.350% | 1/28/19 | 5,250 | 5,375 |
JPMorgan Chase & Co. | 1.850% | 3/22/19 | 7,245 | 7,321 |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 16,210 | 18,227 |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 8,200 | 8,324 |
JPMorgan Chase & Co. | 2.250% | 1/23/20 | 28,840 | 29,208 |
JPMorgan Chase & Co. | 4.950% | 3/25/20 | 1,040 | 1,150 |
JPMorgan Chase & Co. | 2.750% | 6/23/20 | 25,780 | 26,477 |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 10,795 | 11,763 |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 16,350 | 17,789 |
JPMorgan Chase & Co. | 2.550% | 10/29/20 | 5,750 | 5,864 |
JPMorgan Chase & Co. | 2.550% | 3/1/21 | 11,000 | 11,191 |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 1,140 | 1,267 |
JPMorgan Chase & Co. | 2.400% | 6/7/21 | 5,000 | 5,066 |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 15,840 | 17,423 |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 20,100 | 22,296 |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 24,350 | 25,443 |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 17,325 | 17,900 |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 9,300 | 9,465 |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 9,550 | 9,598 |
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 28,025 | 30,295 |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 9,575 | 10,159 |
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 19,875 | 20,608 |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 18,895 | 19,308 |
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 23,500 | 25,286 |
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 31,750 | 32,670 |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 8,000 | 8,182 |
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 17,400 | 18,368 |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 14,865 | 20,290 |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 5,975 | 7,496 |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 6,300 | 7,998 |
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 3,125 | 3,876 |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 8,560 | 10,055 |
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 8,450 | 9,290 |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 16,524 | 17,465 |
KeyBank NA | 1.650% | 2/1/18 | 11,150 | 11,205 |
KeyBank NA | 1.700% | 6/1/18 | 2,050 | 2,060 |
KeyBank NA | 2.350% | 3/8/19 | 8,650 | 8,836 |
KeyBank NA | 2.500% | 12/15/19 | 2,000 | 2,051 |
KeyBank NA | 2.250% | 3/16/20 | 2,000 | 2,028 |
KeyBank NA | 3.300% | 6/1/25 | 1,125 | 1,185 |
KeyBank NA | 3.400% | 5/20/26 | 2,000 | 2,028 |
KeyCorp | 2.300% | 12/13/18 | 3,025 | 3,075 |
KeyCorp | 5.100% | 3/24/21 | 8,490 | 9,536 |
Lloyds Bank plc | 4.200% | 3/28/17 | 4,950 | 5,057 |
Lloyds Bank plc | 1.750% | 3/16/18 | 3,550 | 3,540 |
Lloyds Bank plc | 1.750% | 5/14/18 | 2,850 | 2,842 |
Lloyds Bank plc | 2.300% | 11/27/18 | 13,850 | 13,926 |
Lloyds Bank plc | 2.350% | 9/5/19 | 5,000 | 5,034 |
Lloyds Bank plc | 2.400% | 3/17/20 | 1,750 | 1,762 |
Lloyds Bank plc | 6.375% | 1/21/21 | 5,500 | 6,445 |
47
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Lloyds Bank plc | 3.500% | 5/14/25 | 5,600 | 5,757 |
Lloyds Banking Group plc | 4.500% | 11/4/24 | 3,300 | 3,368 |
7 Lloyds Banking Group plc | 4.582% | 12/10/25 | 24,546 | 24,596 |
Lloyds Banking Group plc | 4.650% | 3/24/26 | 8,750 | 8,828 |
7 Lloyds Banking Group plc | 5.300% | 12/1/45 | 1,100 | 1,135 |
Manufacturers & Traders Trust Co. | 1.400% | 7/25/17 | 3,250 | 3,257 |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 2,475 | 2,646 |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 11,000 | 11,242 |
Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 11,000 | 11,231 |
Manufacturers & Traders Trust Co. | 2.100% | 2/6/20 | 3,200 | 3,246 |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 5,295 | 5,443 |
Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 20,900 | 21,671 |
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 16,550 | 18,106 |
Morgan Stanley | 6.250% | 8/28/17 | 550 | 580 |
Morgan Stanley | 5.950% | 12/28/17 | 11,865 | 12,619 |
Morgan Stanley | 1.875% | 1/5/18 | 8,250 | 8,298 |
Morgan Stanley | 6.625% | 4/1/18 | 11,865 | 12,856 |
Morgan Stanley | 2.125% | 4/25/18 | 27,475 | 27,711 |
Morgan Stanley | 2.200% | 12/7/18 | 1,900 | 1,923 |
Morgan Stanley | 2.500% | 1/24/19 | 28,575 | 29,119 |
Morgan Stanley | 7.300% | 5/13/19 | 26,085 | 29,943 |
Morgan Stanley | 2.375% | 7/23/19 | 28,700 | 29,175 |
Morgan Stanley | 5.625% | 9/23/19 | 11,455 | 12,698 |
Morgan Stanley | 5.500% | 1/26/20 | 15,250 | 17,019 |
Morgan Stanley | 2.650% | 1/27/20 | 11,774 | 11,968 |
Morgan Stanley | 2.800% | 6/16/20 | 12,450 | 12,747 |
Morgan Stanley | 5.500% | 7/24/20 | 2,150 | 2,430 |
Morgan Stanley | 5.750% | 1/25/21 | 12,940 | 14,771 |
Morgan Stanley | 2.500% | 4/21/21 | 15,800 | 15,931 |
Morgan Stanley | 5.500% | 7/28/21 | 3,175 | 3,616 |
Morgan Stanley | 4.875% | 11/1/22 | 12,050 | 13,184 |
Morgan Stanley | 3.750% | 2/25/23 | 10,400 | 11,017 |
Morgan Stanley | 4.100% | 5/22/23 | 15,975 | 16,610 |
Morgan Stanley | 3.875% | 4/29/24 | 21,515 | 23,026 |
Morgan Stanley | 3.700% | 10/23/24 | 25,852 | 27,046 |
Morgan Stanley | 4.000% | 7/23/25 | 26,875 | 28,781 |
Morgan Stanley | 5.000% | 11/24/25 | 13,250 | 14,511 |
Morgan Stanley | 3.875% | 1/27/26 | 17,025 | 18,087 |
Morgan Stanley | 6.250% | 8/9/26 | 9,650 | 12,119 |
Morgan Stanley | 4.350% | 9/8/26 | 11,075 | 11,542 |
Morgan Stanley | 3.950% | 4/23/27 | 14,350 | 14,469 |
Morgan Stanley | 7.250% | 4/1/32 | 6,895 | 9,559 |
Morgan Stanley | 6.375% | 7/24/42 | 14,675 | 19,807 |
Morgan Stanley | 4.300% | 1/27/45 | 16,575 | 17,467 |
MUFG Americas Holdings Corp. | 1.625% | 2/9/18 | 4,950 | 4,960 |
MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 6,600 | 6,672 |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 5,400 | 5,726 |
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 4,350 | 4,428 |
MUFG Union Bank NA | 2.125% | 6/16/17 | 1,800 | 1,817 |
MUFG Union Bank NA | 2.625% | 9/26/18 | 13,800 | 14,105 |
MUFG Union Bank NA | 2.250% | 5/6/19 | 2,375 | 2,412 |
Murray Street Investment Trust I | 4.647% | 3/9/17 | 6,300 | 6,443 |
National Australia Bank Ltd. | 2.750% | 3/9/17 | 6,165 | 6,240 |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 3,225 | 3,283 |
National Australia Bank Ltd. | 2.000% | 1/14/19 | 3,000 | 3,044 |
48
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
National Australia Bank Ltd. | 2.625% | 7/23/20 | 3,245 | 3,354 |
National Australia Bank Ltd. | 2.625% | 1/14/21 | 4,000 | 4,148 |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 3,450 | 3,608 |
National Australia Bank Ltd. | 3.375% | 1/14/26 | 2,000 | 2,122 |
National Bank of Canada | 1.450% | 11/7/17 | 2,200 | 2,207 |
National City Corp. | 6.875% | 5/15/19 | 4,215 | 4,767 |
Northern Trust Co. | 6.500% | 8/15/18 | 425 | 469 |
Northern Trust Corp. | 3.450% | 11/4/20 | 2,950 | 3,164 |
Northern Trust Corp. | 2.375% | 8/2/22 | 5,550 | 5,708 |
Northern Trust Corp. | 3.950% | 10/30/25 | 8,750 | 9,841 |
People’s United Bank NA | 4.000% | 7/15/24 | 3,000 | 3,063 |
People’s United Financial Inc. | 3.650% | 12/6/22 | 2,895 | 2,952 |
PNC Bank NA | 4.875% | 9/21/17 | 3,575 | 3,716 |
PNC Bank NA | 1.500% | 10/18/17 | 8,700 | 8,740 |
PNC Bank NA | 6.000% | 12/7/17 | 1,950 | 2,073 |
PNC Bank NA | 1.500% | 2/23/18 | 8,925 | 8,983 |
PNC Bank NA | 1.600% | 6/1/18 | 5,650 | 5,701 |
PNC Bank NA | 1.850% | 7/20/18 | 3,000 | 3,033 |
PNC Bank NA | 1.800% | 11/5/18 | 8,500 | 8,595 |
PNC Bank NA | 2.200% | 1/28/19 | 6,475 | 6,606 |
PNC Bank NA | 1.950% | 3/4/19 | 2,500 | 2,537 |
PNC Bank NA | 2.250% | 7/2/19 | 3,700 | 3,779 |
PNC Bank NA | 2.400% | 10/18/19 | 6,700 | 6,898 |
PNC Bank NA | 2.300% | 6/1/20 | 5,250 | 5,379 |
PNC Bank NA | 2.600% | 7/21/20 | 2,000 | 2,070 |
PNC Bank NA | 2.450% | 11/5/20 | 6,000 | 6,191 |
PNC Bank NA | 2.150% | 4/29/21 | 15,000 | 15,299 |
PNC Bank NA | 2.700% | 11/1/22 | 6,251 | 6,321 |
PNC Bank NA | 2.950% | 1/30/23 | 4,500 | 4,610 |
PNC Bank NA | 3.300% | 10/30/24 | 4,950 | 5,278 |
PNC Bank NA | 2.950% | 2/23/25 | 6,750 | 7,040 |
PNC Bank NA | 3.250% | 6/1/25 | 3,450 | 3,643 |
PNC Bank NA | 4.200% | 11/1/25 | 4,400 | 4,985 |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 2,875 | 2,976 |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 15,500 | 16,638 |
PNC Funding Corp. | 6.700% | 6/10/19 | 6,475 | 7,437 |
PNC Funding Corp. | 5.125% | 2/8/20 | 5,700 | 6,375 |
PNC Funding Corp. | 4.375% | 8/11/20 | 6,975 | 7,668 |
PNC Funding Corp. | 3.300% | 3/8/22 | 3,500 | 3,724 |
Regions Bank | 7.500% | 5/15/18 | 987 | 1,087 |
Regions Bank | 6.450% | 6/26/37 | 1,079 | 1,320 |
Regions Financial Corp. | 2.000% | 5/15/18 | 7,000 | 7,014 |
Regions Financial Corp. | 3.200% | 2/8/21 | 1,750 | 1,802 |
Regions Financial Corp. | 7.375% | 12/10/37 | 7,000 | 8,833 |
Royal Bank of Canada | 1.250% | 6/16/17 | 5,700 | 5,707 |
Royal Bank of Canada | 1.400% | 10/13/17 | 3,150 | 3,162 |
Royal Bank of Canada | 1.500% | 1/16/18 | 7,000 | 7,030 |
Royal Bank of Canada | 2.200% | 7/27/18 | 11,875 | 12,115 |
Royal Bank of Canada | 1.800% | 7/30/18 | 8,000 | 8,091 |
Royal Bank of Canada | 2.000% | 12/10/18 | 5,700 | 5,799 |
Royal Bank of Canada | 1.625% | 4/15/19 | 7,250 | 7,315 |
Royal Bank of Canada | 2.350% | 10/30/20 | 15,500 | 15,942 |
Royal Bank of Canada | 2.500% | 1/19/21 | 5,000 | 5,182 |
Royal Bank of Canada | 4.650% | 1/27/26 | 6,200 | 6,683 |
Royal Bank of Scotland Group plc | 4.800% | 4/5/26 | 1,000 | 1,023 |
49
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Santander Bank NA | 2.000% | 1/12/18 | 2,950 | 2,946 |
Santander Bank NA | 8.750% | 5/30/18 | 425 | 473 |
Santander Holdings USA Inc. | 3.450% | 8/27/18 | 5,325 | 5,430 |
Santander Holdings USA Inc. | 2.700% | 5/24/19 | 13,440 | 13,490 |
Santander Holdings USA Inc. | 2.650% | 4/17/20 | 950 | 941 |
Santander Holdings USA Inc. | 4.500% | 7/17/25 | 3,425 | 3,537 |
Santander Issuances SAU | 5.179% | 11/19/25 | 14,700 | 14,639 |
Santander UK Group Holdings plc | 2.875% | 10/16/20 | 9,000 | 8,968 |
Santander UK Group Holdings plc | 3.125% | 1/8/21 | 8,300 | 8,318 |
Santander UK plc | 3.050% | 8/23/18 | 5,700 | 5,833 |
Santander UK plc | 2.500% | 3/14/19 | 23,875 | 24,121 |
Santander UK plc | 2.350% | 9/10/19 | 6,200 | 6,229 |
Santander UK plc | 2.375% | 3/16/20 | 4,810 | 4,814 |
Santander UK plc | 4.000% | 3/13/24 | 5,000 | 5,371 |
Skandinaviska Enskilda Banken AB | 2.625% | 3/15/21 | 8,500 | 8,790 |
Societe Generale SA | 2.625% | 10/1/18 | 11,750 | 12,028 |
State Street Bank & Trust Co. | 5.250% | 10/15/18 | 2,579 | 2,779 |
State Street Corp. | 4.956% | 3/15/18 | 868 | 910 |
State Street Corp. | 2.550% | 8/18/20 | 300 | 311 |
State Street Corp. | 4.375% | 3/7/21 | 1,235 | 1,381 |
State Street Corp. | 1.950% | 5/19/21 | 4,575 | 4,631 |
State Street Corp. | 3.100% | 5/15/23 | 11,125 | 11,476 |
State Street Corp. | 3.300% | 12/16/24 | 2,500 | 2,690 |
State Street Corp. | 3.550% | 8/18/25 | 11,086 | 12,006 |
State Street Corp. | 2.650% | 5/19/26 | 4,550 | 4,651 |
Sumitomo Mitsui Banking Corp. | 1.350% | 7/11/17 | 5,350 | 5,350 |
Sumitomo Mitsui Banking Corp. | 1.800% | 7/18/17 | 6,925 | 6,962 |
Sumitomo Mitsui Banking Corp. | 1.500% | 1/18/18 | 2,750 | 2,753 |
Sumitomo Mitsui Banking Corp. | 2.500% | 7/19/18 | 7,025 | 7,163 |
Sumitomo Mitsui Banking Corp. | 1.950% | 7/23/18 | 5,250 | 5,303 |
Sumitomo Mitsui Banking Corp. | 2.450% | 1/10/19 | 4,025 | 4,111 |
Sumitomo Mitsui Banking Corp. | 2.250% | 7/11/19 | 5,500 | 5,575 |
Sumitomo Mitsui Banking Corp. | 2.450% | 1/16/20 | 750 | 765 |
Sumitomo Mitsui Banking Corp. | 2.450% | 10/20/20 | 2,500 | 2,542 |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 1,775 | 1,819 |
Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 550 | 568 |
Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 5,350 | 5,828 |
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 6,125 | 6,640 |
Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 2,650 | 2,780 |
Sumitomo Mitsui Banking Corp. | 3.650% | 7/23/25 | 2,500 | 2,682 |
Sumitomo Mitsui Financial Group Inc. | 2.934% | 3/9/21 | 9,470 | 9,866 |
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 13,000 | 14,245 |
SunTrust Bank | 7.250% | 3/15/18 | 1,200 | 1,309 |
SunTrust Bank | 2.750% | 5/1/23 | 2,150 | 2,181 |
SunTrust Bank | 3.300% | 5/15/26 | 3,000 | 3,042 |
SunTrust Banks Inc. | 6.000% | 9/11/17 | 2,550 | 2,678 |
SunTrust Banks Inc. | 2.350% | 11/1/18 | 6,575 | 6,678 |
SunTrust Banks Inc. | 2.500% | 5/1/19 | 2,700 | 2,758 |
SunTrust Banks Inc. | 2.900% | 3/3/21 | 2,725 | 2,817 |
SVB Financial Group | 3.500% | 1/29/25 | 2,100 | 2,133 |
Svenska Handelsbanken AB | 1.625% | 3/21/18 | 10,975 | 11,047 |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 6,250 | 6,437 |
Svenska Handelsbanken AB | 2.250% | 6/17/19 | 7,300 | 7,435 |
Svenska Handelsbanken AB | 2.400% | 10/1/20 | 6,350 | 6,514 |
Svenska Handelsbanken AB | 2.450% | 3/30/21 | 5,750 | 5,908 |
50
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Synchrony Financial | 1.875% | 8/15/17 | 800 | 801 |
Synchrony Financial | 2.600% | 1/15/19 | 5,700 | 5,754 |
Synchrony Financial | 3.000% | 8/15/19 | 5,050 | 5,147 |
Synchrony Financial | 2.700% | 2/3/20 | 3,025 | 3,035 |
Synchrony Financial | 3.750% | 8/15/21 | 3,500 | 3,626 |
Synchrony Financial | 4.250% | 8/15/24 | 17,700 | 18,332 |
Synchrony Financial | 4.500% | 7/23/25 | 8,350 | 8,661 |
Toronto-Dominion Bank | 1.625% | 3/13/18 | 8,300 | 8,375 |
Toronto-Dominion Bank | 1.400% | 4/30/18 | 11,129 | 11,184 |
Toronto-Dominion Bank | 1.750% | 7/23/18 | 20,450 | 20,663 |
Toronto-Dominion Bank | 2.625% | 9/10/18 | 10,000 | 10,289 |
Toronto-Dominion Bank | 2.125% | 7/2/19 | 4,600 | 4,753 |
Toronto-Dominion Bank | 2.250% | 11/5/19 | 13,000 | 13,361 |
Toronto-Dominion Bank | 2.500% | 12/14/20 | 5,000 | 5,174 |
Toronto-Dominion Bank | 2.125% | 4/7/21 | 17,925 | 18,244 |
UBS AG | 1.375% | 6/1/17 | 7,350 | 7,357 |
UBS AG | 1.375% | 8/14/17 | 7,025 | 7,029 |
UBS AG | 5.875% | 12/20/17 | 560 | 596 |
UBS AG | 1.800% | 3/26/18 | 5,000 | 5,043 |
UBS AG | 5.750% | 4/25/18 | 3,265 | 3,510 |
UBS AG | 2.375% | 8/14/19 | 12,162 | 12,445 |
UBS AG | 2.350% | 3/26/20 | 1,925 | 1,972 |
UBS AG | 4.875% | 8/4/20 | 875 | 983 |
US Bancorp | 1.950% | 11/15/18 | 3,725 | 3,798 |
US Bancorp | 2.350% | 1/29/21 | 3,675 | 3,788 |
US Bancorp | 4.125% | 5/24/21 | 2,515 | 2,799 |
US Bancorp | 3.000% | 3/15/22 | 4,225 | 4,497 |
US Bancorp | 2.950% | 7/15/22 | 11,275 | 11,700 |
US Bancorp | 3.700% | 1/30/24 | 11,050 | 12,187 |
US Bancorp | 3.100% | 4/27/26 | 4,000 | 4,163 |
US Bank NA | 1.350% | 1/26/18 | 3,400 | 3,420 |
US Bank NA | 1.450% | 1/29/18 | 6,000 | 6,041 |
US Bank NA | 1.400% | 4/26/19 | 12,000 | 12,061 |
US Bank NA | 2.125% | 10/28/19 | 9,800 | 10,025 |
US Bank NA | 2.800% | 1/27/25 | 7,500 | 7,787 |
Wachovia Bank NA | 5.850% | 2/1/37 | 11,025 | 13,969 |
Wachovia Corp. | 5.750% | 2/1/18 | 14,665 | 15,683 |
Wachovia Corp. | 6.605% | 10/1/25 | 825 | 1,036 |
Wachovia Corp. | 7.500% | 4/15/35 | 500 | 696 |
Wachovia Corp. | 5.500% | 8/1/35 | 1,775 | 2,103 |
Wachovia Corp. | 6.550% | 10/15/35 | 250 | 317 |
Wells Fargo & Co. | 2.100% | 5/8/17 | 3,625 | 3,657 |
Wells Fargo & Co. | 1.400% | 9/8/17 | 7,825 | 7,853 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 20,451 | 21,761 |
Wells Fargo & Co. | 1.500% | 1/16/18 | 6,300 | 6,335 |
Wells Fargo & Co. | 2.150% | 1/15/19 | 9,250 | 9,439 |
Wells Fargo & Co. | 2.150% | 1/30/20 | 9,625 | 9,792 |
Wells Fargo & Co. | 2.600% | 7/22/20 | 32,075 | 32,975 |
Wells Fargo & Co. | 2.550% | 12/7/20 | 10,375 | 10,639 |
Wells Fargo & Co. | 3.000% | 1/22/21 | 8,000 | 8,376 |
Wells Fargo & Co. | 2.500% | 3/4/21 | 23,200 | 23,749 |
Wells Fargo & Co. | 4.600% | 4/1/21 | 15,140 | 16,913 |
Wells Fargo & Co. | 3.500% | 3/8/22 | 18,200 | 19,499 |
Wells Fargo & Co. | 3.450% | 2/13/23 | 12,075 | 12,468 |
Wells Fargo & Co. | 4.125% | 8/15/23 | 18,350 | 19,681 |
51
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Wells Fargo & Co. | 4.480% | 1/16/24 | 10,000 | 10,910 |
Wells Fargo & Co. | 3.300% | 9/9/24 | 9,250 | 9,679 |
Wells Fargo & Co. | 3.000% | 2/19/25 | 4,675 | 4,784 |
Wells Fargo & Co. | 3.550% | 9/29/25 | 15,000 | 15,991 |
Wells Fargo & Co. | 3.000% | 4/22/26 | 22,700 | 23,076 |
Wells Fargo & Co. | 4.100% | 6/3/26 | 13,650 | 14,584 |
Wells Fargo & Co. | 4.300% | 7/22/27 | 6,700 | 7,216 |
Wells Fargo & Co. | 5.375% | 2/7/35 | 3,825 | 4,650 |
Wells Fargo & Co. | 5.375% | 11/2/43 | 11,879 | 13,850 |
Wells Fargo & Co. | 5.606% | 1/15/44 | 7,500 | 8,986 |
Wells Fargo & Co. | 4.650% | 11/4/44 | 14,475 | 15,219 |
Wells Fargo & Co. | 3.900% | 5/1/45 | 11,825 | 12,386 |
Wells Fargo & Co. | 4.900% | 11/17/45 | 11,025 | 12,077 |
Wells Fargo & Co. | 4.400% | 6/14/46 | 8,950 | 9,065 |
Wells Fargo Bank NA | 6.000% | 11/15/17 | 2,975 | 3,164 |
Wells Fargo Bank NA | 1.650% | 1/22/18 | 7,700 | 7,765 |
Wells Fargo Bank NA | 1.750% | 5/24/19 | 10,950 | 11,078 |
Wells Fargo Bank NA | 5.950% | 8/26/36 | 2,700 | 3,444 |
Wells Fargo Bank NA | 6.600% | 1/15/38 | 9,695 | 13,305 |
4 Wells Fargo Capital X | 5.950% | 12/1/86 | 3,500 | 3,719 |
Westpac Banking Corp. | 2.000% | 8/14/17 | 4,750 | 4,797 |
Westpac Banking Corp. | 1.500% | 12/1/17 | 14,375 | 14,456 |
Westpac Banking Corp. | 1.600% | 1/12/18 | 4,210 | 4,236 |
Westpac Banking Corp. | 2.250% | 7/30/18 | 8,325 | 8,490 |
Westpac Banking Corp. | 1.950% | 11/23/18 | 5,000 | 5,065 |
Westpac Banking Corp. | 2.250% | 1/17/19 | 14,300 | 14,514 |
Westpac Banking Corp. | 1.650% | 5/13/19 | 6,000 | 6,038 |
Westpac Banking Corp. | 4.875% | 11/19/19 | 9,420 | 10,427 |
Westpac Banking Corp. | 2.600% | 11/23/20 | 16,000 | 16,535 |
Westpac Banking Corp. | 2.100% | 5/13/21 | 25,000 | 25,274 |
Westpac Banking Corp. | 2.850% | 5/13/26 | 15,000 | 15,252 |
Brokerage (0.2%) | ||||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 2,800 | 2,961 |
Affiliated Managers Group Inc. | 3.500% | 8/1/25 | 4,600 | 4,584 |
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 3,150 | 3,426 |
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 4,500 | 4,809 |
Apollo Investment Corp. | 5.250% | 3/3/25 | 600 | 602 |
BGC Partners Inc. | 5.375% | 12/9/19 | 500 | 520 |
7 BGC Partners Inc. | 5.125% | 5/27/21 | 1,450 | 1,466 |
BlackRock Inc. | 6.250% | 9/15/17 | 110 | 117 |
BlackRock Inc. | 4.250% | 5/24/21 | 5,775 | 6,463 |
BlackRock Inc. | 3.375% | 6/1/22 | 8,750 | 9,469 |
BlackRock Inc. | 3.500% | 3/18/24 | 7,650 | 8,331 |
Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 4,725 | 4,805 |
Brookfield Asset Management Inc. | 7.375% | 3/1/33 | 1,500 | 1,825 |
Brookfield Finance Inc. | 4.250% | 6/2/26 | 1,015 | 1,039 |
Charles Schwab Corp. | 4.450% | 7/22/20 | 775 | 859 |
Charles Schwab Corp. | 3.225% | 9/1/22 | 4,464 | 4,724 |
Charles Schwab Corp. | 3.450% | 2/13/26 | 4,225 | 4,508 |
CME Group Inc. | 3.000% | 9/15/22 | 5,800 | 6,162 |
CME Group Inc. | 3.000% | 3/15/25 | 750 | 781 |
CME Group Inc. | 5.300% | 9/15/43 | 6,185 | 7,807 |
E*TRADE Financial Corp. | 5.375% | 11/15/22 | 3,100 | 3,274 |
E*TRADE Financial Corp. | 4.625% | 9/15/23 | 2,525 | 2,557 |
52
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Eaton Vance Corp. | 3.625% | 6/15/23 | 1,875 | 2,004 |
7 FMR LLC | 7.490% | 6/15/19 | 200 | 231 |
Franklin Resources Inc. | 1.375% | 9/15/17 | 1,775 | 1,784 |
Franklin Resources Inc. | 2.800% | 9/15/22 | 4,875 | 5,044 |
Franklin Resources Inc. | 2.850% | 3/30/25 | 3,000 | 3,081 |
Intercontinental Exchange Inc. | 2.500% | 10/15/18 | 625 | 640 |
Intercontinental Exchange Inc. | 2.750% | 12/1/20 | 4,525 | 4,738 |
Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 10,000 | 10,822 |
Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 7,240 | 7,814 |
Invesco Finance plc | 3.125% | 11/30/22 | 8,350 | 8,735 |
Invesco Finance plc | 4.000% | 1/30/24 | 6,125 | 6,726 |
Invesco Finance plc | 3.750% | 1/15/26 | 10 | 11 |
Invesco Finance plc | 5.375% | 11/30/43 | 6,025 | 7,150 |
Janus Capital Group Inc. | 4.875% | 8/1/25 | 2,400 | 2,595 |
Jefferies Group LLC | 5.125% | 4/13/18 | 4,125 | 4,315 |
Jefferies Group LLC | 8.500% | 7/15/19 | 3,000 | 3,445 |
Jefferies Group LLC | 6.875% | 4/15/21 | 5,045 | 5,729 |
Jefferies Group LLC | 5.125% | 1/20/23 | 2,775 | 2,908 |
Jefferies Group LLC | 6.450% | 6/8/27 | 1,235 | 1,373 |
Jefferies Group LLC | 6.250% | 1/15/36 | 1,830 | 1,886 |
Jefferies Group LLC | 6.500% | 1/20/43 | 2,850 | 2,831 |
Lazard Group LLC | 6.850% | 6/15/17 | 464 | 486 |
Lazard Group LLC | 4.250% | 11/14/20 | 425 | 455 |
Lazard Group LLC | 3.750% | 2/13/25 | 100 | 99 |
Legg Mason Inc. | 2.700% | 7/15/19 | 1,450 | 1,480 |
Legg Mason Inc. | 3.950% | 7/15/24 | 400 | 406 |
Legg Mason Inc. | 4.750% | 3/15/26 | 1,500 | 1,582 |
Legg Mason Inc. | 5.625% | 1/15/44 | 4,875 | 4,987 |
Leucadia National Corp. | 5.500% | 10/18/23 | 8,050 | 8,177 |
Leucadia National Corp. | 6.625% | 10/23/43 | 825 | 720 |
Nasdaq Inc. | 5.550% | 1/15/20 | 4,400 | 4,841 |
Nasdaq Inc. | 4.250% | 6/1/24 | 1,500 | 1,576 |
Nasdaq Inc. | 3.850% | 6/30/26 | 3,200 | 3,252 |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 19,675 | 20,122 |
NYSE Euronext | 2.000% | 10/5/17 | 5,150 | 5,202 |
Raymond James Financial Inc. | 8.600% | 8/15/19 | 1,575 | 1,867 |
Stifel Financial Corp. | 3.500% | 12/1/20 | 1,500 | 1,524 |
Stifel Financial Corp. | 4.250% | 7/18/24 | 1,900 | 1,928 |
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 6,700 | 6,989 |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 1,600 | 1,710 |
Finance Companies (0.2%) | ||||
AerCap Ireland Capital Ltd. / | ||||
AerCap Global Aviation Trust | 3.950% | 2/1/22 | 4,500 | 4,477 |
Air Lease Corp. | 2.125% | 1/15/18 | 3,750 | 3,722 |
Air Lease Corp. | 3.375% | 1/15/19 | 5,700 | 5,800 |
Air Lease Corp. | 4.750% | 3/1/20 | 4,000 | 4,250 |
Air Lease Corp. | 3.875% | 4/1/21 | 9,743 | 10,060 |
Air Lease Corp. | 3.375% | 6/1/21 | 1,625 | 1,664 |
Air Lease Corp. | 3.750% | 2/1/22 | 5,525 | 5,635 |
Air Lease Corp. | 4.250% | 9/15/24 | 600 | 612 |
Ares Capital Corp. | 4.875% | 11/30/18 | 7,000 | 7,322 |
FS Investment Corp. | 4.000% | 7/15/19 | 2,225 | 2,241 |
FS Investment Corp. | 4.250% | 1/15/20 | 1,000 | 1,023 |
FS Investment Corp. | 4.750% | 5/15/22 | 1,500 | 1,524 |
53
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
GATX Corp. | 2.375% | 7/30/18 | 7,000 | 7,030 |
GATX Corp. | 2.500% | 7/30/19 | 300 | 303 |
GATX Corp. | 2.600% | 3/30/20 | 2,250 | 2,224 |
GATX Corp. | 4.750% | 6/15/22 | 1,550 | 1,660 |
GATX Corp. | 3.250% | 3/30/25 | 2,175 | 2,117 |
GATX Corp. | 5.200% | 3/15/44 | 325 | 330 |
GATX Corp. | 4.500% | 3/30/45 | 1,275 | 1,169 |
7 GE Capital International Funding Co. | 2.342% | 11/15/20 | 53,914 | 55,715 |
7 GE Capital International Funding Co. | 3.373% | 11/15/25 | 19,343 | 21,107 |
7 GE Capital International Funding Co. | 4.418% | 11/15/35 | 62,635 | 70,172 |
HSBC Finance Corp. | 6.676% | 1/15/21 | 28,865 | 32,329 |
7 International Lease Finance Corp. | 7.125% | 9/1/18 | 12,615 | 13,845 |
Prospect Capital Corp. | 5.000% | 7/15/19 | 2,150 | 2,123 |
Prospect Capital Corp. | 5.875% | 3/15/23 | 550 | 533 |
Insurance (1.4%) | ||||
ACE Capital Trust II | 9.700% | 4/1/30 | 900 | 1,309 |
AEGON Funding Co. LLC | 5.750% | 12/15/20 | 4,641 | 5,346 |
Aetna Inc. | 1.500% | 11/15/17 | 500 | 502 |
Aetna Inc. | 1.700% | 6/7/18 | 10,000 | 10,072 |
Aetna Inc. | 2.200% | 3/15/19 | 2,375 | 2,420 |
Aetna Inc. | 1.900% | 6/7/19 | 10,500 | 10,633 |
Aetna Inc. | 3.950% | 9/1/20 | 5,525 | 5,942 |
Aetna Inc. | 4.125% | 6/1/21 | 1,680 | 1,828 |
Aetna Inc. | 2.400% | 6/15/21 | 3,920 | 4,002 |
Aetna Inc. | 2.750% | 11/15/22 | 13,910 | 14,198 |
Aetna Inc. | 2.800% | 6/15/23 | 500 | 510 |
Aetna Inc. | 3.500% | 11/15/24 | 3,500 | 3,707 |
Aetna Inc. | 3.200% | 6/15/26 | 4,900 | 5,028 |
Aetna Inc. | 4.250% | 6/15/36 | 6,610 | 6,833 |
Aetna Inc. | 6.625% | 6/15/36 | 4,125 | 5,512 |
Aetna Inc. | 6.750% | 12/15/37 | 3,000 | 4,073 |
Aetna Inc. | 4.500% | 5/15/42 | 4,600 | 4,874 |
Aetna Inc. | 4.125% | 11/15/42 | 1,425 | 1,442 |
Aetna Inc. | 4.750% | 3/15/44 | 400 | 443 |
Aetna Inc. | 4.375% | 6/15/46 | 15,295 | 15,901 |
Aflac Inc. | 2.400% | 3/16/20 | 2,750 | 2,834 |
Aflac Inc. | 3.625% | 6/15/23 | 8,850 | 9,501 |
Aflac Inc. | 6.900% | 12/17/39 | 2,900 | 4,087 |
Aflac Inc. | 6.450% | 8/15/40 | 1,850 | 2,476 |
Alleghany Corp. | 4.950% | 6/27/22 | 3,000 | 3,339 |
Alleghany Corp. | 4.900% | 9/15/44 | 4,575 | 4,759 |
Allied World Assurance Co. Holdings Ltd. | 4.350% | 10/29/25 | 12,400 | 12,675 |
Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 1,180 | 1,316 |
Allstate Corp. | 3.150% | 6/15/23 | 2,500 | 2,641 |
Allstate Corp. | 5.350% | 6/1/33 | 150 | 184 |
Allstate Corp. | 5.550% | 5/9/35 | 420 | 531 |
Allstate Corp. | 5.950% | 4/1/36 | 525 | 699 |
Allstate Corp. | 4.500% | 6/15/43 | 1,675 | 1,949 |
4 Allstate Corp. | 5.750% | 8/15/53 | 450 | 460 |
4 Allstate Corp. | 6.125% | 5/15/67 | 7,734 | 6,806 |
4 Allstate Corp. | 6.500% | 5/15/67 | 2,575 | 2,794 |
Alterra Finance LLC | 6.250% | 9/30/20 | 745 | 849 |
American Financial Group Inc. | 9.875% | 6/15/19 | 1,410 | 1,703 |
American International Group Inc. | 5.850% | 1/16/18 | 5,950 | 6,351 |
54
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
American International Group Inc. | 2.300% | 7/16/19 | 7,425 | 7,553 |
American International Group Inc. | 3.375% | 8/15/20 | 2,650 | 2,783 |
American International Group Inc. | 6.400% | 12/15/20 | 15,675 | 18,412 |
American International Group Inc. | 3.300% | 3/1/21 | 2,500 | 2,608 |
American International Group Inc. | 4.875% | 6/1/22 | 10,600 | 11,809 |
American International Group Inc. | 4.125% | 2/15/24 | 2,105 | 2,223 |
American International Group Inc. | 3.750% | 7/10/25 | 1,575 | 1,607 |
American International Group Inc. | 3.900% | 4/1/26 | 11,000 | 11,355 |
American International Group Inc. | 3.875% | 1/15/35 | 8,775 | 8,299 |
American International Group Inc. | 4.700% | 7/10/35 | 2,935 | 3,047 |
American International Group Inc. | 6.250% | 5/1/36 | 15,655 | 18,642 |
American International Group Inc. | 4.500% | 7/16/44 | 2,300 | 2,238 |
American International Group Inc. | 4.800% | 7/10/45 | 400 | 407 |
American International Group Inc. | 4.375% | 1/15/55 | 3,685 | 3,416 |
4 American International Group Inc. | 8.175% | 5/15/68 | 1,900 | 2,380 |
Anthem Inc. | 1.875% | 1/15/18 | 420 | 422 |
Anthem Inc. | 7.000% | 2/15/19 | 5 | 6 |
Anthem Inc. | 4.350% | 8/15/20 | 6,250 | 6,799 |
Anthem Inc. | 3.700% | 8/15/21 | 4,780 | 5,106 |
Anthem Inc. | 3.125% | 5/15/22 | 3,470 | 3,588 |
Anthem Inc. | 3.300% | 1/15/23 | 11,621 | 12,011 |
Anthem Inc. | 3.500% | 8/15/24 | 5,850 | 6,061 |
Anthem Inc. | 5.950% | 12/15/34 | 5,170 | 6,108 |
Anthem Inc. | 5.850% | 1/15/36 | 2,450 | 2,933 |
Anthem Inc. | 6.375% | 6/15/37 | 3,540 | 4,489 |
Anthem Inc. | 4.625% | 5/15/42 | 7,900 | 8,295 |
Anthem Inc. | 4.650% | 1/15/43 | 6,100 | 6,453 |
Anthem Inc. | 5.100% | 1/15/44 | 3,505 | 3,941 |
Anthem Inc. | 4.650% | 8/15/44 | 1,312 | 1,404 |
Anthem Inc. | 4.850% | 8/15/54 | 2,525 | 2,660 |
Aon Corp. | 5.000% | 9/30/20 | 4,170 | 4,667 |
Aon Corp. | 6.250% | 9/30/40 | 2,125 | 2,706 |
Aon plc | 2.800% | 3/15/21 | 8,355 | 8,603 |
Aon plc | 4.000% | 11/27/23 | 2,675 | 2,838 |
Aon plc | 3.500% | 6/14/24 | 4,400 | 4,543 |
Aon plc | 4.450% | 5/24/43 | 1,350 | 1,363 |
Aon plc | 4.600% | 6/14/44 | 3,050 | 3,108 |
Aon plc | 4.750% | 5/15/45 | 1,850 | 1,994 |
Arch Capital Group Ltd. | 7.350% | 5/1/34 | 1,100 | 1,488 |
Arch Capital Group US Inc. | 5.144% | 11/1/43 | 5,950 | 6,467 |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 3,800 | 4,245 |
Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 9,400 | 9,987 |
Assurant Inc. | 4.000% | 3/15/23 | 6,975 | 7,183 |
Assurant Inc. | 6.750% | 2/15/34 | 4,325 | 5,377 |
AXA SA | 8.600% | 12/15/30 | 6,970 | 9,498 |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 11,950 | 13,376 |
AXIS Specialty Finance plc | 2.650% | 4/1/19 | 625 | 633 |
AXIS Specialty Finance plc | 5.150% | 4/1/45 | 2,600 | 2,812 |
Berkshire Hathaway Finance Corp. | 1.450% | 3/7/18 | 4,400 | 4,442 |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 13,645 | 14,766 |
Berkshire Hathaway Finance Corp. | 2.000% | 8/15/18 | 9,750 | 9,988 |
Berkshire Hathaway Finance Corp. | 1.700% | 3/15/19 | 3,340 | 3,393 |
Berkshire Hathaway Finance Corp. | 2.900% | 10/15/20 | 12,650 | 13,437 |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 10,020 | 11,162 |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 2,925 | 3,117 |
55
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 155 | 205 |
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 2,100 | 2,353 |
Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 300 | 333 |
Berkshire Hathaway Inc. | 1.550% | 2/9/18 | 225 | 227 |
Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 7,075 | 7,294 |
Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 900 | 951 |
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 12,190 | 12,593 |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 23,500 | 24,643 |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 2,825 | 3,194 |
Brown & Brown Inc. | 4.200% | 9/15/24 | 4,830 | 4,902 |
Chubb Corp. | 5.750% | 5/15/18 | 5,277 | 5,722 |
Chubb Corp. | 6.000% | 5/11/37 | 1,450 | 1,967 |
Chubb INA Holdings Inc. | 5.800% | 3/15/18 | 475 | 510 |
Chubb INA Holdings Inc. | 5.900% | 6/15/19 | 785 | 883 |
Chubb INA Holdings Inc. | 2.300% | 11/3/20 | 3,825 | 3,932 |
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 12,375 | 12,943 |
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 2,100 | 2,155 |
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 7,650 | 8,148 |
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 5,750 | 6,001 |
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 8,750 | 9,320 |
Chubb INA Holdings Inc. | 6.700% | 5/15/36 | 500 | 718 |
Chubb INA Holdings Inc. | 4.150% | 3/13/43 | 5,675 | 6,319 |
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 8,661 | 9,930 |
Cigna Corp. | 5.125% | 6/15/20 | 375 | 416 |
Cigna Corp. | 4.375% | 12/15/20 | 200 | 218 |
Cigna Corp. | 4.500% | 3/15/21 | 1,090 | 1,194 |
Cigna Corp. | 4.000% | 2/15/22 | 1,560 | 1,685 |
Cigna Corp. | 3.250% | 4/15/25 | 15,025 | 15,365 |
Cigna Corp. | 7.875% | 5/15/27 | 425 | 587 |
Cigna Corp. | 6.150% | 11/15/36 | 7,254 | 9,002 |
Cigna Corp. | 5.875% | 3/15/41 | 1,665 | 2,040 |
Cigna Corp. | 5.375% | 2/15/42 | 1,425 | 1,678 |
Cincinnati Financial Corp. | 6.920% | 5/15/28 | 4,200 | 5,534 |
CNA Financial Corp. | 7.350% | 11/15/19 | 2,755 | 3,173 |
CNA Financial Corp. | 5.875% | 8/15/20 | 355 | 401 |
CNA Financial Corp. | 5.750% | 8/15/21 | 2,765 | 3,187 |
CNA Financial Corp. | 3.950% | 5/15/24 | 3,275 | 3,464 |
CNA Financial Corp. | 4.500% | 3/1/26 | 4,000 | 4,279 |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 3,810 | 4,354 |
Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 1,279 | 1,546 |
Everest Reinsurance Holdings Inc. | 4.868% | 6/1/44 | 3,500 | 3,589 |
First American Financial Corp. | 4.300% | 2/1/23 | 1,025 | 1,049 |
First American Financial Corp. | 4.600% | 11/15/24 | 4,675 | 4,905 |
Hanover Insurance Group Inc. | 4.500% | 4/15/26 | 2,950 | 3,048 |
Hartford Financial Services Group Inc. | 6.300% | 3/15/18 | 1,584 | 1,695 |
Hartford Financial Services Group Inc. | 6.000% | 1/15/19 | 925 | 1,014 |
Hartford Financial Services Group Inc. | 5.500% | 3/30/20 | 4,100 | 4,622 |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 825 | 937 |
Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 300 | 368 |
Hartford Financial Services Group Inc. | 6.625% | 3/30/40 | 1,500 | 1,938 |
Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 2,150 | 2,653 |
Hartford Financial Services Group Inc. | 6.625% | 4/15/42 | 1,793 | 2,308 |
Horace Mann Educators Corp. | 4.500% | 12/1/25 | 1,000 | 1,051 |
Humana Inc. | 6.300% | 8/1/18 | 150 | 164 |
Humana Inc. | 2.625% | 10/1/19 | 1,525 | 1,565 |
56
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Humana Inc. | 3.150% | 12/1/22 | 3,825 | 3,931 |
Humana Inc. | 3.850% | 10/1/24 | 6,900 | 7,343 |
Humana Inc. | 8.150% | 6/15/38 | 2,775 | 4,026 |
Humana Inc. | 4.625% | 12/1/42 | 2,175 | 2,267 |
Humana Inc. | 4.950% | 10/1/44 | 2,025 | 2,220 |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 1,550 | 1,649 |
Kemper Corp. | 4.350% | 2/15/25 | 6,825 | 7,070 |
Lincoln National Corp. | 8.750% | 7/1/19 | 526 | 624 |
Lincoln National Corp. | 6.250% | 2/15/20 | 4,795 | 5,416 |
Lincoln National Corp. | 4.850% | 6/24/21 | 4,212 | 4,662 |
Lincoln National Corp. | 4.200% | 3/15/22 | 1,025 | 1,097 |
Lincoln National Corp. | 4.000% | 9/1/23 | 2,000 | 2,080 |
Lincoln National Corp. | 6.150% | 4/7/36 | 3,400 | 3,999 |
Lincoln National Corp. | 6.300% | 10/9/37 | 1,550 | 1,829 |
Loews Corp. | 2.625% | 5/15/23 | 9,600 | 9,666 |
Loews Corp. | 6.000% | 2/1/35 | 200 | 247 |
Loews Corp. | 4.125% | 5/15/43 | 4,865 | 4,922 |
Manulife Financial Corp. | 4.900% | 9/17/20 | 4,875 | 5,401 |
Manulife Financial Corp. | 4.150% | 3/4/26 | 4,925 | 5,288 |
Manulife Financial Corp. | 5.375% | 3/4/46 | 5,850 | 6,899 |
Markel Corp. | 4.900% | 7/1/22 | 4,665 | 5,186 |
Markel Corp. | 3.625% | 3/30/23 | 2,175 | 2,253 |
Markel Corp. | 5.000% | 3/30/43 | 575 | 615 |
Markel Corp. | 5.000% | 4/5/46 | 3,500 | 3,694 |
Marsh & McLennan Cos. Inc. | 2.350% | 9/10/19 | 1,200 | 1,224 |
Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 5,600 | 5,710 |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 2,265 | 2,518 |
Marsh & McLennan Cos. Inc. | 3.300% | 3/14/23 | 4,380 | 4,563 |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 13,000 | 13,459 |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 2,425 | 2,516 |
Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 4,050 | 4,270 |
Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 3,425 | 4,212 |
7 Massachusetts Mutual Life Insurance Co. | 8.875% | 6/1/39 | 575 | 866 |
7 Massachusetts Mutual Life Insurance Co. | 4.500% | 4/15/65 | 10 | 10 |
MetLife Inc. | 1.756% | 12/15/17 | 8,000 | 8,072 |
MetLife Inc. | 1.903% | 12/15/17 | 3,270 | 3,304 |
MetLife Inc. | 6.817% | 8/15/18 | 895 | 998 |
MetLife Inc. | 7.717% | 2/15/19 | 1,170 | 1,352 |
MetLife Inc. | 4.750% | 2/8/21 | 9,545 | 10,705 |
MetLife Inc. | 3.048% | 12/15/22 | 5,475 | 5,625 |
MetLife Inc. | 3.600% | 4/10/24 | 18,100 | 19,084 |
MetLife Inc. | 3.000% | 3/1/25 | 5,475 | 5,527 |
MetLife Inc. | 3.600% | 11/13/25 | 8,000 | 8,405 |
MetLife Inc. | 6.500% | 12/15/32 | 250 | 325 |
MetLife Inc. | 6.375% | 6/15/34 | 2,195 | 2,840 |
MetLife Inc. | 5.700% | 6/15/35 | 8,360 | 10,169 |
MetLife Inc. | 5.875% | 2/6/41 | 6,720 | 8,372 |
MetLife Inc. | 4.125% | 8/13/42 | 7,350 | 7,317 |
MetLife Inc. | 4.875% | 11/13/43 | 6,300 | 6,930 |
MetLife Inc. | 4.721% | 12/15/44 | 5,350 | 5,762 |
MetLife Inc. | 4.050% | 3/1/45 | 4,600 | 4,514 |
MetLife Inc. | 4.600% | 5/13/46 | 2,275 | 2,432 |
4 MetLife Inc. | 6.400% | 12/15/66 | 9,930 | 10,551 |
4 MetLife Inc. | 10.750% | 8/1/69 | 350 | 544 |
Montpelier Re Holdings Ltd. | 4.700% | 10/15/22 | 275 | 287 |
57
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Munich Re America Corp. | 7.450% | 12/15/26 | 1,200 | 1,595 |
4 Nationwide Financial Services Inc. | 6.750% | 5/15/87 | 325 | 335 |
Old Republic International Corp. | 4.875% | 10/1/24 | 4,200 | 4,490 |
OneBeacon US Holdings Inc. | 4.600% | 11/9/22 | 6,250 | 6,378 |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 7,958 | 8,876 |
Principal Financial Group Inc. | 8.875% | 5/15/19 | 2,915 | 3,442 |
Principal Financial Group Inc. | 6.050% | 10/15/36 | 2,000 | 2,501 |
Principal Financial Group Inc. | 4.350% | 5/15/43 | 475 | 482 |
4 Principal Financial Group Inc. | 4.700% | 5/15/55 | 2,700 | 2,633 |
ProAssurance Corp. | 5.300% | 11/15/23 | 325 | 351 |
Progressive Corp. | 3.750% | 8/23/21 | 10,655 | 11,704 |
Progressive Corp. | 6.625% | 3/1/29 | 725 | 961 |
Progressive Corp. | 4.350% | 4/25/44 | 1,500 | 1,716 |
Protective Life Corp. | 7.375% | 10/15/19 | 950 | 1,098 |
Protective Life Corp. | 8.450% | 10/15/39 | 1,244 | 1,743 |
Prudential Financial Inc. | 6.000% | 12/1/17 | 958 | 1,026 |
Prudential Financial Inc. | 2.300% | 8/15/18 | 3,200 | 3,266 |
Prudential Financial Inc. | 7.375% | 6/15/19 | 795 | 923 |
Prudential Financial Inc. | 2.350% | 8/15/19 | 2,200 | 2,241 |
Prudential Financial Inc. | 5.375% | 6/21/20 | 3,695 | 4,168 |
Prudential Financial Inc. | 4.500% | 11/15/20 | 5,000 | 5,516 |
Prudential Financial Inc. | 4.500% | 11/16/21 | 675 | 758 |
Prudential Financial Inc. | 3.500% | 5/15/24 | 3,175 | 3,300 |
Prudential Financial Inc. | 5.750% | 7/15/33 | 1,280 | 1,510 |
Prudential Financial Inc. | 5.400% | 6/13/35 | 2,875 | 3,261 |
Prudential Financial Inc. | 5.900% | 3/17/36 | 2,300 | 2,757 |
Prudential Financial Inc. | 5.700% | 12/14/36 | 7,720 | 9,177 |
Prudential Financial Inc. | 6.625% | 12/1/37 | 5,050 | 6,520 |
Prudential Financial Inc. | 6.625% | 6/21/40 | 9,700 | 12,580 |
Prudential Financial Inc. | 6.200% | 11/15/40 | 150 | 185 |
Prudential Financial Inc. | 5.625% | 5/12/41 | 1,345 | 1,569 |
4 Prudential Financial Inc. | 5.875% | 9/15/42 | 2,400 | 2,580 |
4 Prudential Financial Inc. | 5.625% | 6/15/43 | 8,775 | 9,104 |
Prudential Financial Inc. | 5.100% | 8/15/43 | 4,075 | 4,529 |
4 Prudential Financial Inc. | 5.200% | 3/15/44 | 3,075 | 2,998 |
Prudential Financial Inc. | 4.600% | 5/15/44 | 13,925 | 14,827 |
4 Prudential Financial Inc. | 5.375% | 5/15/45 | 1,650 | 1,664 |
4 Prudential Financial Inc. | 8.875% | 6/15/68 | 2,400 | 2,640 |
Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 4,466 | 4,940 |
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 1,400 | 1,518 |
Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 2,100 | 2,158 |
7 Reliance Standard Life Global Funding II | 2.500% | 1/15/20 | 500 | 507 |
StanCorp Financial Group Inc. | 5.000% | 8/15/22 | 1,400 | 1,539 |
Swiss Re Solutions Holding Corp. | 7.000% | 2/15/26 | 2,425 | 3,153 |
Torchmark Corp. | 9.250% | 6/15/19 | 895 | 1,068 |
Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 6,225 | 8,597 |
Travelers Cos. Inc. | 5.750% | 12/15/17 | 4,475 | 4,770 |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 1,215 | 1,318 |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 225 | 254 |
Travelers Cos. Inc. | 3.900% | 11/1/20 | 1,870 | 2,052 |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 1,525 | 2,209 |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 4,885 | 6,775 |
Travelers Cos. Inc. | 5.350% | 11/1/40 | 4,145 | 5,335 |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 2,820 | 3,358 |
Travelers Cos. Inc. | 4.300% | 8/25/45 | 500 | 567 |
58
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Travelers Cos. Inc. | 3.750% | 5/15/46 | 4,625 | 4,836 |
Trinity Acquisition plc | 4.625% | 8/15/23 | 500 | 538 |
Trinity Acquisition plc | 6.125% | 8/15/43 | 2,725 | 3,043 |
UnitedHealth Group Inc. | 1.450% | 7/17/17 | 5,100 | 5,125 |
UnitedHealth Group Inc. | 1.400% | 10/15/17 | 2,450 | 2,464 |
UnitedHealth Group Inc. | 1.400% | 12/15/17 | 125 | 126 |
UnitedHealth Group Inc. | 6.000% | 2/15/18 | 8,035 | 8,664 |
UnitedHealth Group Inc. | 1.900% | 7/16/18 | 7,250 | 7,362 |
UnitedHealth Group Inc. | 1.625% | 3/15/19 | 7,000 | 7,065 |
UnitedHealth Group Inc. | 2.300% | 12/15/19 | 2,450 | 2,529 |
UnitedHealth Group Inc. | 2.700% | 7/15/20 | 8,225 | 8,564 |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 2,025 | 2,211 |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 2,235 | 2,520 |
UnitedHealth Group Inc. | 2.125% | 3/15/21 | 2,500 | 2,545 |
UnitedHealth Group Inc. | 3.375% | 11/15/21 | 145 | 156 |
UnitedHealth Group Inc. | 2.875% | 12/15/21 | 4,100 | 4,317 |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 3,300 | 3,444 |
UnitedHealth Group Inc. | 3.350% | 7/15/22 | 10,475 | 11,209 |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 3,600 | 3,698 |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 1,500 | 1,556 |
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 20,250 | 22,224 |
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 6,525 | 6,840 |
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 3,050 | 3,541 |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 3,525 | 4,622 |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 625 | 872 |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 4,550 | 6,475 |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 12,920 | 18,830 |
UnitedHealth Group Inc. | 5.950% | 2/15/41 | 1,225 | 1,631 |
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 2,975 | 3,397 |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 1,300 | 1,446 |
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 3,500 | 3,663 |
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 3,275 | 3,565 |
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 11,485 | 13,845 |
Unum Group | 5.625% | 9/15/20 | 625 | 700 |
Unum Group | 4.000% | 3/15/24 | 5,300 | 5,475 |
Unum Group | 5.750% | 8/15/42 | 2,273 | 2,526 |
Validus Holdings Ltd. | 8.875% | 1/26/40 | 2,950 | 4,112 |
Voya Financial Inc. | 2.900% | 2/15/18 | 4,082 | 4,160 |
Voya Financial Inc. | 3.650% | 6/15/26 | 2,350 | 2,363 |
Voya Financial Inc. | 5.700% | 7/15/43 | 4,550 | 5,127 |
Voya Financial Inc. | 4.800% | 6/15/46 | 3,000 | 3,003 |
Willis Towers Watson plc | 5.750% | 3/15/21 | 1,385 | 1,552 |
WR Berkley Corp. | 5.375% | 9/15/20 | 375 | 416 |
WR Berkley Corp. | 4.625% | 3/15/22 | 6,300 | 6,864 |
WR Berkley Corp. | 4.750% | 8/1/44 | 2,705 | 2,820 |
XLIT Ltd. | 5.750% | 10/1/21 | 2,030 | 2,333 |
XLIT Ltd. | 6.375% | 11/15/24 | 375 | 453 |
XLIT Ltd. | 4.450% | 3/31/25 | 2,200 | 2,233 |
XLIT Ltd. | 6.250% | 5/15/27 | 2,192 | 2,650 |
XLIT Ltd. | 5.250% | 12/15/43 | 2,950 | 3,218 |
XLIT Ltd. | 5.500% | 3/31/45 | 2,800 | 2,792 |
Other Finance (0.0%) | ||||
Jones Lang LaSalle Inc. | 4.400% | 11/15/22 | 150 | 157 |
59
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Real Estate Investment Trusts (0.7%) | ||||
Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 1,900 | 1,918 |
Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 1,825 | 1,974 |
Alexandria Real Estate Equities Inc. | 3.900% | 6/15/23 | 220 | 228 |
Alexandria Real Estate Equities Inc. | 4.300% | 1/15/26 | 2,550 | 2,706 |
Alexandria Real Estate Equities Inc. | 3.950% | 1/15/27 | 2,300 | 2,383 |
Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 2,325 | 2,439 |
American Campus Communities Operating | ||||
Partnership LP | 3.350% | 10/1/20 | 2,000 | 2,077 |
American Campus Communities Operating | ||||
Partnership LP | 4.125% | 7/1/24 | 2,200 | 2,330 |
AvalonBay Communities Inc. | 3.625% | 10/1/20 | 4,000 | 4,274 |
AvalonBay Communities Inc. | 2.950% | 9/15/22 | 75 | 77 |
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 1,720 | 1,758 |
AvalonBay Communities Inc. | 4.200% | 12/15/23 | 1,405 | 1,547 |
AvalonBay Communities Inc. | 3.500% | 11/15/24 | 850 | 898 |
AvalonBay Communities Inc. | 3.450% | 6/1/25 | 8,445 | 8,899 |
AvalonBay Communities Inc. | 2.950% | 5/11/26 | 1,500 | 1,517 |
Boston Properties LP | 3.700% | 11/15/18 | 1,635 | 1,712 |
Boston Properties LP | 5.625% | 11/15/20 | 6,675 | 7,649 |
Boston Properties LP | 4.125% | 5/15/21 | 1,410 | 1,538 |
Boston Properties LP | 3.850% | 2/1/23 | 8,325 | 8,957 |
Boston Properties LP | 3.800% | 2/1/24 | 3,600 | 3,868 |
Boston Properties LP | 3.650% | 2/1/26 | 6,800 | 7,250 |
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 275 | 284 |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 2,225 | 2,331 |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 950 | 960 |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 2,950 | 3,034 |
Brandywine Operating Partnership LP | 4.550% | 10/1/29 | 3,705 | 3,860 |
Brixmor Operating Partnership LP | 3.875% | 8/15/22 | 3,000 | 3,081 |
Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 10,450 | 10,469 |
Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 2,400 | 2,463 |
Camden Property Trust | 4.625% | 6/15/21 | 1,025 | 1,131 |
Camden Property Trust | 2.950% | 12/15/22 | 5,575 | 5,653 |
Camden Property Trust | 4.250% | 1/15/24 | 1,363 | 1,477 |
CBL & Associates LP | 5.250% | 12/1/23 | 2,950 | 2,800 |
CBL & Associates LP | 4.600% | 10/15/24 | 4,800 | 4,391 |
Columbia Property Trust Operating Partnership LP | 4.150% | 4/1/25 | 4,000 | 4,093 |
Corporate Office Properties LP | 3.700% | 6/15/21 | 6,375 | 6,432 |
Corporate Office Properties LP | 3.600% | 5/15/23 | 950 | 923 |
CubeSmart LP | 4.375% | 12/15/23 | 1,850 | 2,008 |
CubeSmart LP | 4.000% | 11/15/25 | 1,375 | 1,457 |
DCT Industrial Operating Partnership LP | 4.500% | 10/15/23 | 1,525 | 1,614 |
DDR Corp. | 7.875% | 9/1/20 | 3,300 | 3,982 |
DDR Corp. | 4.625% | 7/15/22 | 4,250 | 4,601 |
DDR Corp. | 3.375% | 5/15/23 | 3,825 | 3,804 |
DDR Corp. | 4.250% | 2/1/26 | 1,700 | 1,782 |
Digital Realty Trust LP | 3.400% | 10/1/20 | 3,800 | 3,958 |
Digital Realty Trust LP | 5.250% | 3/15/21 | 3,265 | 3,655 |
Digital Realty Trust LP | 3.950% | 7/1/22 | 7,150 | 7,559 |
Digital Realty Trust LP | 3.625% | 10/1/22 | 3,675 | 3,802 |
Digital Realty Trust LP | 4.750% | 10/1/25 | 2,725 | 2,913 |
Duke Realty LP | 3.875% | 2/15/21 | 10,000 | 10,580 |
Duke Realty LP | 3.625% | 4/15/23 | 4,915 | 5,184 |
Duke Realty LP | 3.750% | 12/1/24 | 1,500 | 1,579 |
60
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
EPR Properties | 5.750% | 8/15/22 | 475 | 517 |
EPR Properties | 5.250% | 7/15/23 | 3,375 | 3,573 |
EPR Properties | 4.500% | 4/1/25 | 7,023 | 6,965 |
Equity CommonWealth | 6.250% | 6/15/17 | 1,725 | 1,759 |
Equity CommonWealth | 6.650% | 1/15/18 | 975 | 1,019 |
Equity CommonWealth | 5.875% | 9/15/20 | 200 | 221 |
Equity One Inc. | 3.750% | 11/15/22 | 2,000 | 2,041 |
ERP Operating LP | 5.750% | 6/15/17 | 1,673 | 1,741 |
ERP Operating LP | 2.375% | 7/1/19 | 2,600 | 2,661 |
ERP Operating LP | 4.750% | 7/15/20 | 5,510 | 6,117 |
ERP Operating LP | 4.625% | 12/15/21 | 1,284 | 1,449 |
ERP Operating LP | 3.000% | 4/15/23 | 1,675 | 1,721 |
ERP Operating LP | 3.375% | 6/1/25 | 300 | 316 |
ERP Operating LP | 4.500% | 7/1/44 | 4,400 | 4,896 |
ERP Operating LP | 4.500% | 6/1/45 | 3,175 | 3,528 |
Essex Portfolio LP | 3.375% | 1/15/23 | 3,125 | 3,229 |
Essex Portfolio LP | 3.250% | 5/1/23 | 1,425 | 1,460 |
Essex Portfolio LP | 3.875% | 5/1/24 | 500 | 534 |
Essex Portfolio LP | 3.500% | 4/1/25 | 8,800 | 9,132 |
Essex Portfolio LP | 3.375% | 4/15/26 | 3,000 | 3,065 |
Federal Realty Investment Trust | 2.550% | 1/15/21 | 275 | 281 |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 1,600 | 1,661 |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 950 | 969 |
Federal Realty Investment Trust | 4.500% | 12/1/44 | 5,300 | 5,806 |
HCP Inc. | 6.700% | 1/30/18 | 1,500 | 1,614 |
HCP Inc. | 2.625% | 2/1/20 | 5,000 | 5,043 |
HCP Inc. | 5.375% | 2/1/21 | 1,215 | 1,351 |
HCP Inc. | 3.150% | 8/1/22 | 3,375 | 3,360 |
HCP Inc. | 4.000% | 12/1/22 | 5,020 | 5,229 |
HCP Inc. | 4.250% | 11/15/23 | 7,750 | 8,050 |
HCP Inc. | 4.200% | 3/1/24 | 7,850 | 8,080 |
HCP Inc. | 3.875% | 8/15/24 | 4,450 | 4,531 |
HCP Inc. | 3.400% | 2/1/25 | 4,850 | 4,690 |
HCP Inc. | 4.000% | 6/1/25 | 425 | 429 |
HCP Inc. | 6.750% | 2/1/41 | 1,396 | 1,701 |
Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 4,666 | 5,240 |
Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 1,500 | 1,502 |
Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 2,375 | 2,435 |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 3,125 | 3,184 |
Highwoods Realty LP | 3.200% | 6/15/21 | 8,909 | 8,997 |
Hospitality Properties Trust | 6.700% | 1/15/18 | 6,350 | 6,657 |
Hospitality Properties Trust | 4.250% | 2/15/21 | 225 | 236 |
Hospitality Properties Trust | 4.650% | 3/15/24 | 3,725 | 3,796 |
Hospitality Properties Trust | 4.500% | 3/15/25 | 1,475 | 1,486 |
Hospitality Properties Trust | 5.250% | 2/15/26 | 635 | 670 |
Host Hotels & Resorts LP | 6.000% | 10/1/21 | 3,000 | 3,388 |
Host Hotels & Resorts LP | 5.250% | 3/15/22 | 3,794 | 4,170 |
Host Hotels & Resorts LP | 3.750% | 10/15/23 | 2,125 | 2,134 |
Host Hotels & Resorts LP | 4.000% | 6/15/25 | 1,100 | 1,113 |
Kilroy Realty LP | 4.800% | 7/15/18 | 1,625 | 1,708 |
Kilroy Realty LP | 3.800% | 1/15/23 | 3,300 | 3,452 |
Kilroy Realty LP | 4.375% | 10/1/25 | 575 | 619 |
Kilroy Realty LP | 4.250% | 8/15/29 | 3,025 | 3,192 |
Kimco Realty Corp. | 5.700% | 5/1/17 | 5,250 | 5,439 |
Kimco Realty Corp. | 4.300% | 2/1/18 | 840 | 870 |
61
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Kimco Realty Corp. | 6.875% | 10/1/19 | 1,750 | 2,019 |
Kimco Realty Corp. | 3.125% | 6/1/23 | 875 | 891 |
Lexington Realty Trust | 4.400% | 6/15/24 | 1,875 | 1,934 |
Liberty Property LP | 6.625% | 10/1/17 | 1,600 | 1,696 |
Liberty Property LP | 4.750% | 10/1/20 | 1,535 | 1,678 |
Liberty Property LP | 3.375% | 6/15/23 | 1,775 | 1,797 |
Liberty Property LP | 4.400% | 2/15/24 | 3,979 | 4,287 |
Liberty Property LP | 3.750% | 4/1/25 | 8,000 | 8,268 |
Mack-Cali Realty LP | 2.500% | 12/15/17 | 1,710 | 1,725 |
Mack-Cali Realty LP | 7.750% | 8/15/19 | 1,425 | 1,609 |
Mack-Cali Realty LP | 4.500% | 4/18/22 | 3,250 | 3,312 |
Mack-Cali Realty LP | 3.150% | 5/15/23 | 2,850 | 2,627 |
Mid-America Apartments LP | 4.300% | 10/15/23 | 2,200 | 2,367 |
Mid-America Apartments LP | 3.750% | 6/15/24 | 3,800 | 3,958 |
National Retail Properties Inc. | 6.875% | 10/15/17 | 2,950 | 3,135 |
National Retail Properties Inc. | 3.800% | 10/15/22 | 1,600 | 1,689 |
National Retail Properties Inc. | 3.300% | 4/15/23 | 900 | 913 |
National Retail Properties Inc. | 3.900% | 6/15/24 | 2,750 | 2,913 |
National Retail Properties Inc. | 4.000% | 11/15/25 | 2,950 | 3,133 |
Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 18,900 | 18,851 |
Omega Healthcare Investors Inc. | 5.875% | 3/15/24 | 3,435 | 3,598 |
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 1,550 | 1,628 |
Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 850 | 861 |
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 3,250 | 3,437 |
Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 11,000 | 10,890 |
Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 5,975 | 5,933 |
Piedmont Operating Partnership LP | 4.450% | 3/15/24 | 1,650 | 1,708 |
Post Apartment Homes LP | 3.375% | 12/1/22 | 1,025 | 1,043 |
ProLogis LP | 2.750% | 2/15/19 | 8,025 | 8,242 |
ProLogis LP | 4.250% | 8/15/23 | 1,800 | 1,989 |
Prologis LP | 3.750% | 11/1/25 | 1,300 | 1,386 |
Realty Income Corp. | 2.000% | 1/31/18 | 700 | 706 |
Realty Income Corp. | 6.750% | 8/15/19 | 5,565 | 6,371 |
Realty Income Corp. | 5.750% | 1/15/21 | 3,000 | 3,453 |
Realty Income Corp. | 3.250% | 10/15/22 | 825 | 847 |
Realty Income Corp. | 4.650% | 8/1/23 | 1,825 | 2,009 |
Realty Income Corp. | 3.875% | 7/15/24 | 1,950 | 2,043 |
Realty Income Corp. | 4.125% | 10/15/26 | 1,420 | 1,521 |
Realty Income Corp. | 5.875% | 3/15/35 | 100 | 121 |
Regency Centers LP | 4.800% | 4/15/21 | 2,000 | 2,194 |
Regency Centers LP | 3.750% | 6/15/24 | 1,200 | 1,252 |
Retail Opportunity Investments Partnership LP | 5.000% | 12/15/23 | 750 | 789 |
Retail Properties of America Inc. | 4.000% | 3/15/25 | 8,000 | 7,751 |
Select Income REIT | 2.850% | 2/1/18 | 1,575 | 1,587 |
Select Income REIT | 4.150% | 2/1/22 | 2,250 | 2,262 |
Select Income REIT | 4.500% | 2/1/25 | 5,766 | 5,699 |
Senior Housing Properties Trust | 3.250% | 5/1/19 | 4,000 | 4,023 |
Senior Housing Properties Trust | 4.750% | 5/1/24 | 1,500 | 1,528 |
Simon Property Group LP | 2.150% | 9/15/17 | 6,180 | 6,245 |
Simon Property Group LP | 2.200% | 2/1/19 | 12,850 | 13,143 |
Simon Property Group LP | 5.650% | 2/1/20 | 5,400 | 6,113 |
Simon Property Group LP | 2.500% | 9/1/20 | 4,800 | 4,965 |
Simon Property Group LP | 4.375% | 3/1/21 | 1,395 | 1,552 |
Simon Property Group LP | 2.500% | 7/15/21 | 2,000 | 2,059 |
Simon Property Group LP | 4.125% | 12/1/21 | 11,850 | 13,132 |
62
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Simon Property Group LP | 3.375% | 3/15/22 | 1,675 | 1,801 |
Simon Property Group LP | 2.750% | 2/1/23 | 3,650 | 3,757 |
Simon Property Group LP | 3.750% | 2/1/24 | 5,000 | 5,466 |
Simon Property Group LP | 3.500% | 9/1/25 | 2,800 | 3,003 |
Simon Property Group LP | 3.300% | 1/15/26 | 4,795 | 5,108 |
Simon Property Group LP | 6.750% | 2/1/40 | 4,550 | 6,574 |
Simon Property Group LP | 4.750% | 3/15/42 | 1,300 | 1,499 |
Simon Property Group LP | 4.250% | 10/1/44 | 100 | 108 |
Sovran Acquisition LP | 3.500% | 7/1/26 | 10,500 | 10,601 |
Tanger Properties LP | 3.875% | 12/1/23 | 725 | 754 |
Tanger Properties LP | 3.750% | 12/1/24 | 1,000 | 1,030 |
UDR Inc. | 4.250% | 6/1/18 | 575 | 604 |
UDR Inc. | 3.700% | 10/1/20 | 1,000 | 1,061 |
UDR Inc. | 4.625% | 1/10/22 | 4,050 | 4,494 |
Ventas Realty LP | 1.250% | 4/17/17 | 2,200 | 2,201 |
Ventas Realty LP | 3.125% | 6/15/23 | 5,000 | 5,084 |
Ventas Realty LP | 3.750% | 5/1/24 | 2,325 | 2,430 |
Ventas Realty LP | 4.125% | 1/15/26 | 1,825 | 1,957 |
Ventas Realty LP | 4.375% | 2/1/45 | 3,100 | 3,053 |
Ventas Realty LP / Ventas Capital Corp. | 2.000% | 2/15/18 | 1,125 | 1,131 |
Ventas Realty LP / Ventas Capital Corp. | 4.000% | 4/30/19 | 4,025 | 4,248 |
Ventas Realty LP / Ventas Capital Corp. | 2.700% | 4/1/20 | 2,425 | 2,478 |
Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 975 | 1,085 |
Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 1,300 | 1,403 |
Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 5,375 | 5,555 |
Vornado Realty LP | 2.500% | 6/30/19 | 2,400 | 2,444 |
Vornado Realty LP | 5.000% | 1/15/22 | 5,500 | 6,035 |
Washington Prime Group LP | 3.850% | 4/1/20 | 1,775 | 1,833 |
Washington REIT | 4.950% | 10/1/20 | 800 | 865 |
Washington REIT | 3.950% | 10/15/22 | 1,050 | 1,071 |
Weingarten Realty Investors | 3.375% | 10/15/22 | 2,200 | 2,257 |
Weingarten Realty Investors | 3.500% | 4/15/23 | 2,125 | 2,138 |
Weingarten Realty Investors | 4.450% | 1/15/24 | 600 | 640 |
Weingarten Realty Investors | 3.850% | 6/1/25 | 900 | 922 |
Welltower Inc. | 4.700% | 9/15/17 | 1,650 | 1,711 |
Welltower Inc. | 2.250% | 3/15/18 | 8,900 | 9,000 |
Welltower Inc. | 4.125% | 4/1/19 | 2,995 | 3,172 |
Welltower Inc. | 4.950% | 1/15/21 | 5,340 | 5,891 |
Welltower Inc. | 5.250% | 1/15/22 | 2,225 | 2,489 |
Welltower Inc. | 3.750% | 3/15/23 | 4,250 | 4,407 |
Welltower Inc. | 4.000% | 6/1/25 | 11,875 | 12,526 |
Welltower Inc. | 4.250% | 4/1/26 | 5,000 | 5,377 |
Welltower Inc. | 6.500% | 3/15/41 | 200 | 249 |
Welltower Inc. | 5.125% | 3/15/43 | 1,725 | 1,866 |
WP Carey Inc. | 4.600% | 4/1/24 | 3,980 | 4,141 |
WP Carey Inc. | 4.000% | 2/1/25 | 1,000 | 976 |
8,680,734 | ||||
Industrial (17.1%) | ||||
Basic Industry (1.0%) | ||||
Agrium Inc. | 3.150% | 10/1/22 | 14,160 | 14,529 |
Agrium Inc. | 3.500% | 6/1/23 | 6,664 | 6,931 |
Agrium Inc. | 3.375% | 3/15/25 | 5,250 | 5,406 |
Agrium Inc. | 4.125% | 3/15/35 | 3,250 | 3,141 |
Agrium Inc. | 7.125% | 5/23/36 | 200 | 254 |
Agrium Inc. | 6.125% | 1/15/41 | 275 | 323 |
63
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Agrium Inc. | 4.900% | 6/1/43 | 6,310 | 6,552 |
Agrium Inc. | 5.250% | 1/15/45 | 5,650 | 6,118 |
Air Products & Chemicals Inc. | 1.200% | 10/15/17 | 775 | 779 |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 9,860 | 10,519 |
Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 3,875 | 4,189 |
Airgas Inc. | 1.650% | 2/15/18 | 4,000 | 4,016 |
Airgas Inc. | 3.050% | 8/1/20 | 700 | 724 |
Airgas Inc. | 2.900% | 11/15/22 | 5,000 | 5,072 |
Airgas Inc. | 3.650% | 7/15/24 | 3,750 | 3,940 |
Albemarle Corp. | 3.000% | 12/1/19 | 4,025 | 4,088 |
Albemarle Corp. | 4.500% | 12/15/20 | 250 | 266 |
Albemarle Corp. | 4.150% | 12/1/24 | 3,200 | 3,368 |
Albemarle Corp. | 5.450% | 12/1/44 | 2,850 | 2,951 |
Barrick Gold Corp. | 4.100% | 5/1/23 | 212 | 223 |
Barrick Gold Corp. | 5.250% | 4/1/42 | 6,150 | 6,238 |
Barrick North America Finance LLC | 4.400% | 5/30/21 | 19,235 | 20,880 |
Barrick North America Finance LLC | 7.500% | 9/15/38 | 500 | 565 |
Barrick North America Finance LLC | 5.700% | 5/30/41 | 6,025 | 6,155 |
Barrick North America Finance LLC | 5.750% | 5/1/43 | 8,050 | 8,861 |
Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 6,044 | 6,315 |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 8,767 | 8,887 |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 4,740 | 5,370 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 5,550 | 5,863 |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 12,175 | 12,646 |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 2,775 | 3,027 |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 3,150 | 3,234 |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 15,840 | 18,427 |
Braskem Finance Ltd. | 6.450% | 2/3/24 | 2,500 | 2,525 |
Cabot Corp. | 2.550% | 1/15/18 | 200 | 202 |
Cabot Corp. | 3.700% | 7/15/22 | 400 | 415 |
Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 625 | 711 |
Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 1,800 | 1,944 |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 2,000 | 2,158 |
CF Industries Inc. | 6.875% | 5/1/18 | 11,150 | 12,084 |
CF Industries Inc. | 7.125% | 5/1/20 | 5,510 | 6,357 |
CF Industries Inc. | 5.150% | 3/15/34 | 9,200 | 8,971 |
CF Industries Inc. | 4.950% | 6/1/43 | 2,925 | 2,701 |
CF Industries Inc. | 5.375% | 3/15/44 | 7,005 | 6,653 |
Cytec Industries Inc. | 3.500% | 4/1/23 | 225 | 224 |
Domtar Corp. | 6.250% | 9/1/42 | 475 | 492 |
Domtar Corp. | 6.750% | 2/15/44 | 3,325 | 3,641 |
Dow Chemical Co. | 8.550% | 5/15/19 | 11,189 | 13,317 |
Dow Chemical Co. | 4.250% | 11/15/20 | 7,965 | 8,712 |
Dow Chemical Co. | 4.125% | 11/15/21 | 6,740 | 7,402 |
Dow Chemical Co. | 3.000% | 11/15/22 | 3,000 | 3,066 |
Dow Chemical Co. | 3.500% | 10/1/24 | 1,700 | 1,811 |
Dow Chemical Co. | 7.375% | 11/1/29 | 2,000 | 2,680 |
Dow Chemical Co. | 4.250% | 10/1/34 | 4,600 | 4,748 |
Dow Chemical Co. | 9.400% | 5/15/39 | 5,665 | 8,953 |
Dow Chemical Co. | 5.250% | 11/15/41 | 3,515 | 3,906 |
Dow Chemical Co. | 4.375% | 11/15/42 | 10,250 | 10,470 |
Eastman Chemical Co. | 2.400% | 6/1/17 | 3,224 | 3,254 |
Eastman Chemical Co. | 5.500% | 11/15/19 | 4,321 | 4,794 |
Eastman Chemical Co. | 2.700% | 1/15/20 | 7,000 | 7,197 |
Eastman Chemical Co. | 4.500% | 1/15/21 | 6,310 | 6,886 |
64
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Eastman Chemical Co. | 3.600% | 8/15/22 | 5,055 | 5,309 |
Eastman Chemical Co. | 4.800% | 9/1/42 | 3,250 | 3,374 |
Eastman Chemical Co. | 4.650% | 10/15/44 | 5,400 | 5,529 |
Ecolab Inc. | 1.450% | 12/8/17 | 6,375 | 6,390 |
Ecolab Inc. | 1.550% | 1/12/18 | 3,000 | 3,015 |
Ecolab Inc. | 2.000% | 1/14/19 | 1,700 | 1,723 |
Ecolab Inc. | 2.250% | 1/12/20 | 2,100 | 2,140 |
Ecolab Inc. | 4.350% | 12/8/21 | 5,600 | 6,334 |
Ecolab Inc. | 3.250% | 1/14/23 | 1,700 | 1,780 |
Ecolab Inc. | 5.500% | 12/8/41 | 1,500 | 1,877 |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 14,890 | 16,277 |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 2,615 | 2,874 |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 3,568 | 3,844 |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 1,650 | 1,834 |
EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 3,480 | 3,568 |
EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 475 | 605 |
EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 7,900 | 8,782 |
EI du Pont de Nemours & Co. | 4.150% | 2/15/43 | 1,125 | 1,158 |
FMC Corp. | 3.950% | 2/1/22 | 3,275 | 3,433 |
FMC Corp. | 4.100% | 2/1/24 | 6,500 | 6,888 |
Georgia-Pacific LLC | 8.000% | 1/15/24 | 6,871 | 9,205 |
Georgia-Pacific LLC | 7.375% | 12/1/25 | 2,500 | 3,340 |
Georgia-Pacific LLC | 7.750% | 11/15/29 | 1,950 | 2,835 |
Georgia-Pacific LLC | 8.875% | 5/15/31 | 4,250 | 6,802 |
Goldcorp Inc. | 2.125% | 3/15/18 | 5,750 | 5,739 |
Goldcorp Inc. | 3.700% | 3/15/23 | 4,525 | 4,601 |
Goldcorp Inc. | 5.450% | 6/9/44 | 3,333 | 3,343 |
International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 525 | 539 |
International Paper Co. | 7.950% | 6/15/18 | 2,700 | 3,040 |
International Paper Co. | 7.500% | 8/15/21 | 7,265 | 8,925 |
International Paper Co. | 4.750% | 2/15/22 | 1,491 | 1,660 |
International Paper Co. | 3.800% | 1/15/26 | 775 | 813 |
International Paper Co. | 5.000% | 9/15/35 | 3,050 | 3,301 |
International Paper Co. | 7.300% | 11/15/39 | 3,570 | 4,698 |
International Paper Co. | 6.000% | 11/15/41 | 2,100 | 2,449 |
International Paper Co. | 4.800% | 6/15/44 | 9,200 | 9,381 |
International Paper Co. | 5.150% | 5/15/46 | 4,400 | 4,743 |
Lubrizol Corp. | 8.875% | 2/1/19 | 1,075 | 1,281 |
LYB International Finance BV | 4.000% | 7/15/23 | 3,000 | 3,223 |
LYB International Finance BV | 5.250% | 7/15/43 | 4,516 | 4,976 |
LYB International Finance BV | 4.875% | 3/15/44 | 2,750 | 2,922 |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 13,135 | 14,229 |
LyondellBasell Industries NV | 6.000% | 11/15/21 | 10,875 | 12,737 |
LyondellBasell Industries NV | 5.750% | 4/15/24 | 2,800 | 3,321 |
LyondellBasell Industries NV | 4.625% | 2/26/55 | 3,900 | 3,815 |
Meadwestvaco Corp. | 7.950% | 2/15/31 | 3,050 | 4,022 |
Methanex Corp. | 3.250% | 12/15/19 | 5,750 | 5,597 |
Monsanto Co. | 5.125% | 4/15/18 | 850 | 905 |
Monsanto Co. | 2.125% | 7/15/19 | 5,000 | 5,069 |
Monsanto Co. | 2.750% | 7/15/21 | 7,550 | 7,778 |
Monsanto Co. | 2.200% | 7/15/22 | 650 | 643 |
Monsanto Co. | 2.850% | 4/15/25 | 3,600 | 3,590 |
Monsanto Co. | 5.500% | 8/15/25 | 3,725 | 4,332 |
Monsanto Co. | 4.200% | 7/15/34 | 5,825 | 5,840 |
Monsanto Co. | 5.875% | 4/15/38 | 950 | 1,087 |
65
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Monsanto Co. | 3.600% | 7/15/42 | 3,250 | 2,873 |
Monsanto Co. | 4.650% | 11/15/43 | 1,500 | 1,505 |
Monsanto Co. | 3.950% | 4/15/45 | 8,330 | 7,723 |
Monsanto Co. | 4.700% | 7/15/64 | 6,200 | 5,605 |
Mosaic Co. | 4.250% | 11/15/23 | 5,850 | 6,303 |
Mosaic Co. | 5.450% | 11/15/33 | 1,600 | 1,772 |
Mosaic Co. | 4.875% | 11/15/41 | 4,445 | 4,488 |
Mosaic Co. | 5.625% | 11/15/43 | 1,600 | 1,777 |
Newmont Mining Corp. | 5.125% | 10/1/19 | 1,525 | 1,653 |
Newmont Mining Corp. | 3.500% | 3/15/22 | 2,400 | 2,496 |
Newmont Mining Corp. | 5.875% | 4/1/35 | 585 | 617 |
Newmont Mining Corp. | 6.250% | 10/1/39 | 5,626 | 6,252 |
Newmont Mining Corp. | 4.875% | 3/15/42 | 7,025 | 6,936 |
Nucor Corp. | 5.750% | 12/1/17 | 5,090 | 5,365 |
Nucor Corp. | 5.850% | 6/1/18 | 1,725 | 1,858 |
Nucor Corp. | 4.125% | 9/15/22 | 300 | 324 |
Nucor Corp. | 4.000% | 8/1/23 | 1,650 | 1,759 |
Nucor Corp. | 6.400% | 12/1/37 | 1,875 | 2,279 |
Nucor Corp. | 5.200% | 8/1/43 | 10,275 | 11,209 |
Packaging Corp. of America | 3.900% | 6/15/22 | 3,775 | 4,002 |
Packaging Corp. of America | 4.500% | 11/1/23 | 10,025 | 10,920 |
Packaging Corp. of America | 3.650% | 9/15/24 | 4,050 | 4,188 |
Placer Dome Inc. | 6.450% | 10/15/35 | 1,050 | 1,140 |
Plum Creek Timberlands LP | 4.700% | 3/15/21 | 445 | 487 |
Plum Creek Timberlands LP | 3.250% | 3/15/23 | 500 | 502 |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 8,500 | 8,727 |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 1,077 | 1,218 |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 7,765 | 8,540 |
Potash Corp. of Saskatchewan Inc. | 3.000% | 4/1/25 | 4,000 | 4,026 |
Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 4,375 | 5,180 |
PPG Industries Inc. | 2.300% | 11/15/19 | 3,450 | 3,506 |
PPG Industries Inc. | 5.500% | 11/15/40 | 2,950 | 3,492 |
Praxair Inc. | 4.500% | 8/15/19 | 800 | 880 |
Praxair Inc. | 4.050% | 3/15/21 | 50 | 56 |
Praxair Inc. | 3.000% | 9/1/21 | 2,725 | 2,906 |
Praxair Inc. | 2.450% | 2/15/22 | 9,800 | 10,169 |
Praxair Inc. | 2.200% | 8/15/22 | 4,025 | 4,115 |
Praxair Inc. | 2.650% | 2/5/25 | 3,400 | 3,526 |
Praxair Inc. | 3.200% | 1/30/26 | 3,000 | 3,251 |
Praxair Inc. | 3.550% | 11/7/42 | 2,500 | 2,496 |
Rayonier Inc. | 3.750% | 4/1/22 | 2,000 | 2,010 |
Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 1,700 | 1,741 |
Rio Tinto Alcan Inc. | 6.125% | 12/15/33 | 3,144 | 3,596 |
Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 3,850 | 4,211 |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 4,785 | 5,757 |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 5,650 | 6,146 |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 5,961 | 6,385 |
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 28,590 | 29,951 |
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 2,225 | 2,776 |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 4,335 | 4,802 |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 1,675 | 1,758 |
Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 3,775 | 3,841 |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 475 | 500 |
Rohm & Haas Co. | 6.000% | 9/15/17 | 1,432 | 1,513 |
Rohm & Haas Co. | 7.850% | 7/15/29 | 4,775 | 6,565 |
66
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
RPM International Inc. | 6.125% | 10/15/19 | 590 | 657 |
RPM International Inc. | 3.450% | 11/15/22 | 3,275 | 3,336 |
RPM International Inc. | 5.250% | 6/1/45 | 200 | 205 |
Sherwin-Williams Co. | 1.350% | 12/15/17 | 2,825 | 2,833 |
Sherwin-Williams Co. | 3.450% | 8/1/25 | 5,150 | 5,347 |
Sherwin-Williams Co. | 4.000% | 12/15/42 | 1,000 | 999 |
Sherwin-Williams Co. | 4.550% | 8/1/45 | 1,590 | 1,717 |
Southern Copper Corp. | 5.375% | 4/16/20 | 200 | 216 |
Southern Copper Corp. | 3.500% | 11/8/22 | 1,300 | 1,272 |
Southern Copper Corp. | 3.875% | 4/23/25 | 2,600 | 2,554 |
Southern Copper Corp. | 7.500% | 7/27/35 | 3,475 | 3,766 |
Southern Copper Corp. | 6.750% | 4/16/40 | 1,500 | 1,530 |
Southern Copper Corp. | 5.250% | 11/8/42 | 16,725 | 14,488 |
Southern Copper Corp. | 5.875% | 4/23/45 | 16,860 | 15,848 |
Syngenta Finance NV | 3.125% | 3/28/22 | 2,250 | 2,366 |
Syngenta Finance NV | 4.375% | 3/28/42 | 1,250 | 1,210 |
The Dow Chemical Company | 4.625% | 10/1/44 | 1,500 | 1,592 |
Vale Canada Ltd. | 7.200% | 9/15/32 | 3,291 | 2,781 |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 6,925 | 7,133 |
Vale Overseas Ltd. | 5.875% | 6/10/21 | 12,500 | 12,469 |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 20,355 | 19,032 |
Vale Overseas Ltd. | 8.250% | 1/17/34 | 800 | 832 |
Vale Overseas Ltd. | 6.875% | 11/21/36 | 8,910 | 8,108 |
Vale Overseas Ltd. | 6.875% | 11/10/39 | 7,015 | 6,331 |
Vale SA | 5.625% | 9/11/42 | 18,115 | 14,628 |
Valspar Corp. | 7.250% | 6/15/19 | 1,675 | 1,910 |
Valspar Corp. | 3.950% | 1/15/26 | 5,000 | 5,270 |
Westlake Chemical Corp. | 3.600% | 7/15/22 | 400 | 409 |
Westrock MWV LLC | 8.200% | 1/15/30 | 2,370 | 3,212 |
WestRock RKT Co. | 4.450% | 3/1/19 | 1,750 | 1,854 |
WestRock RKT Co. | 3.500% | 3/1/20 | 2,000 | 2,073 |
WestRock RKT Co. | 4.900% | 3/1/22 | 2,000 | 2,216 |
WestRock RKT Co. | 4.000% | 3/1/23 | 3,500 | 3,629 |
Weyerhaeuser Co. | 7.375% | 10/1/19 | 5,039 | 5,801 |
Weyerhaeuser Co. | 4.625% | 9/15/23 | 8,125 | 9,054 |
Weyerhaeuser Co. | 8.500% | 1/15/25 | 800 | 1,058 |
Weyerhaeuser Co. | 7.375% | 3/15/32 | 3,625 | 4,797 |
Weyerhaeuser Co. | 6.875% | 12/15/33 | 1,000 | 1,243 |
Worthington Industries Inc. | 4.550% | 4/15/26 | 700 | 726 |
Yamana Gold Inc. | 4.950% | 7/15/24 | 1,870 | 1,840 |
Capital Goods (1.5%) | ||||
3M Co. | 1.375% | 8/7/18 | 2,800 | 2,830 |
3M Co. | 2.000% | 8/7/20 | 2,800 | 2,877 |
3M Co. | 2.000% | 6/26/22 | 3,500 | 3,583 |
3M Co. | 3.000% | 8/7/25 | 3,450 | 3,761 |
3M Co. | 6.375% | 2/15/28 | 1,300 | 1,802 |
3M Co. | 5.700% | 3/15/37 | 3,795 | 5,116 |
ABB Finance USA Inc. | 2.875% | 5/8/22 | 4,860 | 5,097 |
ABB Finance USA Inc. | 4.375% | 5/8/42 | 1,250 | 1,418 |
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 800 | 897 |
Boeing Capital Corp. | 2.900% | 8/15/18 | 1,000 | 1,039 |
Boeing Capital Corp. | 4.700% | 10/27/19 | 5,875 | 6,549 |
Boeing Co. | 0.950% | 5/15/18 | 2,500 | 2,502 |
Boeing Co. | 6.000% | 3/15/19 | 5,150 | 5,818 |
67
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Boeing Co. | 4.875% | 2/15/20 | 4,865 | 5,470 |
Boeing Co. | 1.650% | 10/30/20 | 4,190 | 4,239 |
Boeing Co. | 8.750% | 8/15/21 | 290 | 385 |
Boeing Co. | 2.350% | 10/30/21 | 1,000 | 1,041 |
Boeing Co. | 2.200% | 10/30/22 | 4,500 | 4,593 |
Boeing Co. | 1.875% | 6/15/23 | 5,000 | 4,990 |
Boeing Co. | 2.500% | 3/1/25 | 2,000 | 2,067 |
Boeing Co. | 7.250% | 6/15/25 | 325 | 453 |
Boeing Co. | 2.600% | 10/30/25 | 5,000 | 5,187 |
Boeing Co. | 2.250% | 6/15/26 | 4,750 | 4,765 |
Boeing Co. | 6.125% | 2/15/33 | 6,075 | 8,108 |
Boeing Co. | 3.300% | 3/1/35 | 2,500 | 2,542 |
Boeing Co. | 6.625% | 2/15/38 | 525 | 761 |
Boeing Co. | 6.875% | 3/15/39 | 1,615 | 2,431 |
Boeing Co. | 5.875% | 2/15/40 | 780 | 1,087 |
Boeing Co. | 3.500% | 3/1/45 | 1,500 | 1,533 |
Boeing Co. | 3.375% | 6/15/46 | 4,500 | 4,530 |
Carlisle Cos. Inc. | 3.750% | 11/15/22 | 1,650 | 1,703 |
Caterpillar Financial Services Corp. | 1.250% | 8/18/17 | 2,400 | 2,407 |
Caterpillar Financial Services Corp. | 1.250% | 11/6/17 | 850 | 854 |
Caterpillar Financial Services Corp. | 1.500% | 2/23/18 | 27,200 | 27,451 |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 4,642 | 5,002 |
Caterpillar Financial Services Corp. | 7.050% | 10/1/18 | 3,575 | 4,025 |
Caterpillar Financial Services Corp. | 1.800% | 11/13/18 | 4,700 | 4,768 |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 9,990 | 11,458 |
Caterpillar Financial Services Corp. | 1.350% | 5/18/19 | 3,500 | 3,517 |
Caterpillar Financial Services Corp. | 2.100% | 6/9/19 | 1,367 | 1,402 |
Caterpillar Financial Services Corp. | 2.250% | 12/1/19 | 5,550 | 5,700 |
Caterpillar Financial Services Corp. | 2.000% | 3/5/20 | 2,500 | 2,563 |
Caterpillar Financial Services Corp. | 2.500% | 11/13/20 | 2,500 | 2,595 |
Caterpillar Financial Services Corp. | 2.750% | 8/20/21 | 1,300 | 1,366 |
Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 4,604 | 4,835 |
Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 4,175 | 4,465 |
Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 3,900 | 4,162 |
Caterpillar Inc. | 3.900% | 5/27/21 | 10,447 | 11,535 |
Caterpillar Inc. | 2.600% | 6/26/22 | 1,000 | 1,032 |
Caterpillar Inc. | 3.400% | 5/15/24 | 6,000 | 6,452 |
Caterpillar Inc. | 6.050% | 8/15/36 | 7,051 | 9,269 |
Caterpillar Inc. | 5.200% | 5/27/41 | 4,772 | 5,790 |
Caterpillar Inc. | 3.803% | 8/15/42 | 8,954 | 9,124 |
Caterpillar Inc. | 4.300% | 5/15/44 | 2,350 | 2,580 |
Caterpillar Inc. | 4.750% | 5/15/64 | 900 | 997 |
Crane Co. | 2.750% | 12/15/18 | 2,000 | 2,046 |
Crane Co. | 4.450% | 12/15/23 | 5,690 | 6,086 |
CRH America Inc. | 8.125% | 7/15/18 | 11,075 | 12,427 |
CRH America Inc. | 5.750% | 1/15/21 | 3,415 | 3,878 |
Deere & Co. | 2.600% | 6/8/22 | 3,565 | 3,677 |
Deere & Co. | 5.375% | 10/16/29 | 3,595 | 4,581 |
Deere & Co. | 8.100% | 5/15/30 | 1,861 | 2,809 |
Deere & Co. | 3.900% | 6/9/42 | 1,325 | 1,417 |
Dover Corp. | 5.450% | 3/15/18 | 2,000 | 2,138 |
Dover Corp. | 4.300% | 3/1/21 | 1,830 | 2,024 |
Dover Corp. | 3.150% | 11/15/25 | 9,000 | 9,544 |
Dover Corp. | 6.600% | 3/15/38 | 975 | 1,374 |
Dover Corp. | 5.375% | 3/1/41 | 795 | 1,018 |
68
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Eaton Corp. | 1.500% | 11/2/17 | 1,000 | 1,005 |
Eaton Corp. | 5.600% | 5/15/18 | 6,955 | 7,478 |
Eaton Corp. | 2.750% | 11/2/22 | 9,675 | 9,894 |
Eaton Corp. | 4.000% | 11/2/32 | 6,850 | 7,297 |
Eaton Corp. | 4.150% | 11/2/42 | 1,250 | 1,337 |
Eaton Electric Holdings LLC | 3.875% | 12/15/20 | 1,075 | 1,154 |
Embraer Netherlands Finance BV | 5.050% | 6/15/25 | 4,700 | 4,638 |
7 Embraer Overseas Ltd. | 5.696% | 9/16/23 | 3,340 | 3,455 |
Emerson Electric Co. | 5.250% | 10/15/18 | 2,200 | 2,409 |
Emerson Electric Co. | 4.875% | 10/15/19 | 1,775 | 1,982 |
Emerson Electric Co. | 4.250% | 11/15/20 | 4,807 | 5,364 |
Emerson Electric Co. | 2.625% | 12/1/21 | 7,000 | 7,384 |
Emerson Electric Co. | 2.625% | 2/15/23 | 2,500 | 2,594 |
Emerson Electric Co. | 3.150% | 6/1/25 | 1,700 | 1,809 |
Emerson Electric Co. | 6.000% | 8/15/32 | 750 | 974 |
Emerson Electric Co. | 6.125% | 4/15/39 | 1,000 | 1,379 |
Emerson Electric Co. | 5.250% | 11/15/39 | 440 | 554 |
Exelis Inc. | 4.250% | 10/1/16 | 1,900 | 1,913 |
FLIR Systems Inc. | 3.125% | 6/15/21 | 1,500 | 1,541 |
Flowserve Corp. | 3.500% | 9/15/22 | 13,705 | 14,126 |
Flowserve Corp. | 4.000% | 11/15/23 | 4,575 | 4,712 |
7 Fortive Corp. | 1.800% | 6/15/19 | 1,000 | 1,006 |
7 Fortive Corp. | 2.350% | 6/15/21 | 2,000 | 2,028 |
7 Fortive Corp. | 3.150% | 6/15/26 | 3,000 | 3,087 |
7 Fortive Corp. | 4.300% | 6/15/46 | 3,625 | 3,858 |
Fortune Brands Home & Security Inc. | 3.000% | 6/15/20 | 3,000 | 3,092 |
Fortune Brands Home & Security Inc. | 4.000% | 6/15/25 | 200 | 213 |
General Dynamics Corp. | 1.000% | 11/15/17 | 6,225 | 6,248 |
General Dynamics Corp. | 3.875% | 7/15/21 | 4,350 | 4,788 |
General Dynamics Corp. | 2.250% | 11/15/22 | 3,822 | 3,910 |
General Dynamics Corp. | 3.600% | 11/15/42 | 1,150 | 1,217 |
General Electric Capital Corp. | 5.625% | 5/1/18 | 1,395 | 1,515 |
General Electric Capital Corp. | 6.000% | 8/7/19 | 9,670 | 11,077 |
General Electric Capital Corp. | 2.100% | 12/11/19 | 900 | 927 |
General Electric Capital Corp. | 5.500% | 1/8/20 | 10,432 | 11,872 |
General Electric Capital Corp. | 2.200% | 1/9/20 | 9,759 | 10,061 |
General Electric Capital Corp. | 5.550% | 5/4/20 | 3,282 | 3,792 |
General Electric Capital Corp. | 4.375% | 9/16/20 | 12,222 | 13,647 |
General Electric Capital Corp. | 4.625% | 1/7/21 | 6,728 | 7,632 |
General Electric Capital Corp. | 5.300% | 2/11/21 | 6,282 | 7,261 |
General Electric Capital Corp. | 4.650% | 10/17/21 | 11,392 | 13,041 |
General Electric Capital Corp. | 3.150% | 9/7/22 | 2,995 | 3,214 |
General Electric Capital Corp. | 3.100% | 1/9/23 | 8,431 | 9,002 |
General Electric Capital Corp. | 3.450% | 5/15/24 | 2,732 | 2,989 |
General Electric Capital Corp. | 6.750% | 3/15/32 | 15,584 | 21,768 |
General Electric Capital Corp. | 6.150% | 8/7/37 | 5,246 | 7,256 |
General Electric Capital Corp. | 5.875% | 1/14/38 | 25,870 | 35,092 |
General Electric Capital Corp. | 6.875% | 1/10/39 | 7,820 | 11,807 |
General Electric Co. | 5.250% | 12/6/17 | 32,295 | 34,252 |
General Electric Co. | 2.700% | 10/9/22 | 20,665 | 21,521 |
General Electric Co. | 3.375% | 3/11/24 | 9,000 | 9,820 |
General Electric Co. | 4.125% | 10/9/42 | 24,600 | 27,079 |
General Electric Co. | 4.500% | 3/11/44 | 12,220 | 14,177 |
Harris Corp. | 1.999% | 4/27/18 | 4,700 | 4,722 |
Harris Corp. | 2.700% | 4/27/20 | 2,000 | 2,023 |
69
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Harris Corp. | 4.400% | 12/15/20 | 5,198 | 5,619 |
Harris Corp. | 3.832% | 4/27/25 | 7,659 | 8,140 |
Harris Corp. | 4.854% | 4/27/35 | 5,000 | 5,448 |
Harris Corp. | 6.150% | 12/15/40 | 1,125 | 1,408 |
Harris Corp. | 5.054% | 4/27/45 | 3,075 | 3,487 |
Hexcel Corp. | 4.700% | 8/15/25 | 1,400 | 1,492 |
Honeywell International Inc. | 5.300% | 3/1/18 | 5,650 | 6,049 |
Honeywell International Inc. | 5.000% | 2/15/19 | 520 | 573 |
Honeywell International Inc. | 4.250% | 3/1/21 | 10,205 | 11,465 |
Honeywell International Inc. | 3.350% | 12/1/23 | 10,050 | 11,026 |
Honeywell International Inc. | 5.700% | 3/15/36 | 1,600 | 2,111 |
Honeywell International Inc. | 5.700% | 3/15/37 | 1,895 | 2,514 |
Honeywell International Inc. | 5.375% | 3/1/41 | 11,545 | 15,094 |
Hubbell Inc. | 3.350% | 3/1/26 | 2,800 | 2,923 |
Illinois Tool Works Inc. | 1.950% | 3/1/19 | 500 | 511 |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 7,425 | 8,398 |
Illinois Tool Works Inc. | 3.375% | 9/15/21 | 895 | 965 |
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 7,687 | 8,458 |
Illinois Tool Works Inc. | 4.875% | 9/15/41 | 895 | 1,081 |
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 9,875 | 10,674 |
Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 6,350 | 7,058 |
Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 2,045 | 2,118 |
Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 9,675 | 10,751 |
Ingersoll-Rand Global Holding Co. Ltd. | 5.750% | 6/15/43 | 1,150 | 1,415 |
Ingersoll-Rand Luxembourg Finance SA | 2.625% | 5/1/20 | 2,000 | 2,034 |
Ingersoll-Rand Luxembourg Finance SA | 3.550% | 11/1/24 | 700 | 737 |
Ingersoll-Rand Luxembourg Finance SA | 4.650% | 11/1/44 | 4,500 | 4,842 |
John Deere Capital Corp. | 2.800% | 9/18/17 | 4,225 | 4,325 |
John Deere Capital Corp. | 1.200% | 10/10/17 | 4,300 | 4,320 |
John Deere Capital Corp. | 1.350% | 1/16/18 | 2,450 | 2,467 |
John Deere Capital Corp. | 5.350% | 4/3/18 | 725 | 779 |
John Deere Capital Corp. | 1.750% | 8/10/18 | 3,100 | 3,142 |
John Deere Capital Corp. | 5.750% | 9/10/18 | 12,160 | 13,407 |
John Deere Capital Corp. | 1.950% | 12/13/18 | 4,783 | 4,885 |
John Deere Capital Corp. | 1.950% | 1/8/19 | 6,000 | 6,122 |
John Deere Capital Corp. | 1.950% | 3/4/19 | 3,400 | 3,469 |
John Deere Capital Corp. | 2.250% | 4/17/19 | 1,275 | 1,312 |
John Deere Capital Corp. | 1.700% | 1/15/20 | 5,400 | 5,438 |
John Deere Capital Corp. | 2.050% | 3/10/20 | 5,400 | 5,505 |
John Deere Capital Corp. | 2.450% | 9/11/20 | 2,175 | 2,245 |
John Deere Capital Corp. | 2.550% | 1/8/21 | 8,500 | 8,829 |
John Deere Capital Corp. | 2.800% | 3/4/21 | 5,000 | 5,246 |
John Deere Capital Corp. | 3.900% | 7/12/21 | 5,993 | 6,607 |
John Deere Capital Corp. | 3.150% | 10/15/21 | 3,981 | 4,259 |
John Deere Capital Corp. | 2.750% | 3/15/22 | 2,250 | 2,329 |
John Deere Capital Corp. | 2.800% | 1/27/23 | 7,815 | 8,127 |
John Deere Capital Corp. | 2.800% | 3/6/23 | 2,075 | 2,172 |
John Deere Capital Corp. | 3.350% | 6/12/24 | 9,781 | 10,548 |
John Deere Capital Corp. | 3.400% | 9/11/25 | 1,750 | 1,888 |
John Deere Capital Corp. | 2.650% | 6/10/26 | 2,000 | 2,038 |
Kennametal Inc. | 2.650% | 11/1/19 | 4,478 | 4,470 |
Kennametal Inc. | 3.875% | 2/15/22 | 1,550 | 1,574 |
L-3 Communications Corp. | 5.200% | 10/15/19 | 5,855 | 6,383 |
L-3 Communications Corp. | 4.750% | 7/15/20 | 7,350 | 7,923 |
L-3 Communications Corp. | 4.950% | 2/15/21 | 7,100 | 7,761 |
70
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
L-3 Communications Corp. | 3.950% | 5/28/24 | 1,030 | 1,080 |
Lafarge SA | 7.125% | 7/15/36 | 2,900 | 3,532 |
Leggett & Platt Inc. | 3.800% | 11/15/24 | 3,725 | 3,937 |
Legrand France SA | 8.500% | 2/15/25 | 2,150 | 2,930 |
Lockheed Martin Corp. | 1.850% | 11/23/18 | 4,450 | 4,510 |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 7,418 | 8,126 |
Lockheed Martin Corp. | 2.500% | 11/23/20 | 6,000 | 6,188 |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 10,175 | 10,889 |
Lockheed Martin Corp. | 3.100% | 1/15/23 | 7,230 | 7,621 |
Lockheed Martin Corp. | 2.900% | 3/1/25 | 425 | 441 |
Lockheed Martin Corp. | 3.550% | 1/15/26 | 9,950 | 10,853 |
Lockheed Martin Corp. | 3.600% | 3/1/35 | 6,040 | 6,131 |
Lockheed Martin Corp. | 4.500% | 5/15/36 | 2,600 | 2,942 |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 7,985 | 10,612 |
Lockheed Martin Corp. | 5.500% | 11/15/39 | 5,445 | 6,754 |
Lockheed Martin Corp. | 5.720% | 6/1/40 | 3,226 | 4,194 |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 3,000 | 3,492 |
Lockheed Martin Corp. | 3.800% | 3/1/45 | 1,575 | 1,603 |
Lockheed Martin Corp. | 4.700% | 5/15/46 | 13,500 | 15,849 |
Martin Marietta Materials Inc. | 6.600% | 4/15/18 | 1,600 | 1,708 |
Martin Marietta Materials Inc. | 4.250% | 7/2/24 | 1,410 | 1,507 |
Mohawk Industries Inc. | 3.850% | 2/1/23 | 6,175 | 6,510 |
Northrop Grumman Corp. | 1.750% | 6/1/18 | 3,525 | 3,558 |
Northrop Grumman Corp. | 3.500% | 3/15/21 | 4,650 | 5,001 |
Northrop Grumman Corp. | 3.250% | 8/1/23 | 10,675 | 11,445 |
Northrop Grumman Corp. | 5.050% | 11/15/40 | 1,775 | 2,131 |
Northrop Grumman Corp. | 4.750% | 6/1/43 | 2,940 | 3,495 |
Northrop Grumman Corp. | 3.850% | 4/15/45 | 1,900 | 1,977 |
Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 2,670 | 4,008 |
Owens Corning | 9.000% | 6/15/19 | 228 | 263 |
Owens Corning | 4.200% | 12/15/22 | 4,725 | 5,034 |
Owens Corning | 7.000% | 12/1/36 | 3,450 | 4,204 |
Parker-Hannifin Corp. | 5.500% | 5/15/18 | 1,050 | 1,139 |
Parker-Hannifin Corp. | 3.500% | 9/15/22 | 2,125 | 2,326 |
Parker-Hannifin Corp. | 6.250% | 5/15/38 | 550 | 767 |
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 6,400 | 6,888 |
Parker-Hannifin Corp. | 4.200% | 11/21/34 | 2,800 | 3,141 |
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 4,800 | 5,675 |
Pentair Finance SA | 2.650% | 12/1/19 | 1,750 | 1,752 |
Pentair Finance SA | 3.625% | 9/15/20 | 1,000 | 1,016 |
Pentair Finance SA | 5.000% | 5/15/21 | 4,005 | 4,328 |
Pentair Finance SA | 3.150% | 9/15/22 | 1,064 | 1,057 |
Pentair Finance SA | 4.650% | 9/15/25 | 500 | 523 |
Precision Castparts Corp. | 1.250% | 1/15/18 | 5,025 | 5,048 |
Precision Castparts Corp. | 2.250% | 6/15/20 | 2,975 | 3,061 |
Precision Castparts Corp. | 2.500% | 1/15/23 | 9,770 | 10,101 |
Precision Castparts Corp. | 3.250% | 6/15/25 | 5,450 | 5,841 |
Precision Castparts Corp. | 4.200% | 6/15/35 | 1,250 | 1,420 |
Precision Castparts Corp. | 3.900% | 1/15/43 | 1,875 | 2,037 |
Precision Castparts Corp. | 4.375% | 6/15/45 | 1,350 | 1,602 |
Raytheon Co. | 6.400% | 12/15/18 | 150 | 169 |
Raytheon Co. | 4.400% | 2/15/20 | 500 | 552 |
Raytheon Co. | 3.125% | 10/15/20 | 8,775 | 9,392 |
Raytheon Co. | 2.500% | 12/15/22 | 11,975 | 12,466 |
Raytheon Co. | 7.200% | 8/15/27 | 2,010 | 2,865 |
71
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Raytheon Co. | 4.875% | 10/15/40 | 100 | 122 |
Raytheon Co. | 4.700% | 12/15/41 | 6,200 | 7,443 |
Raytheon Co. | 4.200% | 12/15/44 | 2,900 | 3,296 |
Republic Services Inc. | 3.800% | 5/15/18 | 6,970 | 7,292 |
Republic Services Inc. | 5.500% | 9/15/19 | 6,220 | 6,934 |
Republic Services Inc. | 5.000% | 3/1/20 | 5,700 | 6,324 |
Republic Services Inc. | 5.250% | 11/15/21 | 2,650 | 3,065 |
Republic Services Inc. | 3.550% | 6/1/22 | 2,475 | 2,676 |
Republic Services Inc. | 4.750% | 5/15/23 | 525 | 601 |
Republic Services Inc. | 3.200% | 3/15/25 | 1,500 | 1,569 |
Republic Services Inc. | 2.900% | 7/1/26 | 6,000 | 6,086 |
Republic Services Inc. | 6.086% | 3/15/35 | 825 | 1,041 |
Republic Services Inc. | 6.200% | 3/1/40 | 2,365 | 3,205 |
Republic Services Inc. | 5.700% | 5/15/41 | 3,775 | 4,816 |
Rockwell Automation Inc. | 5.650% | 12/1/17 | 600 | 636 |
Rockwell Automation Inc. | 2.050% | 3/1/20 | 3,800 | 3,870 |
Rockwell Automation Inc. | 6.700% | 1/15/28 | 325 | 452 |
Rockwell Automation Inc. | 6.250% | 12/1/37 | 1,500 | 2,040 |
Rockwell Collins Inc. | 5.250% | 7/15/19 | 275 | 307 |
Rockwell Collins Inc. | 3.100% | 11/15/21 | 1,000 | 1,047 |
Rockwell Collins Inc. | 3.700% | 12/15/23 | 1,500 | 1,649 |
Rockwell Collins Inc. | 4.800% | 12/15/43 | 1,250 | 1,505 |
Roper Technologies Inc. | 1.850% | 11/15/17 | 1,175 | 1,182 |
Roper Technologies Inc. | 2.050% | 10/1/18 | 7,850 | 7,946 |
Roper Technologies Inc. | 6.250% | 9/1/19 | 5,500 | 6,219 |
Roper Technologies Inc. | 3.125% | 11/15/22 | 400 | 410 |
Roper Technologies Inc. | 3.850% | 12/15/25 | 1,925 | 2,064 |
Snap-on Inc. | 6.125% | 9/1/21 | 2,000 | 2,429 |
Sonoco Products Co. | 4.375% | 11/1/21 | 435 | 468 |
Sonoco Products Co. | 5.750% | 11/1/40 | 3,910 | 4,674 |
Spirit AeroSystems Inc. | 3.850% | 6/15/26 | 2,180 | 2,259 |
Stanley Black & Decker Inc. | 2.451% | 11/17/18 | 3,500 | 3,577 |
Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 2,425 | 2,595 |
Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 3,000 | 3,163 |
Textron Inc. | 5.600% | 12/1/17 | 3,416 | 3,593 |
Textron Inc. | 7.250% | 10/1/19 | 1,518 | 1,740 |
Textron Inc. | 4.300% | 3/1/24 | 2,675 | 2,899 |
Textron Inc. | 3.875% | 3/1/25 | 2,500 | 2,639 |
Textron Inc. | 4.000% | 3/15/26 | 5,200 | 5,494 |
Timken CO | 3.875% | 9/1/24 | 1,000 | 1,014 |
Tyco International Finance SA | 3.900% | 2/14/26 | 1,650 | 1,772 |
United Technologies Corp. | 5.375% | 12/15/17 | 9,675 | 10,295 |
United Technologies Corp. | 6.125% | 2/1/19 | 8,190 | 9,200 |
United Technologies Corp. | 4.500% | 4/15/20 | 6,680 | 7,443 |
United Technologies Corp. | 3.100% | 6/1/22 | 12,568 | 13,397 |
United Technologies Corp. | 6.700% | 8/1/28 | 325 | 438 |
United Technologies Corp. | 7.500% | 9/15/29 | 3,825 | 5,638 |
United Technologies Corp. | 5.400% | 5/1/35 | 600 | 740 |
United Technologies Corp. | 6.050% | 6/1/36 | 1,615 | 2,152 |
United Technologies Corp. | 6.125% | 7/15/38 | 10,950 | 15,009 |
United Technologies Corp. | 5.700% | 4/15/40 | 9,325 | 12,241 |
United Technologies Corp. | 4.500% | 6/1/42 | 20,340 | 23,336 |
United Technologies Corp. | 4.150% | 5/15/45 | 2,800 | 3,076 |
Valmont Industries Inc. | 5.000% | 10/1/44 | 1,100 | 1,021 |
Valmont Industries Inc. | 5.250% | 10/1/54 | 2,350 | 2,118 |
72
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Vulcan Materials Co. | 7.500% | 6/15/21 | 3,680 | 4,424 |
Vulcan Materials Co. | 4.500% | 4/1/25 | 2,750 | 2,937 |
Waste Management Inc. | 2.600% | 9/1/16 | 145 | 145 |
Waste Management Inc. | 6.100% | 3/15/18 | 1,150 | 1,248 |
Waste Management Inc. | 4.750% | 6/30/20 | 4,700 | 5,269 |
Waste Management Inc. | 4.600% | 3/1/21 | 6,425 | 7,130 |
Waste Management Inc. | 2.400% | 5/15/23 | 4,825 | 4,885 |
Waste Management Inc. | 3.500% | 5/15/24 | 5,785 | 6,249 |
Waste Management Inc. | 3.125% | 3/1/25 | 3,250 | 3,416 |
Waste Management Inc. | 3.900% | 3/1/35 | 1,410 | 1,487 |
Waste Management Inc. | 4.100% | 3/1/45 | 5,450 | 5,946 |
WW Grainger Inc. | 4.600% | 6/15/45 | 12,725 | 15,122 |
WW Grainger Inc. | 3.750% | 5/15/46 | 2,300 | 2,374 |
Communication (2.6%) | ||||
21st Century Fox America Inc. | 6.900% | 3/1/19 | 3,840 | 4,358 |
21st Century Fox America Inc. | 4.500% | 2/15/21 | 5,125 | 5,717 |
21st Century Fox America Inc. | 3.000% | 9/15/22 | 13,450 | 14,036 |
21st Century Fox America Inc. | 4.000% | 10/1/23 | 1,075 | 1,182 |
21st Century Fox America Inc. | 3.700% | 10/15/25 | 3,000 | 3,246 |
21st Century Fox America Inc. | 6.550% | 3/15/33 | 5,765 | 7,256 |
21st Century Fox America Inc. | 6.200% | 12/15/34 | 6,250 | 7,776 |
21st Century Fox America Inc. | 6.400% | 12/15/35 | 12,800 | 16,272 |
21st Century Fox America Inc. | 8.150% | 10/17/36 | 275 | 388 |
21st Century Fox America Inc. | 6.150% | 3/1/37 | 3,000 | 3,730 |
21st Century Fox America Inc. | 6.650% | 11/15/37 | 6,250 | 8,202 |
21st Century Fox America Inc. | 6.900% | 8/15/39 | 2,275 | 3,045 |
21st Century Fox America Inc. | 6.150% | 2/15/41 | 8,925 | 11,160 |
21st Century Fox America Inc. | 5.400% | 10/1/43 | 4,700 | 5,522 |
21st Century Fox America Inc. | 4.750% | 9/15/44 | 4,075 | 4,513 |
21st Century Fox America Inc. | 4.950% | 10/15/45 | 300 | 341 |
21st Century Fox America Inc. | 7.750% | 12/1/45 | 3,150 | 4,571 |
America Movil SAB de CV | 5.625% | 11/15/17 | 900 | 947 |
America Movil SAB de CV | 5.000% | 10/16/19 | 5,700 | 6,231 |
America Movil SAB de CV | 5.000% | 3/30/20 | 16,173 | 17,877 |
America Movil SAB de CV | 3.125% | 7/16/22 | 6,100 | 6,239 |
America Movil SAB de CV | 6.375% | 3/1/35 | 1,475 | 1,805 |
America Movil SAB de CV | 6.125% | 11/15/37 | 1,825 | 2,173 |
America Movil SAB de CV | 6.125% | 3/30/40 | 16,940 | 20,510 |
America Movil SAB de CV | 4.375% | 7/16/42 | 5,000 | 5,036 |
American Tower Corp. | 4.500% | 1/15/18 | 16,300 | 17,003 |
American Tower Corp. | 3.300% | 2/15/21 | 4,000 | 4,168 |
American Tower Corp. | 5.900% | 11/1/21 | 4,965 | 5,779 |
American Tower Corp. | 4.700% | 3/15/22 | 5,000 | 5,521 |
American Tower Corp. | 3.500% | 1/31/23 | 19,050 | 19,721 |
American Tower Corp. | 5.000% | 2/15/24 | 6,000 | 6,778 |
American Tower Corp. | 4.000% | 6/1/25 | 3,750 | 3,991 |
American Tower Corp. | 4.400% | 2/15/26 | 2,000 | 2,170 |
Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 500 | 600 |
AT&T Corp. | 8.250% | 11/15/31 | 5,149 | 7,465 |
AT&T Inc. | 1.400% | 12/1/17 | 11,660 | 11,676 |
AT&T Inc. | 1.750% | 1/15/18 | 475 | 478 |
AT&T Inc. | 5.500% | 2/1/18 | 10,265 | 10,934 |
AT&T Inc. | 5.600% | 5/15/18 | 3,700 | 3,980 |
AT&T Inc. | 2.375% | 11/27/18 | 10,000 | 10,216 |
73
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
AT&T Inc. | 5.800% | 2/15/19 | 3,900 | 4,325 |
AT&T Inc. | 2.300% | 3/11/19 | 5,275 | 5,382 |
AT&T Inc. | 5.875% | 10/1/19 | 4,875 | 5,519 |
AT&T Inc. | 5.200% | 3/15/20 | 1,175 | 1,330 |
AT&T Inc. | 2.450% | 6/30/20 | 16,375 | 16,705 |
AT&T Inc. | 4.600% | 2/15/21 | 3,075 | 3,374 |
AT&T Inc. | 5.000% | 3/1/21 | 29,375 | 32,893 |
AT&T Inc. | 4.450% | 5/15/21 | 5,590 | 6,141 |
AT&T Inc. | 3.875% | 8/15/21 | 16,485 | 17,744 |
AT&T Inc. | 3.000% | 2/15/22 | 7,975 | 8,135 |
AT&T Inc. | 3.800% | 3/15/22 | 5,125 | 5,459 |
AT&T Inc. | 3.000% | 6/30/22 | 19,500 | 20,003 |
AT&T Inc. | 2.625% | 12/1/22 | 17,850 | 17,915 |
AT&T Inc. | 3.600% | 2/17/23 | 20,825 | 21,792 |
AT&T Inc. | 4.450% | 4/1/24 | 13,825 | 15,194 |
AT&T Inc. | 3.950% | 1/15/25 | 9,975 | 10,587 |
AT&T Inc. | 3.400% | 5/15/25 | 10,000 | 10,211 |
AT&T Inc. | 4.125% | 2/17/26 | 13,375 | 14,374 |
AT&T Inc. | 6.450% | 6/15/34 | 4,195 | 5,027 |
AT&T Inc. | 4.500% | 5/15/35 | 7,500 | 7,664 |
AT&T Inc. | 6.500% | 9/1/37 | 6,431 | 7,913 |
AT&T Inc. | 6.300% | 1/15/38 | 6,590 | 7,929 |
AT&T Inc. | 6.400% | 5/15/38 | 3,100 | 3,758 |
AT&T Inc. | 6.550% | 2/15/39 | 12,015 | 14,879 |
AT&T Inc. | 6.350% | 3/15/40 | 8,500 | 10,150 |
AT&T Inc. | 6.000% | 8/15/40 | 675 | 790 |
AT&T Inc. | 5.350% | 9/1/40 | 21,653 | 23,576 |
AT&T Inc. | 6.375% | 3/1/41 | 7,775 | 9,470 |
AT&T Inc. | 5.550% | 8/15/41 | 5,450 | 6,112 |
AT&T Inc. | 5.150% | 3/15/42 | 9,950 | 10,740 |
AT&T Inc. | 4.300% | 12/15/42 | 14,836 | 14,205 |
AT&T Inc. | 4.800% | 6/15/44 | 21,200 | 21,833 |
AT&T Inc. | 4.350% | 6/15/45 | 16,158 | 15,493 |
AT&T Inc. | 4.750% | 5/15/46 | 22,850 | 23,482 |
AT&T Inc. | 5.650% | 2/15/47 | 16,125 | 18,485 |
Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 5,107 | 6,529 |
BellSouth LLC | 6.875% | 10/15/31 | 3,786 | 4,544 |
BellSouth LLC | 6.550% | 6/15/34 | 628 | 741 |
BellSouth LLC | 6.000% | 11/15/34 | 419 | 472 |
BellSouth Telecommunications LLC | 6.375% | 6/1/28 | 3,275 | 3,935 |
British Telecommunications plc | 5.950% | 1/15/18 | 13,310 | 14,253 |
British Telecommunications plc | 2.350% | 2/14/19 | 1,325 | 1,355 |
British Telecommunications plc | 9.375% | 12/15/30 | 11,275 | 17,465 |
CBS Corp. | 1.950% | 7/1/17 | 175 | 176 |
CBS Corp. | 4.625% | 5/15/18 | 100 | 106 |
CBS Corp. | 2.300% | 8/15/19 | 7,075 | 7,191 |
CBS Corp. | 5.750% | 4/15/20 | 12,390 | 14,089 |
CBS Corp. | 4.300% | 2/15/21 | 4,150 | 4,514 |
CBS Corp. | 3.700% | 8/15/24 | 1,175 | 1,234 |
CBS Corp. | 4.000% | 1/15/26 | 3,000 | 3,205 |
CBS Corp. | 7.875% | 7/30/30 | 25 | 36 |
CBS Corp. | 4.850% | 7/1/42 | 5,125 | 5,199 |
CBS Corp. | 4.900% | 8/15/44 | 2,775 | 2,838 |
CBS Corp. | 4.600% | 1/15/45 | 2,000 | 1,968 |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 2.381% | 12/15/17 | 200 | 203 |
74
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 10,050 | 10,706 |
7 Charter Communications Operating LLC / | ||||
Charter Communications Operating Capital | 3.579% | 7/23/20 | 12,575 | 13,147 |
7 Charter Communications Operating LLC / | ||||
Charter Communications Operating Capital | 4.464% | 7/23/22 | 15,125 | 16,261 |
7 Charter Communications Operating LLC / | ||||
Charter Communications Operating Capital | 4.908% | 7/23/25 | 33,500 | 36,493 |
7 Charter Communications Operating LLC / | ||||
Charter Communications Operating Capital | 6.384% | 10/23/35 | 9,700 | 11,439 |
7 Charter Communications Operating LLC / | ||||
Charter Communications Operating Capital | 6.484% | 10/23/45 | 19,300 | 23,029 |
7 Charter Communications Operating LLC / | ||||
Charter Communications Operating Capital | 6.834% | 10/23/55 | 2,675 | 3,171 |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 2,000 | 2,847 |
Comcast Cable Communications LLC | 8.875% | 5/1/17 | 975 | 1,038 |
Comcast Corp. | 6.300% | 11/15/17 | 3,775 | 4,055 |
Comcast Corp. | 5.875% | 2/15/18 | 6,450 | 6,949 |
Comcast Corp. | 5.700% | 5/15/18 | 12,275 | 13,329 |
Comcast Corp. | 5.700% | 7/1/19 | 6,645 | 7,508 |
Comcast Corp. | 5.150% | 3/1/20 | 4,555 | 5,150 |
Comcast Corp. | 3.125% | 7/15/22 | 1,925 | 2,057 |
Comcast Corp. | 2.850% | 1/15/23 | 40 | 42 |
Comcast Corp. | 2.750% | 3/1/23 | 14,625 | 15,293 |
Comcast Corp. | 3.600% | 3/1/24 | 4,125 | 4,522 |
Comcast Corp. | 3.375% | 2/15/25 | 5,600 | 6,047 |
Comcast Corp. | 3.375% | 8/15/25 | 4,325 | 4,663 |
Comcast Corp. | 3.150% | 3/1/26 | 26,000 | 27,636 |
Comcast Corp. | 4.250% | 1/15/33 | 11,700 | 12,914 |
Comcast Corp. | 7.050% | 3/15/33 | 2,050 | 2,873 |
Comcast Corp. | 4.200% | 8/15/34 | 7,075 | 7,772 |
Comcast Corp. | 5.650% | 6/15/35 | 1,650 | 2,113 |
Comcast Corp. | 4.400% | 8/15/35 | 3,500 | 3,924 |
Comcast Corp. | 6.500% | 11/15/35 | 13,475 | 18,468 |
Comcast Corp. | 6.450% | 3/15/37 | 6,075 | 8,364 |
Comcast Corp. | 6.950% | 8/15/37 | 11,250 | 16,231 |
Comcast Corp. | 6.400% | 5/15/38 | 5,975 | 8,210 |
Comcast Corp. | 6.400% | 3/1/40 | 9,300 | 12,973 |
Comcast Corp. | 4.650% | 7/15/42 | 16,325 | 18,745 |
Comcast Corp. | 4.500% | 1/15/43 | 1,425 | 1,598 |
Comcast Corp. | 4.750% | 3/1/44 | 675 | 788 |
Comcast Corp. | 4.600% | 8/15/45 | 9,125 | 10,487 |
Crown Castle International Corp. | 3.400% | 2/15/21 | 12,675 | 13,245 |
Crown Castle International Corp. | 5.250% | 1/15/23 | 4,500 | 5,051 |
Crown Castle International Corp. | 4.450% | 2/15/26 | 10,500 | 11,393 |
Crown Castle International Corp. | 3.700% | 6/15/26 | 8,510 | 8,763 |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 5,375 | 5,988 |
Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 5,425 | 6,119 |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 24,087 | 36,427 |
Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 300 | 478 |
Discovery Communications LLC | 5.050% | 6/1/20 | 8,750 | 9,567 |
Discovery Communications LLC | 4.375% | 6/15/21 | 1,420 | 1,524 |
Discovery Communications LLC | 3.300% | 5/15/22 | 4,125 | 4,182 |
Discovery Communications LLC | 3.250% | 4/1/23 | 1,325 | 1,295 |
Discovery Communications LLC | 3.450% | 3/15/25 | 1,650 | 1,602 |
Discovery Communications LLC | 4.900% | 3/11/26 | 9,500 | 10,067 |
75
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Discovery Communications LLC | 6.350% | 6/1/40 | 1,685 | 1,752 |
Discovery Communications LLC | 4.950% | 5/15/42 | 3,400 | 2,953 |
Electronic Arts Inc. | 3.700% | 3/1/21 | 3,000 | 3,166 |
Grupo Televisa SAB | 6.000% | 5/15/18 | 875 | 940 |
Grupo Televisa SAB | 6.625% | 3/18/25 | 1,475 | 1,808 |
Grupo Televisa SAB | 8.500% | 3/11/32 | 275 | 353 |
Grupo Televisa SAB | 6.625% | 1/15/40 | 3,795 | 4,290 |
Grupo Televisa SAB | 5.000% | 5/13/45 | 8,175 | 7,792 |
Grupo Televisa SAB | 6.125% | 1/31/46 | 5,450 | 5,903 |
GTE Corp. | 6.940% | 4/15/28 | 1,750 | 2,263 |
Historic TW Inc. | 9.150% | 2/1/23 | 2,425 | 3,259 |
Historic TW Inc. | 6.625% | 5/15/29 | 4,925 | 6,391 |
Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 16,246 | 17,006 |
Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 750 | 804 |
Koninklijke KPN NV | 8.375% | 10/1/30 | 5,200 | 7,249 |
Moody’s Corp. | 5.500% | 9/1/20 | 438 | 497 |
Moody’s Corp. | 4.500% | 9/1/22 | 14,842 | 16,522 |
Moody’s Corp. | 4.875% | 2/15/24 | 3,500 | 3,983 |
Moody’s Corp. | 5.250% | 7/15/44 | 6,700 | 8,157 |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 8,550 | 9,692 |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 3,120 | 3,478 |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 12,099 | 12,710 |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 8,350 | 11,581 |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 2,800 | 3,726 |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 8,925 | 9,949 |
New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 1,370 | 2,046 |
Nippon Telegraph & Telephone Corp. | 1.400% | 7/18/17 | 825 | 827 |
Omnicom Group Inc. | 4.450% | 8/15/20 | 3,850 | 4,249 |
Omnicom Group Inc. | 3.625% | 5/1/22 | 20,290 | 21,584 |
Omnicom Group Inc. | 3.650% | 11/1/24 | 3,825 | 4,049 |
Omnicom Group Inc. | 3.600% | 4/15/26 | 13,300 | 13,897 |
Orange SA | 2.750% | 2/6/19 | 5,650 | 5,826 |
Orange SA | 5.375% | 7/8/19 | 6,825 | 7,577 |
Orange SA | 4.125% | 9/14/21 | 7,095 | 7,826 |
Orange SA | 9.000% | 3/1/31 | 14,615 | 22,552 |
Orange SA | 5.375% | 1/13/42 | 5,175 | 6,345 |
Orange SA | 5.500% | 2/6/44 | 7,450 | 9,294 |
Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 425 | 546 |
Qwest Corp. | 6.500% | 6/1/17 | 1,825 | 1,891 |
Qwest Corp. | 6.750% | 12/1/21 | 6,990 | 7,562 |
Qwest Corp. | 7.250% | 9/15/25 | 900 | 960 |
Qwest Corp. | 6.875% | 9/15/33 | 5,035 | 4,934 |
Qwest Corp. | 7.125% | 11/15/43 | 4,500 | 4,371 |
RELX Capital Inc. | 3.125% | 10/15/22 | 6,809 | 6,938 |
Rogers Communications Inc. | 6.800% | 8/15/18 | 7,225 | 8,003 |
Rogers Communications Inc. | 3.000% | 3/15/23 | 1,075 | 1,113 |
Rogers Communications Inc. | 4.100% | 10/1/23 | 6,050 | 6,689 |
Rogers Communications Inc. | 3.625% | 12/15/25 | 1,775 | 1,897 |
Rogers Communications Inc. | 4.500% | 3/15/43 | 3,260 | 3,454 |
Rogers Communications Inc. | 5.000% | 3/15/44 | 11,160 | 12,635 |
S&P Global Inc. | 5.900% | 11/15/17 | 1,450 | 1,533 |
S&P Global Inc. | 2.500% | 8/15/18 | 3,850 | 3,929 |
S&P Global Inc. | 3.300% | 8/14/20 | 3,950 | 4,133 |
S&P Global Inc. | 4.000% | 6/15/25 | 3,750 | 4,095 |
S&P Global Inc. | 4.400% | 2/15/26 | 7,825 | 8,787 |
76
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
S&P Global Inc. | 6.550% | 11/15/37 | 1,450 | 1,765 |
Scripps Networks Interactive Inc. | 2.750% | 11/15/19 | 4,525 | 4,618 |
Scripps Networks Interactive Inc. | 2.800% | 6/15/20 | 4,000 | 4,064 |
Scripps Networks Interactive Inc. | 3.500% | 6/15/22 | 2,500 | 2,603 |
Scripps Networks Interactive Inc. | 3.900% | 11/15/24 | 2,275 | 2,392 |
TCI Communications Inc. | 7.875% | 2/15/26 | 1,675 | 2,398 |
TCI Communications Inc. | 7.125% | 2/15/28 | 400 | 556 |
Telefonica Emisiones SAU | 3.192% | 4/27/18 | 19,200 | 19,432 |
Telefonica Emisiones SAU | 5.877% | 7/15/19 | 13,400 | 14,845 |
Telefonica Emisiones SAU | 5.462% | 2/16/21 | 540 | 617 |
Telefonica Emisiones SAU | 4.570% | 4/27/23 | 7,450 | 8,240 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 13,235 | 17,005 |
Telefonica Europe BV | 8.250% | 9/15/30 | 7,100 | 10,228 |
Thomson Reuters Corp. | 1.650% | 9/29/17 | 500 | 502 |
Thomson Reuters Corp. | 6.500% | 7/15/18 | 4,225 | 4,639 |
Thomson Reuters Corp. | 4.700% | 10/15/19 | 1,525 | 1,658 |
Thomson Reuters Corp. | 3.950% | 9/30/21 | 5,250 | 5,639 |
Thomson Reuters Corp. | 4.300% | 11/23/23 | 2,675 | 2,938 |
Thomson Reuters Corp. | 3.850% | 9/29/24 | 1,000 | 1,065 |
Thomson Reuters Corp. | 5.500% | 8/15/35 | 2,975 | 3,273 |
Thomson Reuters Corp. | 5.850% | 4/15/40 | 10,610 | 12,347 |
Thomson Reuters Corp. | 5.650% | 11/23/43 | 8,025 | 9,457 |
Time Warner Cable Inc. | 5.850% | 5/1/17 | 5,275 | 5,460 |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 12,325 | 13,519 |
Time Warner Cable Inc. | 8.750% | 2/14/19 | 8,100 | 9,455 |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 12,550 | 14,572 |
Time Warner Cable Inc. | 5.000% | 2/1/20 | 3,045 | 3,311 |
Time Warner Cable Inc. | 4.125% | 2/15/21 | 3,806 | 4,032 |
Time Warner Cable Inc. | 4.000% | 9/1/21 | 1,050 | 1,115 |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 10,245 | 11,986 |
Time Warner Cable Inc. | 7.300% | 7/1/38 | 14,183 | 17,813 |
Time Warner Cable Inc. | 6.750% | 6/15/39 | 4,997 | 5,950 |
Time Warner Cable Inc. | 5.875% | 11/15/40 | 8,075 | 8,796 |
Time Warner Cable Inc. | 5.500% | 9/1/41 | 10,900 | 11,445 |
Time Warner Cable Inc. | 4.500% | 9/15/42 | 2,725 | 2,541 |
Time Warner Cos. Inc. | 7.570% | 2/1/24 | 3,825 | 4,862 |
Time Warner Cos. Inc. | 6.950% | 1/15/28 | 6,750 | 8,745 |
Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 3,650 | 4,907 |
Time Warner Inc. | 2.100% | 6/1/19 | 3,450 | 3,508 |
Time Warner Inc. | 4.875% | 3/15/20 | 8,360 | 9,257 |
Time Warner Inc. | 4.700% | 1/15/21 | 4,050 | 4,519 |
Time Warner Inc. | 4.750% | 3/29/21 | 7,975 | 8,951 |
Time Warner Inc. | 4.000% | 1/15/22 | 295 | 319 |
Time Warner Inc. | 3.400% | 6/15/22 | 250 | 263 |
Time Warner Inc. | 4.050% | 12/15/23 | 525 | 578 |
Time Warner Inc. | 3.600% | 7/15/25 | 14,300 | 15,166 |
Time Warner Inc. | 3.875% | 1/15/26 | 7,650 | 8,250 |
Time Warner Inc. | 7.625% | 4/15/31 | 15,700 | 21,542 |
Time Warner Inc. | 7.700% | 5/1/32 | 4,600 | 6,412 |
Time Warner Inc. | 6.500% | 11/15/36 | 9,090 | 11,325 |
Time Warner Inc. | 6.200% | 3/15/40 | 950 | 1,177 |
Time Warner Inc. | 6.100% | 7/15/40 | 4,150 | 5,048 |
Time Warner Inc. | 6.250% | 3/29/41 | 5,275 | 6,641 |
Time Warner Inc. | 5.375% | 10/15/41 | 295 | 339 |
Time Warner Inc. | 4.900% | 6/15/42 | 2,785 | 2,975 |
77
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Time Warner Inc. | 5.350% | 12/15/43 | 10,700 | 12,231 |
Time Warner Inc. | 4.650% | 6/1/44 | 2,500 | 2,632 |
Time Warner Inc. | 4.850% | 7/15/45 | 1,700 | 1,847 |
Verizon Communications Inc. | 1.100% | 11/1/17 | 1,350 | 1,350 |
Verizon Communications Inc. | 5.500% | 2/15/18 | 8,575 | 9,177 |
Verizon Communications Inc. | 6.100% | 4/15/18 | 3,245 | 3,525 |
Verizon Communications Inc. | 3.650% | 9/14/18 | 30,120 | 31,667 |
Verizon Communications Inc. | 2.625% | 2/21/20 | 12,419 | 12,851 |
Verizon Communications Inc. | 4.500% | 9/15/20 | 32,900 | 36,523 |
Verizon Communications Inc. | 3.450% | 3/15/21 | 9,775 | 10,505 |
Verizon Communications Inc. | 4.600% | 4/1/21 | 7,810 | 8,771 |
Verizon Communications Inc. | 3.000% | 11/1/21 | 9,975 | 10,490 |
Verizon Communications Inc. | 3.500% | 11/1/21 | 8,185 | 8,805 |
Verizon Communications Inc. | 2.450% | 11/1/22 | 9,950 | 10,047 |
Verizon Communications Inc. | 5.150% | 9/15/23 | 40,800 | 47,568 |
Verizon Communications Inc. | 4.150% | 3/15/24 | 9,400 | 10,358 |
Verizon Communications Inc. | 3.500% | 11/1/24 | 13,775 | 14,681 |
Verizon Communications Inc. | 7.750% | 12/1/30 | 3,640 | 5,121 |
Verizon Communications Inc. | 6.400% | 9/15/33 | 5,282 | 6,748 |
Verizon Communications Inc. | 5.050% | 3/15/34 | 14,200 | 15,769 |
Verizon Communications Inc. | 4.400% | 11/1/34 | 21,275 | 22,010 |
Verizon Communications Inc. | 5.850% | 9/15/35 | 7,650 | 9,269 |
Verizon Communications Inc. | 4.272% | 1/15/36 | 15,264 | 15,637 |
Verizon Communications Inc. | 6.250% | 4/1/37 | 4,825 | 6,054 |
Verizon Communications Inc. | 6.400% | 2/15/38 | 7,625 | 9,615 |
Verizon Communications Inc. | 6.900% | 4/15/38 | 3,125 | 4,160 |
Verizon Communications Inc. | 7.350% | 4/1/39 | 7,800 | 10,875 |
Verizon Communications Inc. | 6.000% | 4/1/41 | 5,155 | 6,418 |
Verizon Communications Inc. | 4.750% | 11/1/41 | 7,925 | 8,524 |
Verizon Communications Inc. | 3.850% | 11/1/42 | 4,200 | 3,968 |
Verizon Communications Inc. | 6.550% | 9/15/43 | 18,900 | 25,532 |
Verizon Communications Inc. | 4.862% | 8/21/46 | 23,640 | 25,707 |
Verizon Communications Inc. | 4.522% | 9/15/48 | 30,177 | 31,451 |
Verizon Communications Inc. | 5.012% | 8/21/54 | 39,527 | 42,003 |
Verizon Communications Inc. | 4.672% | 3/15/55 | 26,924 | 27,082 |
Viacom Inc. | 6.125% | 10/5/17 | 1,250 | 1,318 |
Viacom Inc. | 2.500% | 9/1/18 | 3,025 | 3,067 |
Viacom Inc. | 2.200% | 4/1/19 | 2,075 | 2,080 |
Viacom Inc. | 5.625% | 9/15/19 | 7,470 | 8,226 |
Viacom Inc. | 3.875% | 12/15/21 | 11,790 | 12,381 |
Viacom Inc. | 4.250% | 9/1/23 | 3,900 | 4,050 |
Viacom Inc. | 4.850% | 12/15/34 | 3,320 | 3,078 |
Viacom Inc. | 6.875% | 4/30/36 | 9,335 | 10,247 |
Viacom Inc. | 4.500% | 2/27/42 | 1,800 | 1,489 |
Viacom Inc. | 4.375% | 3/15/43 | 2,000 | 1,610 |
Viacom Inc. | 5.850% | 9/1/43 | 7,850 | 7,857 |
Viacom Inc. | 5.250% | 4/1/44 | 1,850 | 1,717 |
Vodafone Group plc | 1.250% | 9/26/17 | 13,725 | 13,726 |
Vodafone Group plc | 1.500% | 2/19/18 | 5,050 | 5,054 |
Vodafone Group plc | 4.625% | 7/15/18 | 1,700 | 1,802 |
Vodafone Group plc | 5.450% | 6/10/19 | 10,300 | 11,394 |
Vodafone Group plc | 4.375% | 3/16/21 | 1,343 | 1,477 |
Vodafone Group plc | 2.500% | 9/26/22 | 1,250 | 1,233 |
Vodafone Group plc | 2.950% | 2/19/23 | 6,625 | 6,715 |
Vodafone Group plc | 7.875% | 2/15/30 | 2,588 | 3,462 |
78
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Vodafone Group plc | 6.250% | 11/30/32 | 2,675 | 3,119 |
Vodafone Group plc | 6.150% | 2/27/37 | 6,920 | 8,036 |
Vodafone Group plc | 4.375% | 2/19/43 | 13,780 | 13,105 |
Walt Disney Co. | 1.100% | 12/1/17 | 4,000 | 4,017 |
Walt Disney Co. | 5.875% | 12/15/17 | 1,875 | 2,006 |
Walt Disney Co. | 1.500% | 9/17/18 | 4,000 | 4,057 |
Walt Disney Co. | 1.650% | 1/8/19 | 2,750 | 2,801 |
Walt Disney Co. | 1.850% | 5/30/19 | 6,300 | 6,443 |
Walt Disney Co. | 2.150% | 9/17/20 | 4,450 | 4,602 |
Walt Disney Co. | 2.300% | 2/12/21 | 1,800 | 1,873 |
Walt Disney Co. | 2.750% | 8/16/21 | 1,000 | 1,065 |
Walt Disney Co. | 2.350% | 12/1/22 | 4,300 | 4,442 |
Walt Disney Co. | 3.150% | 9/17/25 | 3,800 | 4,164 |
Walt Disney Co. | 3.000% | 2/13/26 | 10,250 | 11,034 |
Walt Disney Co. | 7.000% | 3/1/32 | 1,875 | 2,703 |
Walt Disney Co. | 4.125% | 12/1/41 | 9,133 | 10,265 |
Walt Disney Co. | 3.700% | 12/1/42 | 4,025 | 4,276 |
Walt Disney Co. | 4.125% | 6/1/44 | 12,075 | 13,662 |
WPP Finance 2010 | 4.750% | 11/21/21 | 7,701 | 8,561 |
WPP Finance 2010 | 3.625% | 9/7/22 | 2,500 | 2,649 |
WPP Finance 2010 | 3.750% | 9/19/24 | 3,325 | 3,529 |
WPP Finance 2010 | 5.125% | 9/7/42 | 700 | 746 |
WPP Finance 2010 | 5.625% | 11/15/43 | 1,750 | 2,031 |
Consumer Cyclical (2.1%) | ||||
Advance Auto Parts Inc. | 5.750% | 5/1/20 | 1,275 | 1,417 |
Advance Auto Parts Inc. | 4.500% | 1/15/22 | 325 | 349 |
Advance Auto Parts Inc. | 4.500% | 12/1/23 | 1,850 | 1,988 |
Alibaba Group Holding Ltd. | 1.625% | 11/28/17 | 9,725 | 9,748 |
Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 15,650 | 15,831 |
Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 3,050 | 3,134 |
Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 12,750 | 13,099 |
Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 3,870 | 4,059 |
Amazon.com Inc. | 1.200% | 11/29/17 | 5,650 | 5,672 |
Amazon.com Inc. | 2.600% | 12/5/19 | 6,650 | 6,937 |
Amazon.com Inc. | 3.300% | 12/5/21 | 6,500 | 7,010 |
Amazon.com Inc. | 2.500% | 11/29/22 | 4,300 | 4,451 |
Amazon.com Inc. | 3.800% | 12/5/24 | 575 | 644 |
Amazon.com Inc. | 4.800% | 12/5/34 | 10,275 | 12,094 |
Amazon.com Inc. | 4.950% | 12/5/44 | 10,125 | 12,361 |
American Honda Finance Corp. | 1.200% | 7/14/17 | 7,550 | 7,565 |
American Honda Finance Corp. | 1.550% | 12/11/17 | 15,970 | 16,111 |
American Honda Finance Corp. | 2.125% | 10/10/18 | 3,650 | 3,744 |
American Honda Finance Corp. | 2.250% | 8/15/19 | 3,000 | 3,093 |
American Honda Finance Corp. | 2.450% | 9/24/20 | 14,000 | 14,543 |
Automatic Data Processing Inc. | 2.250% | 9/15/20 | 10,445 | 10,856 |
Automatic Data Processing Inc. | 3.375% | 9/15/25 | 1,300 | 1,413 |
AutoNation Inc. | 6.750% | 4/15/18 | 1,800 | 1,931 |
AutoNation Inc. | 5.500% | 2/1/20 | 1,655 | 1,809 |
AutoNation Inc. | 3.350% | 1/15/21 | 4,840 | 4,950 |
AutoNation Inc. | 4.500% | 10/1/25 | 2,600 | 2,746 |
AutoZone Inc. | 7.125% | 8/1/18 | 7,100 | 7,901 |
AutoZone Inc. | 2.500% | 4/15/21 | 1,125 | 1,146 |
AutoZone Inc. | 3.700% | 4/15/22 | 4,500 | 4,795 |
AutoZone Inc. | 2.875% | 1/15/23 | 1,280 | 1,305 |
79
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
AutoZone Inc. | 3.250% | 4/15/25 | 4,940 | 5,141 |
AutoZone Inc. | 3.125% | 4/21/26 | 2,200 | 2,256 |
Bed Bath & Beyond Inc. | 3.749% | 8/1/24 | 940 | 946 |
Bed Bath & Beyond Inc. | 4.915% | 8/1/34 | 1,375 | 1,277 |
Bed Bath & Beyond Inc. | 5.165% | 8/1/44 | 5,204 | 4,584 |
Best Buy Co. Inc. | 5.500% | 3/15/21 | 700 | 742 |
Block Financial LLC | 4.125% | 10/1/20 | 2,875 | 2,964 |
Block Financial LLC | 5.250% | 10/1/25 | 10,925 | 11,466 |
BorgWarner Inc. | 4.625% | 9/15/20 | 400 | 434 |
BorgWarner Inc. | 3.375% | 3/15/25 | 1,250 | 1,278 |
BorgWarner Inc. | 4.375% | 3/15/45 | 3,565 | 3,673 |
Brinker International Inc. | 2.600% | 5/15/18 | 5,663 | 5,723 |
Brinker International Inc. | 3.875% | 5/15/23 | 4,725 | 4,776 |
Carnival Corp. | 1.875% | 12/15/17 | 1,150 | 1,161 |
Carnival Corp. | 3.950% | 10/15/20 | 2,500 | 2,703 |
Coach Inc. | 4.250% | 4/1/25 | 3,771 | 3,878 |
Costco Wholesale Corp. | 1.125% | 12/15/17 | 4,575 | 4,598 |
Costco Wholesale Corp. | 1.700% | 12/15/19 | 3,500 | 3,581 |
Costco Wholesale Corp. | 1.750% | 2/15/20 | 2,000 | 2,039 |
Costco Wholesale Corp. | 2.250% | 2/15/22 | 1,900 | 1,957 |
Cummins Inc. | 3.650% | 10/1/23 | 2,690 | 2,917 |
Cummins Inc. | 7.125% | 3/1/28 | 100 | 140 |
Cummins Inc. | 4.875% | 10/1/43 | 3,650 | 4,208 |
CVS Health Corp. | 1.900% | 7/20/18 | 12,300 | 12,487 |
CVS Health Corp. | 2.250% | 12/5/18 | 19,600 | 20,054 |
CVS Health Corp. | 2.250% | 8/12/19 | 4,940 | 5,074 |
CVS Health Corp. | 2.800% | 7/20/20 | 14,275 | 14,867 |
CVS Health Corp. | 2.125% | 6/1/21 | 9,900 | 10,030 |
CVS Health Corp. | 3.500% | 7/20/22 | 7,225 | 7,778 |
CVS Health Corp. | 2.750% | 12/1/22 | 4,990 | 5,155 |
CVS Health Corp. | 4.750% | 12/1/22 | 9,000 | 10,264 |
CVS Health Corp. | 4.000% | 12/5/23 | 3,080 | 3,405 |
CVS Health Corp. | 3.375% | 8/12/24 | 6,090 | 6,485 |
CVS Health Corp. | 5.000% | 12/1/24 | 4,200 | 4,886 |
CVS Health Corp. | 3.875% | 7/20/25 | 18,123 | 19,966 |
CVS Health Corp. | 2.875% | 6/1/26 | 10,425 | 10,651 |
CVS Health Corp. | 5.300% | 12/5/43 | 7,350 | 9,126 |
CVS Health Corp. | 5.125% | 7/20/45 | 23,860 | 29,572 |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 7,720 | 12,513 |
Delphi Automotive plc | 3.150% | 11/19/20 | 3,960 | 4,102 |
Delphi Automotive plc | 4.250% | 1/15/26 | 2,450 | 2,669 |
Delphi Corp. | 5.000% | 2/15/23 | 2,950 | 3,123 |
Delphi Corp. | 4.150% | 3/15/24 | 4,455 | 4,765 |
Dollar General Corp. | 3.250% | 4/15/23 | 8,493 | 8,740 |
Dollar General Corp. | 4.150% | 11/1/25 | 300 | 328 |
eBay Inc. | 1.350% | 7/15/17 | 5,375 | 5,385 |
eBay Inc. | 2.500% | 3/9/18 | 900 | 919 |
eBay Inc. | 2.200% | 8/1/19 | 6,925 | 7,075 |
eBay Inc. | 3.250% | 10/15/20 | 5,425 | 5,674 |
eBay Inc. | 2.875% | 8/1/21 | 5,175 | 5,346 |
eBay Inc. | 3.800% | 3/9/22 | 3,900 | 4,122 |
eBay Inc. | 2.600% | 7/15/22 | 3,250 | 3,216 |
eBay Inc. | 3.450% | 8/1/24 | 3,725 | 3,811 |
eBay Inc. | 4.000% | 7/15/42 | 4,150 | 3,507 |
Expedia Inc. | 7.456% | 8/15/18 | 1,250 | 1,386 |
80
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Expedia Inc. | 5.950% | 8/15/20 | 8,400 | 9,402 |
Expedia Inc. | 4.500% | 8/15/24 | 2,750 | 2,818 |
7 Expedia Inc. | 5.000% | 2/15/26 | 4,200 | 4,364 |
Ford Holdings LLC | 9.300% | 3/1/30 | 375 | 530 |
Ford Motor Co. | 6.500% | 8/1/18 | 1,025 | 1,127 |
Ford Motor Co. | 6.625% | 10/1/28 | 3,425 | 4,324 |
Ford Motor Co. | 6.375% | 2/1/29 | 2,925 | 3,556 |
Ford Motor Co. | 7.450% | 7/16/31 | 10,925 | 14,596 |
Ford Motor Co. | 4.750% | 1/15/43 | 8,850 | 9,300 |
Ford Motor Co. | 7.400% | 11/1/46 | 2,850 | 4,002 |
Ford Motor Credit Co. LLC | 4.250% | 2/3/17 | 2,550 | 2,591 |
Ford Motor Credit Co. LLC | 1.461% | 3/27/17 | 3,300 | 3,309 |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 8,200 | 8,314 |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 10,225 | 10,794 |
Ford Motor Credit Co. LLC | 1.724% | 12/6/17 | 5,500 | 5,511 |
Ford Motor Credit Co. LLC | 2.145% | 1/9/18 | 16,600 | 16,747 |
Ford Motor Credit Co. LLC | 2.375% | 1/16/18 | 7,000 | 7,087 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 10,675 | 11,303 |
Ford Motor Credit Co. LLC | 2.551% | 10/5/18 | 8,775 | 8,929 |
Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 18,700 | 18,954 |
Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 9,750 | 9,970 |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 12,565 | 14,961 |
Ford Motor Credit Co. LLC | 2.459% | 3/27/20 | 1,000 | 1,008 |
Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 1,100 | 1,137 |
Ford Motor Credit Co. LLC | 3.200% | 1/15/21 | 8,425 | 8,652 |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 2,681 | 3,048 |
Ford Motor Credit Co. LLC | 3.336% | 3/18/21 | 15,000 | 15,568 |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 13,294 | 15,237 |
Ford Motor Credit Co. LLC | 3.219% | 1/9/22 | 8,500 | 8,717 |
Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 6,625 | 7,187 |
Ford Motor Credit Co. LLC | 3.664% | 9/8/24 | 4,925 | 5,093 |
Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 11,200 | 12,014 |
Ford Motor Credit Co. LLC | 4.389% | 1/8/26 | 4,000 | 4,368 |
General Motors Co. | 3.500% | 10/2/18 | 3,675 | 3,781 |
General Motors Co. | 4.875% | 10/2/23 | 8,240 | 8,755 |
General Motors Co. | 4.000% | 4/1/25 | 2,750 | 2,771 |
General Motors Co. | 5.000% | 4/1/35 | 5,830 | 5,830 |
General Motors Co. | 6.600% | 4/1/36 | 4,151 | 4,794 |
General Motors Co. | 6.250% | 10/2/43 | 7,005 | 7,811 |
General Motors Co. | 5.200% | 4/1/45 | 15,770 | 15,719 |
General Motors Co. | 6.750% | 4/1/46 | 7,090 | 8,455 |
General Motors Financial Co. Inc. | 4.750% | 8/15/17 | 2,300 | 2,386 |
General Motors Financial Co. Inc. | 3.000% | 9/25/17 | 3,342 | 3,396 |
General Motors Financial Co. Inc. | 3.250% | 5/15/18 | 2,200 | 2,241 |
General Motors Financial Co. Inc. | 6.750% | 6/1/18 | 5,065 | 5,489 |
General Motors Financial Co. Inc. | 3.100% | 1/15/19 | 20,575 | 20,961 |
General Motors Financial Co. Inc. | 2.400% | 5/9/19 | 10,000 | 10,012 |
General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 5,750 | 5,930 |
General Motors Financial Co. Inc. | 3.150% | 1/15/20 | 5,200 | 5,258 |
General Motors Financial Co. Inc. | 3.200% | 7/13/20 | 24,425 | 24,394 |
General Motors Financial Co. Inc. | 3.700% | 11/24/20 | 9,050 | 9,299 |
General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 8,000 | 8,400 |
General Motors Financial Co. Inc. | 3.200% | 7/6/21 | 7,225 | 7,243 |
General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 3,265 | 3,440 |
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 7,775 | 7,756 |
81
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 7,000 | 7,044 |
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 4,550 | 4,664 |
General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 7,245 | 7,327 |
General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 4,700 | 5,076 |
Harley-Davidson Inc. | 3.500% | 7/28/25 | 4,450 | 4,773 |
Harley-Davidson Inc. | 4.625% | 7/28/45 | 3,135 | 3,503 |
Harman International Industries Inc. | 4.150% | 5/15/25 | 2,400 | 2,504 |
Home Depot Inc. | 2.250% | 9/10/18 | 9,750 | 10,037 |
Home Depot Inc. | 2.000% | 6/15/19 | 7,900 | 8,123 |
Home Depot Inc. | 2.000% | 4/1/21 | 4,025 | 4,129 |
Home Depot Inc. | 4.400% | 4/1/21 | 10,030 | 11,300 |
Home Depot Inc. | 2.625% | 6/1/22 | 10,000 | 10,458 |
Home Depot Inc. | 2.700% | 4/1/23 | 5,500 | 5,768 |
Home Depot Inc. | 3.750% | 2/15/24 | 6,080 | 6,807 |
Home Depot Inc. | 3.350% | 9/15/25 | 4,000 | 4,362 |
Home Depot Inc. | 3.000% | 4/1/26 | 5,600 | 5,953 |
Home Depot Inc. | 5.875% | 12/16/36 | 20,696 | 28,189 |
Home Depot Inc. | 5.400% | 9/15/40 | 2,790 | 3,622 |
Home Depot Inc. | 5.950% | 4/1/41 | 5,505 | 7,564 |
Home Depot Inc. | 4.200% | 4/1/43 | 8,675 | 9,768 |
Home Depot Inc. | 4.875% | 2/15/44 | 7,650 | 9,359 |
Home Depot Inc. | 4.400% | 3/15/45 | 2,800 | 3,236 |
Home Depot Inc. | 4.250% | 4/1/46 | 9,495 | 10,876 |
Hyatt Hotels Corp. | 3.375% | 7/15/23 | 3,050 | 3,086 |
Hyatt Hotels Corp. | 4.850% | 3/15/26 | 800 | 871 |
Johnson Controls Inc. | 5.000% | 3/30/20 | 2,100 | 2,296 |
Johnson Controls Inc. | 4.250% | 3/1/21 | 5,405 | 5,835 |
Johnson Controls Inc. | 3.750% | 12/1/21 | 1,425 | 1,518 |
Johnson Controls Inc. | 3.625% | 7/2/24 | 3,650 | 3,868 |
Johnson Controls Inc. | 6.000% | 1/15/36 | 950 | 1,127 |
Johnson Controls Inc. | 5.700% | 3/1/41 | 795 | 929 |
Johnson Controls Inc. | 5.250% | 12/1/41 | 1,225 | 1,373 |
Johnson Controls Inc. | 4.625% | 7/2/44 | 2,500 | 2,651 |
Johnson Controls Inc. | 4.950% | 7/2/64 | 2,675 | 2,674 |
Kohl’s Corp. | 4.000% | 11/1/21 | 4,955 | 5,184 |
Kohl’s Corp. | 3.250% | 2/1/23 | 1,750 | 1,739 |
Kohl’s Corp. | 4.750% | 12/15/23 | 1,700 | 1,803 |
Kohl’s Corp. | 4.250% | 7/17/25 | 3,175 | 3,143 |
Kohl’s Corp. | 5.550% | 7/17/45 | 1,725 | 1,589 |
Lowe’s Cos. Inc. | 6.100% | 9/15/17 | 875 | 930 |
Lowe’s Cos. Inc. | 1.150% | 4/15/19 | 4,650 | 4,657 |
Lowe’s Cos. Inc. | 4.625% | 4/15/20 | 1,355 | 1,491 |
Lowe’s Cos. Inc. | 3.750% | 4/15/21 | 1,545 | 1,710 |
Lowe’s Cos. Inc. | 3.800% | 11/15/21 | 2,675 | 2,938 |
Lowe’s Cos. Inc. | 3.120% | 4/15/22 | 1,625 | 1,736 |
Lowe’s Cos. Inc. | 3.875% | 9/15/23 | 8,325 | 9,292 |
Lowe’s Cos. Inc. | 3.125% | 9/15/24 | 12,350 | 13,188 |
Lowe’s Cos. Inc. | 3.375% | 9/15/25 | 6,235 | 6,817 |
Lowe’s Cos. Inc. | 2.500% | 4/15/26 | 8,000 | 8,150 |
Lowe’s Cos. Inc. | 6.875% | 2/15/28 | 175 | 241 |
Lowe’s Cos. Inc. | 6.500% | 3/15/29 | 1,050 | 1,435 |
Lowe’s Cos. Inc. | 5.500% | 10/15/35 | 584 | 739 |
Lowe’s Cos. Inc. | 5.800% | 10/15/36 | 6,400 | 8,313 |
Lowe’s Cos. Inc. | 5.800% | 4/15/40 | 720 | 945 |
Lowe’s Cos. Inc. | 5.125% | 11/15/41 | 1,200 | 1,472 |
82
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Lowe’s Cos. Inc. | 4.650% | 4/15/42 | 4,300 | 4,980 |
Lowe’s Cos. Inc. | 5.000% | 9/15/43 | 5,944 | 7,293 |
Lowe’s Cos. Inc. | 4.250% | 9/15/44 | 1,950 | 2,165 |
Lowe’s Cos. Inc. | 4.375% | 9/15/45 | 6,050 | 6,913 |
Lowe’s Cos. Inc. | 3.700% | 4/15/46 | 6,000 | 6,173 |
Macy’s Retail Holdings Inc. | 3.450% | 1/15/21 | 2,715 | 2,793 |
Macy’s Retail Holdings Inc. | 3.875% | 1/15/22 | 4,050 | 4,164 |
Macy’s Retail Holdings Inc. | 2.875% | 2/15/23 | 11,408 | 10,851 |
Macy’s Retail Holdings Inc. | 4.375% | 9/1/23 | 2,715 | 2,820 |
Macy’s Retail Holdings Inc. | 7.000% | 2/15/28 | 2,350 | 2,635 |
Macy’s Retail Holdings Inc. | 6.900% | 4/1/29 | 1,500 | 1,645 |
Macy’s Retail Holdings Inc. | 4.500% | 12/15/34 | 3,000 | 2,629 |
Macy’s Retail Holdings Inc. | 6.375% | 3/15/37 | 2,550 | 2,622 |
Macy’s Retail Holdings Inc. | 5.125% | 1/15/42 | 3,750 | 3,305 |
Macy’s Retail Holdings Inc. | 4.300% | 2/15/43 | 600 | 475 |
Magna International Inc. | 3.625% | 6/15/24 | 3,570 | 3,788 |
Magna International Inc. | 4.150% | 10/1/25 | 1,500 | 1,649 |
Marriott International Inc. | 3.000% | 3/1/19 | 1,750 | 1,807 |
Marriott International Inc. | 3.375% | 10/15/20 | 2,075 | 2,187 |
Marriott International Inc. | 2.875% | 3/1/21 | 2,500 | 2,585 |
Marriott International Inc. | 3.125% | 10/15/21 | 4,800 | 4,978 |
Marriott International Inc. | 2.300% | 1/15/22 | 2,000 | 2,009 |
Marriott International Inc. | 3.250% | 9/15/22 | 3,525 | 3,661 |
Marriott International Inc. | 3.750% | 10/1/25 | 2,340 | 2,503 |
Marriott International Inc. | 3.125% | 6/15/26 | 4,090 | 4,146 |
MasterCard Inc. | 2.000% | 4/1/19 | 2,175 | 2,227 |
MasterCard Inc. | 3.375% | 4/1/24 | 4,050 | 4,391 |
McDonald’s Corp. | 5.300% | 3/15/17 | 300 | 309 |
McDonald’s Corp. | 5.800% | 10/15/17 | 3,950 | 4,186 |
McDonald’s Corp. | 5.350% | 3/1/18 | 4,995 | 5,338 |
McDonald’s Corp. | 2.100% | 12/7/18 | 500 | 511 |
McDonald’s Corp. | 5.000% | 2/1/19 | 4,525 | 4,963 |
McDonald’s Corp. | 1.875% | 5/29/19 | 6,450 | 6,551 |
McDonald’s Corp. | 2.750% | 12/9/20 | 1,900 | 1,982 |
McDonald’s Corp. | 3.625% | 5/20/21 | 1,750 | 1,893 |
McDonald’s Corp. | 2.625% | 1/15/22 | 10,340 | 10,686 |
McDonald’s Corp. | 3.375% | 5/26/25 | 3,105 | 3,301 |
McDonald’s Corp. | 3.700% | 1/30/26 | 14,940 | 16,107 |
McDonald’s Corp. | 4.700% | 12/9/35 | 5,375 | 6,060 |
McDonald’s Corp. | 6.300% | 10/15/37 | 325 | 431 |
McDonald’s Corp. | 6.300% | 3/1/38 | 1,525 | 2,019 |
McDonald’s Corp. | 3.700% | 2/15/42 | 13,175 | 12,963 |
McDonald’s Corp. | 3.625% | 5/1/43 | 1,725 | 1,663 |
McDonald’s Corp. | 4.600% | 5/26/45 | 4,710 | 5,262 |
McDonald’s Corp. | 4.875% | 12/9/45 | 11,500 | 13,343 |
Metropolitan Museum of Art New York Revenue | 3.400% | 7/1/45 | 1,900 | 2,009 |
NIKE Inc. | 2.250% | 5/1/23 | 175 | 180 |
NIKE Inc. | 3.625% | 5/1/43 | 6,025 | 6,357 |
NIKE Inc. | 3.875% | 11/1/45 | 6,075 | 6,725 |
Nordstrom Inc. | 6.250% | 1/15/18 | 5,625 | 6,016 |
Nordstrom Inc. | 4.750% | 5/1/20 | 3,975 | 4,326 |
Nordstrom Inc. | 4.000% | 10/15/21 | 5,315 | 5,681 |
Nordstrom Inc. | 6.950% | 3/15/28 | 1,500 | 1,849 |
Nordstrom Inc. | 5.000% | 1/15/44 | 3,260 | 3,192 |
NVR Inc. | 3.950% | 9/15/22 | 6,615 | 7,009 |
83
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
O’Reilly Automotive Inc. | 4.875% | 1/14/21 | 600 | 669 |
O’Reilly Automotive Inc. | 3.800% | 9/1/22 | 4,554 | 4,886 |
O’Reilly Automotive Inc. | 3.850% | 6/15/23 | 7,075 | 7,617 |
O’Reilly Automotive Inc. | 3.550% | 3/15/26 | 1,250 | 1,317 |
PACCAR Financial Corp. | 1.400% | 11/17/17 | 2,750 | 2,771 |
PACCAR Financial Corp. | 1.450% | 3/9/18 | 800 | 806 |
PACCAR Financial Corp. | 1.750% | 8/14/18 | 775 | 786 |
PACCAR Financial Corp. | 1.300% | 5/10/19 | 8,500 | 8,523 |
PACCAR Financial Corp. | 2.200% | 9/15/19 | 1,600 | 1,643 |
PACCAR Financial Corp. | 2.500% | 8/14/20 | 2,000 | 2,065 |
PACCAR Financial Corp. | 2.250% | 2/25/21 | 1,500 | 1,521 |
Priceline Group Inc. | 3.650% | 3/15/25 | 1,200 | 1,271 |
Priceline Group Inc. | 3.600% | 6/1/26 | 10,000 | 10,307 |
QVC Inc. | 3.125% | 4/1/19 | 1,490 | 1,529 |
QVC Inc. | 5.125% | 7/2/22 | 425 | 453 |
QVC Inc. | 4.375% | 3/15/23 | 650 | 654 |
QVC Inc. | 4.850% | 4/1/24 | 4,300 | 4,458 |
QVC Inc. | 5.450% | 8/15/34 | 350 | 322 |
QVC Inc. | 5.950% | 3/15/43 | 3,175 | 2,954 |
Ralph Lauren Corp. | 2.125% | 9/26/18 | 1,675 | 1,709 |
Ralph Lauren Corp. | 2.625% | 8/18/20 | 1,670 | 1,739 |
Ross Stores Inc. | 3.375% | 9/15/24 | 1,300 | 1,362 |
Signet UK Finance plc | 4.700% | 6/15/24 | 2,300 | 2,247 |
Staples Inc. | 2.750% | 1/12/18 | 3,430 | 3,459 |
Staples Inc. | 4.375% | 1/12/23 | 2,228 | 2,272 |
Starbucks Corp. | 2.000% | 12/5/18 | 1,700 | 1,738 |
Starbucks Corp. | 2.100% | 2/4/21 | 3,375 | 3,468 |
Starbucks Corp. | 2.700% | 6/15/22 | 2,350 | 2,479 |
Starbucks Corp. | 3.850% | 10/1/23 | 5,100 | 5,723 |
Starbucks Corp. | 2.450% | 6/15/26 | 3,000 | 3,033 |
Starbucks Corp. | 4.300% | 6/15/45 | 2,000 | 2,376 |
Starwood Hotels & Resorts Worldwide Inc. | 3.125% | 2/15/23 | 2,000 | 2,024 |
Starwood Hotels & Resorts Worldwide Inc. | 3.750% | 3/15/25 | 4,750 | 4,993 |
Starwood Hotels & Resorts Worldwide Inc. | 4.500% | 10/1/34 | 1,875 | 1,912 |
Target Corp. | 6.000% | 1/15/18 | 5,055 | 5,440 |
Target Corp. | 2.300% | 6/26/19 | 6,200 | 6,405 |
Target Corp. | 3.875% | 7/15/20 | 5,630 | 6,150 |
Target Corp. | 2.900% | 1/15/22 | 9,180 | 9,752 |
Target Corp. | 3.500% | 7/1/24 | 5,300 | 5,853 |
Target Corp. | 2.500% | 4/15/26 | 6,240 | 6,390 |
Target Corp. | 6.350% | 11/1/32 | 1,680 | 2,278 |
Target Corp. | 6.500% | 10/15/37 | 4,058 | 5,749 |
Target Corp. | 7.000% | 1/15/38 | 2,400 | 3,595 |
Target Corp. | 4.000% | 7/1/42 | 12,400 | 13,380 |
Target Corp. | 3.625% | 4/15/46 | 5,725 | 5,854 |
Tiffany & Co. | 4.900% | 10/1/44 | 1,650 | 1,652 |
TJX Cos. Inc. | 6.950% | 4/15/19 | 1,925 | 2,224 |
TJX Cos. Inc. | 2.750% | 6/15/21 | 8,290 | 8,760 |
TJX Cos. Inc. | 2.500% | 5/15/23 | 2,350 | 2,450 |
Toyota Motor Credit Corp. | 1.250% | 10/5/17 | 9,100 | 9,134 |
Toyota Motor Credit Corp. | 1.375% | 1/10/18 | 5,995 | 6,032 |
Toyota Motor Credit Corp. | 1.450% | 1/12/18 | 5,000 | 5,036 |
Toyota Motor Credit Corp. | 1.200% | 4/6/18 | 11,500 | 11,544 |
Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 7,625 | 7,777 |
Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 5,975 | 6,104 |
84
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Toyota Motor Credit Corp. | 1.700% | 2/19/19 | 5,755 | 5,825 |
Toyota Motor Credit Corp. | 1.400% | 5/20/19 | 5,000 | 5,028 |
Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 5,500 | 5,642 |
Toyota Motor Credit Corp. | 2.150% | 3/12/20 | 19,600 | 20,150 |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 1,723 | 1,923 |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 2,200 | 2,453 |
Toyota Motor Credit Corp. | 1.900% | 4/8/21 | 11,000 | 11,142 |
Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 4,250 | 4,456 |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 1,645 | 1,788 |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 5,550 | 5,980 |
Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 6,875 | 7,185 |
Under Armour Inc. | 3.250% | 6/15/26 | 4,650 | 4,691 |
VF Corp. | 5.950% | 11/1/17 | 1,975 | 2,101 |
VF Corp. | 3.500% | 9/1/21 | 4,445 | 4,828 |
VF Corp. | 6.450% | 11/1/37 | 3,375 | 4,654 |
Visa Inc. | 1.200% | 12/14/17 | 24,590 | 24,710 |
Visa Inc. | 2.200% | 12/14/20 | 19,750 | 20,345 |
Visa Inc. | 2.800% | 12/14/22 | 16,550 | 17,411 |
Visa Inc. | 3.150% | 12/14/25 | 21,990 | 23,404 |
Visa Inc. | 4.150% | 12/14/35 | 8,470 | 9,585 |
Visa Inc. | 4.300% | 12/14/45 | 19,800 | 22,885 |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 7,345 | 7,940 |
Wal-Mart Stores Inc. | 1.950% | 12/15/18 | 9,525 | 9,784 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 8,750 | 9,573 |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 4,395 | 4,750 |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 10,860 | 12,305 |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 7,300 | 7,607 |
Wal-Mart Stores Inc. | 3.300% | 4/22/24 | 9,100 | 9,974 |
Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 12,250 | 16,213 |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 4,900 | 7,465 |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 3,280 | 4,310 |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 14,605 | 21,135 |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 10,555 | 14,955 |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 9,575 | 12,820 |
Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 8,320 | 10,262 |
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 6,325 | 7,894 |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 9,895 | 13,281 |
Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 7,460 | 8,244 |
Wal-Mart Stores Inc. | 4.750% | 10/2/43 | 16,420 | 20,240 |
Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 3,150 | 3,676 |
Walgreen Co. | 5.250% | 1/15/19 | 489 | 530 |
Walgreen Co. | 3.100% | 9/15/22 | 4,100 | 4,223 |
Walgreen Co. | 4.400% | 9/15/42 | 4,300 | 4,361 |
Walgreens Boots Alliance Inc. | 1.750% | 11/17/17 | 6,000 | 6,041 |
Walgreens Boots Alliance Inc. | 1.750% | 5/30/18 | 6,000 | 6,048 |
Walgreens Boots Alliance Inc. | 2.700% | 11/18/19 | 9,000 | 9,301 |
Walgreens Boots Alliance Inc. | 2.600% | 6/1/21 | 7,548 | 7,690 |
Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 4,300 | 4,509 |
Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 9,100 | 9,645 |
Walgreens Boots Alliance Inc. | 3.450% | 6/1/26 | 12,300 | 12,617 |
Walgreens Boots Alliance Inc. | 4.500% | 11/18/34 | 4,615 | 4,834 |
Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 8,325 | 8,919 |
Walgreens Boots Alliance Inc. | 4.650% | 6/1/46 | 5,250 | 5,614 |
Western Union Co. | 6.200% | 11/17/36 | 3,250 | 3,465 |
Western Union Co. | 6.200% | 6/21/40 | 1,850 | 1,909 |
85
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Wyndham Worldwide Corp. | 2.500% | 3/1/18 | 975 | 987 |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 9,990 | 10,575 |
Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 570 | 586 |
Consumer Noncyclical (4.4%) | ||||
Abbott Laboratories | 5.125% | 4/1/19 | 6,902 | 7,585 |
Abbott Laboratories | 2.000% | 3/15/20 | 8,475 | 8,577 |
Abbott Laboratories | 4.125% | 5/27/20 | 2,700 | 2,939 |
Abbott Laboratories | 2.550% | 3/15/22 | 4,000 | 4,087 |
Abbott Laboratories | 2.950% | 3/15/25 | 1,500 | 1,532 |
Abbott Laboratories | 6.150% | 11/30/37 | 3,330 | 4,382 |
Abbott Laboratories | 6.000% | 4/1/39 | 350 | 461 |
Abbott Laboratories | 5.300% | 5/27/40 | 2,701 | 3,290 |
AbbVie Inc. | 1.750% | 11/6/17 | 15,335 | 15,433 |
AbbVie Inc. | 1.800% | 5/14/18 | 20,900 | 21,036 |
AbbVie Inc. | 2.000% | 11/6/18 | 11,775 | 11,890 |
AbbVie Inc. | 2.500% | 5/14/20 | 25,720 | 26,298 |
AbbVie Inc. | 2.300% | 5/14/21 | 5,550 | 5,598 |
AbbVie Inc. | 2.900% | 11/6/22 | 18,907 | 19,244 |
AbbVie Inc. | 3.200% | 11/6/22 | 7,616 | 7,875 |
AbbVie Inc. | 2.850% | 5/14/23 | 10,000 | 10,134 |
AbbVie Inc. | 3.600% | 5/14/25 | 24,060 | 25,223 |
AbbVie Inc. | 3.200% | 5/14/26 | 11,400 | 11,549 |
AbbVie Inc. | 4.500% | 5/14/35 | 13,595 | 14,196 |
AbbVie Inc. | 4.300% | 5/14/36 | 3,800 | 3,882 |
AbbVie Inc. | 4.400% | 11/6/42 | 17,313 | 17,642 |
AbbVie Inc. | 4.700% | 5/14/45 | 18,263 | 19,311 |
AbbVie Inc. | 4.450% | 5/14/46 | 8,000 | 8,175 |
Actavis Funding SCS | 1.300% | 6/15/17 | 13,600 | 13,568 |
Actavis Funding SCS | 2.350% | 3/12/18 | 21,985 | 22,271 |
Actavis Funding SCS | 2.450% | 6/15/19 | 8,070 | 8,182 |
Actavis Funding SCS | 3.000% | 3/12/20 | 19,205 | 19,779 |
Actavis Funding SCS | 3.450% | 3/15/22 | 16,100 | 16,728 |
Actavis Funding SCS | 3.850% | 6/15/24 | 9,500 | 9,974 |
Actavis Funding SCS | 3.800% | 3/15/25 | 27,323 | 28,394 |
Actavis Funding SCS | 4.550% | 3/15/35 | 13,220 | 13,686 |
Actavis Funding SCS | 4.850% | 6/15/44 | 11,801 | 12,450 |
Actavis Funding SCS | 4.750% | 3/15/45 | 12,475 | 13,018 |
Actavis Inc. | 1.875% | 10/1/17 | 4,525 | 4,548 |
Actavis Inc. | 3.250% | 10/1/22 | 9,900 | 10,100 |
Actavis Inc. | 4.625% | 10/1/42 | 6,425 | 6,599 |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 4,500 | 4,979 |
Agilent Technologies Inc. | 3.200% | 10/1/22 | 4,315 | 4,420 |
Agilent Technologies Inc. | 3.875% | 7/15/23 | 3,765 | 3,981 |
Ahold Finance USA LLC | 6.875% | 5/1/29 | 675 | 894 |
Allergan Inc. | 3.375% | 9/15/20 | 4,000 | 4,177 |
4 Allina Health System | 4.805% | 11/15/45 | 1,000 | 1,208 |
Altria Group Inc. | 9.250% | 8/6/19 | 401 | 494 |
Altria Group Inc. | 2.625% | 1/14/20 | 18,150 | 18,853 |
Altria Group Inc. | 4.750% | 5/5/21 | 10,195 | 11,630 |
Altria Group Inc. | 2.850% | 8/9/22 | 3,900 | 4,086 |
Altria Group Inc. | 2.950% | 5/2/23 | 3,175 | 3,336 |
Altria Group Inc. | 4.000% | 1/31/24 | 8,100 | 9,066 |
Altria Group Inc. | 9.950% | 11/10/38 | 4,184 | 7,548 |
Altria Group Inc. | 10.200% | 2/6/39 | 8,795 | 16,366 |
86
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Altria Group Inc. | 4.250% | 8/9/42 | 5,508 | 5,965 |
Altria Group Inc. | 4.500% | 5/2/43 | 3,575 | 4,046 |
Altria Group Inc. | 5.375% | 1/31/44 | 1,325 | 1,704 |
AmerisourceBergen Corp. | 4.875% | 11/15/19 | 2,741 | 3,021 |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 5,700 | 6,102 |
AmerisourceBergen Corp. | 3.400% | 5/15/24 | 4,000 | 4,230 |
AmerisourceBergen Corp. | 3.250% | 3/1/25 | 1,750 | 1,834 |
AmerisourceBergen Corp. | 4.250% | 3/1/45 | 2,475 | 2,629 |
Amgen Inc. | 6.150% | 6/1/18 | 6,320 | 6,900 |
Amgen Inc. | 5.700% | 2/1/19 | 6,514 | 7,218 |
Amgen Inc. | 2.200% | 5/22/19 | 1,470 | 1,508 |
Amgen Inc. | 2.125% | 5/1/20 | 6,570 | 6,684 |
Amgen Inc. | 3.450% | 10/1/20 | 825 | 883 |
Amgen Inc. | 4.100% | 6/15/21 | 7,515 | 8,242 |
Amgen Inc. | 3.875% | 11/15/21 | 3,510 | 3,829 |
Amgen Inc. | 2.700% | 5/1/22 | 1,875 | 1,931 |
Amgen Inc. | 3.625% | 5/15/22 | 12,075 | 13,000 |
Amgen Inc. | 3.625% | 5/22/24 | 13,929 | 14,955 |
Amgen Inc. | 4.950% | 10/1/41 | 4,475 | 4,877 |
Amgen Inc. | 4.400% | 5/1/45 | 6,170 | 6,439 |
7 Amgen Inc. | 4.563% | 6/15/48 | 27,294 | 28,394 |
7 Amgen Inc. | 4.663% | 6/15/51 | 25,315 | 26,456 |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 6,307 | 6,721 |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 575 | 762 |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 2,105 | 2,605 |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 13,465 | 13,499 |
Anheuser-Busch InBev Finance Inc. | 1.900% | 2/1/19 | 22,880 | 23,264 |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 7,000 | 7,149 |
Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 43,360 | 44,926 |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 12,425 | 12,597 |
Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 33,925 | 35,654 |
Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 8,100 | 8,735 |
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 70,310 | 75,143 |
Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 36,795 | 41,397 |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 14,425 | 14,932 |
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 5,725 | 6,476 |
Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 68,890 | 80,796 |
Anheuser-Busch InBev Worldwide Inc. | 1.375% | 7/15/17 | 13,422 | 13,463 |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 10,435 | 12,072 |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 5,525 | 6,475 |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 12,540 | 14,173 |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 4,375 | 4,897 |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 1,925 | 2,133 |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 23,550 | 23,930 |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 5,500 | 8,774 |
Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 3,075 | 4,125 |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 10,425 | 10,461 |
Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 5,449 | 5,826 |
Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 587 | 662 |
Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 530 | 671 |
Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 2,345 | 2,871 |
Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 2,500 | 2,877 |
Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 3,125 | 3,359 |
Ascension Health | 3.945% | 11/15/46 | 5,275 | 5,671 |
4 Ascension Health | 4.847% | 11/15/53 | 1,375 | 1,725 |
87
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
AstraZeneca plc | 5.900% | 9/15/17 | 10,265 | 10,851 |
AstraZeneca plc | 1.750% | 11/16/18 | 6,000 | 6,083 |
AstraZeneca plc | 1.950% | 9/18/19 | 5,900 | 5,971 |
AstraZeneca plc | 2.375% | 11/16/20 | 12,300 | 12,542 |
AstraZeneca plc | 3.375% | 11/16/25 | 8,190 | 8,565 |
AstraZeneca plc | 6.450% | 9/15/37 | 14,545 | 19,811 |
AstraZeneca plc | 4.000% | 9/18/42 | 5,925 | 6,092 |
AstraZeneca plc | 4.375% | 11/16/45 | 7,875 | 8,600 |
Baptist Health South Florida Obligated Group | ||||
Revenue | 4.590% | 8/15/21 | 850 | 947 |
Baxalta Inc. | 2.000% | 6/22/18 | 1,775 | 1,779 |
Baxalta Inc. | 2.875% | 6/23/20 | 5,475 | 5,564 |
Baxalta Inc. | 3.600% | 6/23/22 | 3,650 | 3,774 |
Baxalta Inc. | 4.000% | 6/23/25 | 11,500 | 12,016 |
Baxalta Inc. | 5.250% | 6/23/45 | 5,505 | 5,973 |
Beam Suntory Inc. | 1.750% | 6/15/18 | 1,525 | 1,533 |
Beam Suntory Inc. | 3.250% | 5/15/22 | 600 | 617 |
Beam Suntory Inc. | 3.250% | 6/15/23 | 850 | 878 |
Becton Dickinson & Co. | 1.800% | 12/15/17 | 7,000 | 7,058 |
Becton Dickinson & Co. | 6.375% | 8/1/19 | 8,085 | 9,147 |
Becton Dickinson & Co. | 2.675% | 12/15/19 | 7,675 | 7,889 |
Becton Dickinson & Co. | 3.250% | 11/12/20 | 5,150 | 5,418 |
Becton Dickinson & Co. | 3.125% | 11/8/21 | 2,985 | 3,129 |
Becton Dickinson & Co. | 3.875% | 5/15/24 | 150 | 163 |
Becton Dickinson & Co. | 3.734% | 12/15/24 | 10,145 | 10,936 |
Becton Dickinson & Co. | 6.000% | 5/15/39 | 100 | 128 |
Becton Dickinson & Co. | 5.000% | 11/12/40 | 6,622 | 7,513 |
Becton Dickinson & Co. | 4.685% | 12/15/44 | 6,875 | 7,773 |
Bio-Rad Laboratories Inc. | 4.875% | 12/15/20 | 500 | 549 |
Biogen Inc. | 6.875% | 3/1/18 | 3,100 | 3,376 |
Biogen Inc. | 2.900% | 9/15/20 | 13,985 | 14,573 |
Biogen Inc. | 3.625% | 9/15/22 | 5,250 | 5,577 |
Biogen Inc. | 4.050% | 9/15/25 | 7,775 | 8,404 |
Biogen Inc. | 5.200% | 9/15/45 | 14,655 | 16,495 |
Boston Scientific Corp. | 2.650% | 10/1/18 | 4,050 | 4,144 |
Boston Scientific Corp. | 6.000% | 1/15/20 | 3,670 | 4,163 |
Boston Scientific Corp. | 3.375% | 5/15/22 | 2,975 | 3,092 |
Boston Scientific Corp. | 4.125% | 10/1/23 | 2,700 | 2,937 |
Boston Scientific Corp. | 3.850% | 5/15/25 | 6,410 | 6,777 |
Boston Scientific Corp. | 7.000% | 11/15/35 | 4,100 | 5,353 |
Boston Scientific Corp. | 7.375% | 1/15/40 | 2,000 | 2,660 |
Bottling Group LLC | 5.125% | 1/15/19 | 4,119 | 4,525 |
Bristol-Myers Squibb Co. | 0.875% | 8/1/17 | 2,800 | 2,803 |
Bristol-Myers Squibb Co. | 1.750% | 3/1/19 | 5,375 | 5,473 |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 9,675 | 9,835 |
Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 100 | 132 |
Bristol-Myers Squibb Co. | 3.250% | 11/1/23 | 1,750 | 1,933 |
Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 2,163 | 2,911 |
Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 480 | 656 |
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 5,240 | 5,223 |
Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 1,225 | 1,513 |
Brown-Forman Corp. | 1.000% | 1/15/18 | 800 | 800 |
Brown-Forman Corp. | 2.250% | 1/15/23 | 1,375 | 1,390 |
Brown-Forman Corp. | 3.750% | 1/15/43 | 2,250 | 2,300 |
Brown-Forman Corp. | 4.500% | 7/15/45 | 2,750 | 3,144 |
88
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 3,965 | 4,656 |
Bunge Ltd. Finance Corp. | 3.500% | 11/24/20 | 2,600 | 2,721 |
Campbell Soup Co. | 2.500% | 8/2/22 | 1,850 | 1,880 |
Campbell Soup Co. | 3.300% | 3/19/25 | 1,700 | 1,798 |
Campbell Soup Co. | 3.800% | 8/2/42 | 2,800 | 2,796 |
Cardinal Health Inc. | 1.700% | 3/15/18 | 7,150 | 7,196 |
Cardinal Health Inc. | 1.950% | 6/15/18 | 2,100 | 2,121 |
Cardinal Health Inc. | 4.625% | 12/15/20 | 4,935 | 5,540 |
Cardinal Health Inc. | 3.200% | 6/15/22 | 3,600 | 3,807 |
Cardinal Health Inc. | 3.200% | 3/15/23 | 2,450 | 2,567 |
Cardinal Health Inc. | 3.750% | 9/15/25 | 3,250 | 3,547 |
Cardinal Health Inc. | 4.600% | 3/15/43 | 475 | 507 |
Cardinal Health Inc. | 4.500% | 11/15/44 | 2,150 | 2,257 |
Cardinal Health Inc. | 4.900% | 9/15/45 | 3,300 | 3,687 |
Catholic Health Initiatives Colorado GO | 1.600% | 11/1/17 | 2,150 | 2,159 |
Catholic Health Initiatives Colorado GO | 2.950% | 11/1/22 | 1,725 | 1,766 |
4 Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 6,900 | 6,964 |
Celgene Corp. | 2.125% | 8/15/18 | 3,850 | 3,908 |
Celgene Corp. | 2.300% | 8/15/18 | 2,500 | 2,546 |
Celgene Corp. | 2.250% | 5/15/19 | 3,975 | 4,050 |
Celgene Corp. | 2.875% | 8/15/20 | 8,575 | 8,875 |
Celgene Corp. | 3.950% | 10/15/20 | 10,310 | 11,129 |
Celgene Corp. | 3.250% | 8/15/22 | 3,950 | 4,091 |
Celgene Corp. | 3.550% | 8/15/22 | 3,985 | 4,172 |
Celgene Corp. | 4.000% | 8/15/23 | 3,550 | 3,789 |
Celgene Corp. | 3.625% | 5/15/24 | 9,275 | 9,695 |
Celgene Corp. | 3.875% | 8/15/25 | 15,450 | 16,501 |
Celgene Corp. | 5.700% | 10/15/40 | 2,457 | 2,846 |
Celgene Corp. | 5.250% | 8/15/43 | 3,005 | 3,356 |
Celgene Corp. | 4.625% | 5/15/44 | 5,750 | 5,920 |
Celgene Corp. | 5.000% | 8/15/45 | 10,515 | 11,602 |
Children’s Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 1,050 | 1,173 |
Church & Dwight Co. Inc. | 2.450% | 12/15/19 | 2,590 | 2,653 |
Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 2,765 | 3,084 |
Clorox Co. | 5.950% | 10/15/17 | 2,832 | 3,011 |
Clorox Co. | 3.050% | 9/15/22 | 4,800 | 5,026 |
Clorox Co. | 3.500% | 12/15/24 | 2,850 | 3,051 |
Coca-Cola Bottling Co. Consolidated | 3.800% | 11/25/25 | 8,117 | 8,689 |
Coca-Cola Co. | 1.650% | 3/14/18 | 615 | 623 |
Coca-Cola Co. | 1.150% | 4/1/18 | 4,921 | 4,949 |
Coca-Cola Co. | 1.650% | 11/1/18 | 12,025 | 12,206 |
Coca-Cola Co. | 1.375% | 5/30/19 | 3,300 | 3,336 |
Coca-Cola Co. | 1.875% | 10/27/20 | 3,750 | 3,843 |
Coca-Cola Co. | 2.450% | 11/1/20 | 14,500 | 15,147 |
Coca-Cola Co. | 3.150% | 11/15/20 | 1,100 | 1,183 |
Coca-Cola Co. | 3.300% | 9/1/21 | 4,780 | 5,187 |
Coca-Cola Co. | 2.500% | 4/1/23 | 5,650 | 5,858 |
Coca-Cola Co. | 3.200% | 11/1/23 | 9,575 | 10,316 |
Coca-Cola Co. | 2.875% | 10/27/25 | 7,375 | 7,744 |
Coca-Cola Co. | 2.550% | 6/1/26 | 3,400 | 3,498 |
Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 4,250 | 4,512 |
Coca-Cola Enterprises Inc. | 4.500% | 9/1/21 | 1,675 | 1,871 |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 4,900 | 4,985 |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 1,925 | 2,077 |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 5,100 | 5,469 |
89
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 7,600 | 9,018 |
Coca-Cola Refreshments USA Inc. | 8.500% | 2/1/22 | 1,750 | 2,334 |
Colgate-Palmolive Co. | 1.750% | 3/15/19 | 1,500 | 1,534 |
Colgate-Palmolive Co. | 2.450% | 11/15/21 | 1,510 | 1,584 |
Colgate-Palmolive Co. | 2.300% | 5/3/22 | 8,311 | 8,618 |
Colgate-Palmolive Co. | 1.950% | 2/1/23 | 4,800 | 4,876 |
Colgate-Palmolive Co. | 2.100% | 5/1/23 | 200 | 204 |
Colgate-Palmolive Co. | 3.250% | 3/15/24 | 200 | 222 |
Colgate-Palmolive Co. | 4.000% | 8/15/45 | 3,345 | 3,850 |
ConAgra Foods Inc. | 1.900% | 1/25/18 | 8,270 | 8,329 |
ConAgra Foods Inc. | 2.100% | 3/15/18 | 4,743 | 4,807 |
ConAgra Foods Inc. | 3.250% | 9/15/22 | 5,000 | 5,164 |
ConAgra Foods Inc. | 3.200% | 1/25/23 | 3,986 | 4,113 |
ConAgra Foods Inc. | 7.125% | 10/1/26 | 963 | 1,259 |
ConAgra Foods Inc. | 7.000% | 10/1/28 | 200 | 251 |
ConAgra Foods Inc. | 8.250% | 9/15/30 | 3,825 | 5,310 |
Covidien International Finance SA | 6.000% | 10/15/17 | 9,332 | 9,927 |
Covidien International Finance SA | 4.200% | 6/15/20 | 3,675 | 4,050 |
Covidien International Finance SA | 3.200% | 6/15/22 | 5,869 | 6,277 |
CR Bard Inc. | 1.375% | 1/15/18 | 14,050 | 14,105 |
CR Bard Inc. | 4.400% | 1/15/21 | 2,220 | 2,452 |
CR Bard Inc. | 3.000% | 5/15/26 | 2,000 | 2,047 |
CR Bard Inc. | 6.700% | 12/1/26 | 500 | 663 |
Danaher Corp. | 5.625% | 1/15/18 | 550 | 590 |
Danaher Corp. | 1.650% | 9/15/18 | 4,100 | 4,163 |
Danaher Corp. | 2.400% | 9/15/20 | 4,000 | 4,172 |
Danaher Corp. | 3.900% | 6/23/21 | 8,635 | 9,521 |
Danaher Corp. | 3.350% | 9/15/25 | 2,725 | 3,005 |
Danaher Corp. | 4.375% | 9/15/45 | 3,100 | 3,617 |
Delhaize America LLC | 9.000% | 4/15/31 | 1,530 | 2,137 |
Delhaize Group SA | 5.700% | 10/1/40 | 821 | 968 |
Diageo Capital plc | 5.750% | 10/23/17 | 6,926 | 7,340 |
Diageo Capital plc | 4.828% | 7/15/20 | 4,050 | 4,556 |
Diageo Capital plc | 2.625% | 4/29/23 | 14,470 | 14,928 |
Diageo Capital plc | 5.875% | 9/30/36 | 500 | 651 |
Diageo Capital plc | 3.875% | 4/29/43 | 1,200 | 1,263 |
Diageo Investment Corp. | 2.875% | 5/11/22 | 8,875 | 9,290 |
Diageo Investment Corp. | 7.450% | 4/15/35 | 200 | 295 |
Diageo Investment Corp. | 4.250% | 5/11/42 | 5,137 | 5,614 |
Dignity Health California GO | 2.637% | 11/1/19 | 2,250 | 2,314 |
Dignity Health California GO | 3.125% | 11/1/22 | 900 | 926 |
Dignity Health California GO | 3.812% | 11/1/24 | 2,050 | 2,207 |
Dignity Health California GO | 4.500% | 11/1/42 | 4,500 | 4,834 |
Dignity Health California GO | 5.267% | 11/1/64 | 1,000 | 1,192 |
Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 1,920 | 2,114 |
Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 4,785 | 4,904 |
Dr Pepper Snapple Group Inc. | 2.000% | 1/15/20 | 3,475 | 3,514 |
Dr Pepper Snapple Group Inc. | 2.700% | 11/15/22 | 1,300 | 1,325 |
Dr Pepper Snapple Group Inc. | 3.400% | 11/15/25 | 1,650 | 1,751 |
Dr Pepper Snapple Group Inc. | 7.450% | 5/1/38 | 1,504 | 2,198 |
Dr Pepper Snapple Group Inc. | 4.500% | 11/15/45 | 2,000 | 2,208 |
Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 4,925 | 5,062 |
Eli Lilly & Co. | 1.250% | 3/1/18 | 4,225 | 4,257 |
Eli Lilly & Co. | 1.950% | 3/15/19 | 7,750 | 7,901 |
Eli Lilly & Co. | 2.750% | 6/1/25 | 4,550 | 4,825 |
90
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Eli Lilly & Co. | 5.550% | 3/15/37 | 2,960 | 3,900 |
Eli Lilly & Co. | 3.700% | 3/1/45 | 3,900 | 4,158 |
Estee Lauder Cos. Inc. | 1.700% | 5/10/21 | 3,100 | 3,137 |
Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 6,358 | 6,536 |
Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 1,300 | 1,714 |
Estee Lauder Cos. Inc. | 3.700% | 8/15/42 | 3,100 | 3,228 |
Estee Lauder Cos. Inc. | 4.375% | 6/15/45 | 4,025 | 4,608 |
Express Scripts Holding Co. | 3.300% | 2/25/21 | 1,750 | 1,844 |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 7,038 | 7,890 |
Express Scripts Holding Co. | 3.900% | 2/15/22 | 13,256 | 14,034 |
Express Scripts Holding Co. | 3.000% | 7/15/23 | 3,000 | 3,005 |
Express Scripts Holding Co. | 3.500% | 6/15/24 | 7,855 | 8,111 |
Express Scripts Holding Co. | 4.500% | 2/25/26 | 8,850 | 9,732 |
Express Scripts Holding Co. | 3.400% | 3/1/27 | 9,000 | 9,020 |
Express Scripts Holding Co. | 6.125% | 11/15/41 | 3,780 | 4,504 |
Express Scripts Holding Co. | 4.800% | 7/15/46 | 9,000 | 8,987 |
Flowers Foods Inc. | 4.375% | 4/1/22 | 2,350 | 2,557 |
Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 600 | 595 |
Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 3,100 | 3,223 |
General Mills Inc. | 1.400% | 10/20/17 | 3,000 | 3,019 |
General Mills Inc. | 5.650% | 2/15/19 | 8,075 | 8,976 |
General Mills Inc. | 2.200% | 10/21/19 | 10,400 | 10,655 |
General Mills Inc. | 3.150% | 12/15/21 | 5,875 | 6,252 |
General Mills Inc. | 3.650% | 2/15/24 | 1,225 | 1,346 |
General Mills Inc. | 5.400% | 6/15/40 | 4,600 | 5,701 |
General Mills Inc. | 4.150% | 2/15/43 | 750 | 806 |
Gilead Sciences Inc. | 1.850% | 9/4/18 | 6,125 | 6,234 |
Gilead Sciences Inc. | 2.050% | 4/1/19 | 4,045 | 4,139 |
Gilead Sciences Inc. | 2.350% | 2/1/20 | 4,025 | 4,149 |
Gilead Sciences Inc. | 2.550% | 9/1/20 | 11,503 | 11,911 |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 2,025 | 2,262 |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 8,102 | 9,145 |
Gilead Sciences Inc. | 3.250% | 9/1/22 | 5,575 | 5,946 |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 15,000 | 16,253 |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 4,575 | 4,888 |
Gilead Sciences Inc. | 3.650% | 3/1/26 | 15,650 | 17,024 |
Gilead Sciences Inc. | 4.600% | 9/1/35 | 4,075 | 4,546 |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 5,460 | 6,849 |
Gilead Sciences Inc. | 4.800% | 4/1/44 | 13,125 | 14,641 |
Gilead Sciences Inc. | 4.500% | 2/1/45 | 11,250 | 12,225 |
Gilead Sciences Inc. | 4.750% | 3/1/46 | 13,470 | 15,319 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 15,580 | 16,880 |
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 1,581 | 1,659 |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 475 | 600 |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 16,010 | 22,807 |
GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 3,575 | 4,012 |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 7,450 | 7,820 |
Hasbro Inc. | 6.300% | 9/15/17 | 1,375 | 1,455 |
Hasbro Inc. | 3.150% | 5/15/21 | 6,200 | 6,380 |
Hasbro Inc. | 6.350% | 3/15/40 | 1,170 | 1,423 |
Hasbro Inc. | 5.100% | 5/15/44 | 4,463 | 4,768 |
Hershey Co. | 1.600% | 8/21/18 | 1,800 | 1,826 |
Hershey Co. | 4.125% | 12/1/20 | 2,195 | 2,461 |
Hershey Co. | 2.625% | 5/1/23 | 2,750 | 2,790 |
Hershey Co. | 3.200% | 8/21/25 | 1,695 | 1,832 |
91
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Hillshire Brands Co. | 4.100% | 9/15/20 | 1,250 | 1,304 |
Hormel Foods Corp. | 4.125% | 4/15/21 | 625 | 695 |
Ingredion Inc. | 4.625% | 11/1/20 | 890 | 974 |
Ingredion Inc. | 6.625% | 4/15/37 | 1,025 | 1,296 |
JM Smucker Co. | 1.750% | 3/15/18 | 2,000 | 2,017 |
JM Smucker Co. | 2.500% | 3/15/20 | 7,414 | 7,638 |
JM Smucker Co. | 3.500% | 10/15/21 | 1,995 | 2,146 |
JM Smucker Co. | 3.000% | 3/15/22 | 2,605 | 2,735 |
JM Smucker Co. | 3.500% | 3/15/25 | 5,300 | 5,709 |
JM Smucker Co. | 4.250% | 3/15/35 | 2,500 | 2,716 |
JM Smucker Co. | 4.375% | 3/15/45 | 4,100 | 4,465 |
Johnson & Johnson | 5.550% | 8/15/17 | 2,100 | 2,210 |
Johnson & Johnson | 5.150% | 7/15/18 | 4,250 | 4,617 |
Johnson & Johnson | 1.650% | 12/5/18 | 5,250 | 5,348 |
Johnson & Johnson | 1.125% | 3/1/19 | 6,000 | 6,036 |
Johnson & Johnson | 2.950% | 9/1/20 | 9,000 | 9,620 |
Johnson & Johnson | 1.650% | 3/1/21 | 7,050 | 7,160 |
Johnson & Johnson | 3.550% | 5/15/21 | 2,325 | 2,576 |
Johnson & Johnson | 2.450% | 12/5/21 | 2,000 | 2,104 |
Johnson & Johnson | 2.050% | 3/1/23 | 4,000 | 4,094 |
Johnson & Johnson | 6.730% | 11/15/23 | 1,203 | 1,588 |
Johnson & Johnson | 3.375% | 12/5/23 | 4,250 | 4,802 |
Johnson & Johnson | 2.450% | 3/1/26 | 11,475 | 11,850 |
Johnson & Johnson | 6.950% | 9/1/29 | 1,700 | 2,564 |
Johnson & Johnson | 4.950% | 5/15/33 | 1,600 | 2,050 |
Johnson & Johnson | 4.375% | 12/5/33 | 17,104 | 20,615 |
Johnson & Johnson | 3.550% | 3/1/36 | 5,400 | 5,949 |
Johnson & Johnson | 5.950% | 8/15/37 | 1,330 | 1,973 |
Johnson & Johnson | 5.850% | 7/15/38 | 3,797 | 5,525 |
Johnson & Johnson | 4.500% | 9/1/40 | 3,125 | 3,878 |
Johnson & Johnson | 3.700% | 3/1/46 | 10,825 | 12,171 |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 1,835 | 1,975 |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 5,450 | 6,569 |
Kellogg Co. | 4.000% | 12/15/20 | 8,805 | 9,643 |
Kellogg Co. | 3.250% | 4/1/26 | 4,775 | 4,901 |
Kellogg Co. | 7.450% | 4/1/31 | 867 | 1,199 |
Kellogg Co. | 4.500% | 4/1/46 | 8,025 | 8,604 |
Kimberly-Clark Corp. | 6.125% | 8/1/17 | 10,004 | 10,569 |
Kimberly-Clark Corp. | 7.500% | 11/1/18 | 800 | 915 |
Kimberly-Clark Corp. | 1.400% | 2/15/19 | 3,425 | 3,465 |
Kimberly-Clark Corp. | 1.850% | 3/1/20 | 2,400 | 2,454 |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 3,150 | 3,442 |
Kimberly-Clark Corp. | 2.150% | 8/15/20 | 1,350 | 1,397 |
Kimberly-Clark Corp. | 3.875% | 3/1/21 | 2,940 | 3,237 |
Kimberly-Clark Corp. | 2.400% | 3/1/22 | 4,825 | 4,990 |
Kimberly-Clark Corp. | 2.400% | 6/1/23 | 1,600 | 1,670 |
Kimberly-Clark Corp. | 2.650% | 3/1/25 | 2,500 | 2,621 |
Kimberly-Clark Corp. | 3.050% | 8/15/25 | 2,900 | 3,126 |
Kimberly-Clark Corp. | 2.750% | 2/15/26 | 2,575 | 2,694 |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 200 | 298 |
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 5,350 | 7,157 |
Kimberly-Clark Corp. | 3.700% | 6/1/43 | 1,625 | 1,762 |
Koninklijke Philips NV | 5.750% | 3/11/18 | 2,725 | 2,919 |
Koninklijke Philips NV | 3.750% | 3/15/22 | 7,600 | 8,179 |
Koninklijke Philips NV | 6.875% | 3/11/38 | 2,240 | 2,946 |
92
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Koninklijke Philips NV | 5.000% | 3/15/42 | 3,575 | 3,886 |
Kraft Foods Group Inc. | 2.250% | 6/5/17 | 2,150 | 2,170 |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 12,252 | 13,462 |
Kraft Foods Group Inc. | 5.375% | 2/10/20 | 2,539 | 2,861 |
Kraft Foods Group Inc. | 3.500% | 6/6/22 | 7,175 | 7,635 |
Kraft Foods Group Inc. | 6.875% | 1/26/39 | 7,950 | 10,860 |
Kraft Foods Group Inc. | 6.500% | 2/9/40 | 7,900 | 10,419 |
Kraft Foods Group Inc. | 5.000% | 6/4/42 | 8,520 | 9,828 |
7 Kraft Heinz Foods Co. | 1.600% | 6/30/17 | 7,250 | 7,277 |
7 Kraft Heinz Foods Co. | 2.000% | 7/2/18 | 8,515 | 8,631 |
7 Kraft Heinz Foods Co. | 2.800% | 7/2/20 | 6,625 | 6,870 |
7 Kraft Heinz Foods Co. | 3.950% | 7/15/25 | 10,925 | 11,880 |
7 Kraft Heinz Foods Co. | 3.000% | 6/1/26 | 12,925 | 13,074 |
7 Kraft Heinz Foods Co. | 5.000% | 7/15/35 | 5,455 | 6,249 |
7 Kraft Heinz Foods Co. | 5.200% | 7/15/45 | 8,800 | 10,352 |
7 Kraft Heinz Foods Co. | 4.375% | 6/1/46 | 21,600 | 22,698 |
Kroger Co. | 6.400% | 8/15/17 | 1,435 | 1,518 |
Kroger Co. | 6.800% | 12/15/18 | 2,400 | 2,694 |
Kroger Co. | 2.000% | 1/15/19 | 925 | 938 |
Kroger Co. | 2.300% | 1/15/19 | 6,845 | 6,981 |
Kroger Co. | 6.150% | 1/15/20 | 4,150 | 4,770 |
Kroger Co. | 3.300% | 1/15/21 | 3,100 | 3,295 |
Kroger Co. | 2.600% | 2/1/21 | 5,200 | 5,402 |
Kroger Co. | 2.950% | 11/1/21 | 5,650 | 5,904 |
Kroger Co. | 3.850% | 8/1/23 | 3,000 | 3,297 |
Kroger Co. | 4.000% | 2/1/24 | 993 | 1,103 |
Kroger Co. | 3.500% | 2/1/26 | 2,000 | 2,158 |
Kroger Co. | 7.700% | 6/1/29 | 3,200 | 4,477 |
Kroger Co. | 8.000% | 9/15/29 | 6,375 | 9,170 |
Kroger Co. | 7.500% | 4/1/31 | 875 | 1,225 |
Kroger Co. | 6.900% | 4/15/38 | 5,250 | 7,257 |
Kroger Co. | 5.000% | 4/15/42 | 350 | 401 |
Kroger Co. | 5.150% | 8/1/43 | 1,000 | 1,179 |
Laboratory Corp. of America Holdings | 2.200% | 8/23/17 | 4,175 | 4,207 |
Laboratory Corp. of America Holdings | 2.500% | 11/1/18 | 500 | 508 |
Laboratory Corp. of America Holdings | 2.625% | 2/1/20 | 1,500 | 1,533 |
Laboratory Corp. of America Holdings | 3.200% | 2/1/22 | 6,800 | 7,034 |
Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 475 | 500 |
Laboratory Corp. of America Holdings | 4.000% | 11/1/23 | 550 | 588 |
Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 5,425 | 5,642 |
Laboratory Corp. of America Holdings | 4.700% | 2/1/45 | 3,150 | 3,378 |
Life Technologies Corp. | 6.000% | 3/1/20 | 3,690 | 4,161 |
Life Technologies Corp. | 5.000% | 1/15/21 | 2,175 | 2,403 |
Mattel Inc. | 1.700% | 3/15/18 | 550 | 551 |
Mattel Inc. | 2.350% | 5/6/19 | 940 | 955 |
Mattel Inc. | 3.150% | 3/15/23 | 750 | 756 |
Mattel Inc. | 5.450% | 11/1/41 | 3,675 | 3,944 |
4 Mayo Clinic | 3.774% | 11/15/43 | 5,125 | 5,327 |
4 Mayo Clinic | 4.000% | 11/15/47 | 1,375 | 1,514 |
4 Mayo Clinic | 4.128% | 11/15/52 | 1,125 | 1,276 |
McCormick & Co. Inc. | 3.900% | 7/15/21 | 875 | 961 |
McCormick & Co. Inc. | 3.500% | 9/1/23 | 2,800 | 3,031 |
McCormick & Co. Inc. | 3.250% | 11/15/25 | 1,800 | 1,935 |
McKesson Corp. | 7.500% | 2/15/19 | 4,405 | 5,057 |
McKesson Corp. | 2.284% | 3/15/19 | 5,250 | 5,367 |
93
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
McKesson Corp. | 4.750% | 3/1/21 | 1,680 | 1,855 |
McKesson Corp. | 2.700% | 12/15/22 | 5,600 | 5,672 |
McKesson Corp. | 3.796% | 3/15/24 | 6,000 | 6,499 |
McKesson Corp. | 6.000% | 3/1/41 | 5,425 | 6,858 |
McKesson Corp. | 4.883% | 3/15/44 | 2,650 | 3,026 |
Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 2,309 | 2,537 |
Mead Johnson Nutrition Co. | 3.000% | 11/15/20 | 1,500 | 1,567 |
Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 6,935 | 7,564 |
Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 5,535 | 6,748 |
Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 2,650 | 2,833 |
Medco Health Solutions Inc. | 7.125% | 3/15/18 | 9,080 | 9,910 |
Medco Health Solutions Inc. | 4.125% | 9/15/20 | 590 | 636 |
Medtronic Inc. | 1.500% | 3/15/18 | 5,890 | 5,940 |
Medtronic Inc. | 1.375% | 4/1/18 | 10,845 | 10,910 |
Medtronic Inc. | 5.600% | 3/15/19 | 1,000 | 1,116 |
Medtronic Inc. | 2.500% | 3/15/20 | 16,467 | 17,079 |
Medtronic Inc. | 4.125% | 3/15/21 | 590 | 650 |
Medtronic Inc. | 3.125% | 3/15/22 | 16,080 | 17,117 |
Medtronic Inc. | 3.150% | 3/15/22 | 18,125 | 19,319 |
Medtronic Inc. | 3.625% | 3/15/24 | 5,000 | 5,496 |
Medtronic Inc. | 3.500% | 3/15/25 | 21,700 | 23,732 |
Medtronic Inc. | 4.375% | 3/15/35 | 22,517 | 25,438 |
Medtronic Inc. | 6.500% | 3/15/39 | 500 | 700 |
Medtronic Inc. | 5.550% | 3/15/40 | 1,725 | 2,185 |
Medtronic Inc. | 4.500% | 3/15/42 | 7,419 | 8,412 |
Medtronic Inc. | 4.625% | 3/15/44 | 2,588 | 3,031 |
Medtronic Inc. | 4.625% | 3/15/45 | 23,065 | 27,002 |
Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 1,700 | 1,929 |
Memorial Sloan-Kettering Cancer Center | ||||
New York GO | 5.000% | 7/1/42 | 700 | 878 |
Memorial Sloan-Kettering Cancer Center | ||||
New York GO | 4.125% | 7/1/52 | 4,075 | 4,541 |
Merck & Co. Inc. | 1.100% | 1/31/18 | 3,375 | 3,389 |
Merck & Co. Inc. | 1.300% | 5/18/18 | 3,200 | 3,231 |
Merck & Co. Inc. | 1.850% | 2/10/20 | 7,000 | 7,159 |
Merck & Co. Inc. | 3.875% | 1/15/21 | 3,375 | 3,702 |
Merck & Co. Inc. | 2.350% | 2/10/22 | 6,900 | 7,111 |
Merck & Co. Inc. | 2.400% | 9/15/22 | 10,820 | 11,133 |
Merck & Co. Inc. | 2.800% | 5/18/23 | 8,500 | 8,898 |
Merck & Co. Inc. | 2.750% | 2/10/25 | 8,000 | 8,372 |
Merck & Co. Inc. | 6.500% | 12/1/33 | 4,172 | 5,847 |
Merck & Co. Inc. | 6.550% | 9/15/37 | 3,465 | 4,998 |
Merck & Co. Inc. | 3.600% | 9/15/42 | 3,230 | 3,308 |
Merck & Co. Inc. | 4.150% | 5/18/43 | 8,025 | 8,990 |
Merck & Co. Inc. | 3.700% | 2/10/45 | 13,459 | 14,146 |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 12,845 | 14,282 |
Merck Sharp & Dohme Corp. | 5.750% | 11/15/36 | 3,900 | 5,024 |
Molson Coors Brewing Co. | 1.450% | 7/15/19 | 1,750 | 1,754 |
Molson Coors Brewing Co. | 2.100% | 7/15/21 | 3,000 | 3,014 |
Molson Coors Brewing Co. | 3.500% | 5/1/22 | 1,050 | 1,115 |
Molson Coors Brewing Co. | 3.000% | 7/15/26 | 8,000 | 8,003 |
Molson Coors Brewing Co. | 5.000% | 5/1/42 | 5,625 | 6,293 |
Molson Coors Brewing Co. | 4.200% | 7/15/46 | 5,175 | 5,211 |
Mondelez International Inc. | 6.500% | 8/11/17 | 6,215 | 6,575 |
Mondelez International Inc. | 6.125% | 2/1/18 | 4,290 | 4,617 |
94
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Mondelez International Inc. | 6.125% | 8/23/18 | 2,500 | 2,746 |
Mondelez International Inc. | 2.250% | 2/1/19 | 2,500 | 2,561 |
Mondelez International Inc. | 5.375% | 2/10/20 | 5,386 | 6,119 |
Mondelez International Inc. | 4.000% | 2/1/24 | 12,135 | 13,274 |
Mondelez International Inc. | 6.500% | 11/1/31 | 4,086 | 5,412 |
Mondelez International Inc. | 6.500% | 2/9/40 | 5,015 | 6,900 |
Mylan Inc. | 2.600% | 6/24/18 | 2,058 | 2,084 |
Mylan Inc. | 2.550% | 3/28/19 | 5,462 | 5,529 |
Mylan Inc. | 4.200% | 11/29/23 | 9,685 | 10,210 |
Mylan Inc. | 5.400% | 11/29/43 | 2,420 | 2,579 |
7 Mylan NV | 2.500% | 6/7/19 | 3,800 | 3,832 |
7 Mylan NV | 3.150% | 6/15/21 | 8,000 | 8,079 |
7 Mylan NV | 3.950% | 6/15/26 | 9,025 | 9,073 |
New York & Presbyterian Hospital | 3.563% | 8/1/36 | 1,300 | 1,368 |
New York & Presbyterian Hospital | 4.024% | 8/1/45 | 4,390 | 4,783 |
New York & Presbyterian Hospital | 4.063% | 8/1/56 | 2,000 | 2,156 |
New York & Presbyterian Hospital | 4.763% | 8/1/16 | 1,920 | 2,027 |
Newell Brands Inc. | 2.050% | 12/1/17 | 2,725 | 2,746 |
Newell Brands Inc. | 2.150% | 10/15/18 | 1,600 | 1,623 |
Newell Brands Inc. | 2.600% | 3/29/19 | 4,125 | 4,233 |
Newell Brands Inc. | 2.875% | 12/1/19 | 3,500 | 3,606 |
Newell Brands Inc. | 3.150% | 4/1/21 | 5,330 | 5,553 |
Newell Brands Inc. | 4.000% | 6/15/22 | 5,580 | 5,871 |
Newell Brands Inc. | 3.850% | 4/1/23 | 10,350 | 10,983 |
Newell Brands Inc. | 4.000% | 12/1/24 | 5,350 | 5,593 |
Newell Brands Inc. | 3.900% | 11/1/25 | 2,325 | 2,428 |
Newell Brands Inc. | 4.200% | 4/1/26 | 12,295 | 13,311 |
Newell Brands Inc. | 5.375% | 4/1/36 | 3,200 | 3,687 |
Newell Brands Inc. | 5.500% | 4/1/46 | 11,600 | 13,810 |
Novant Health Inc. | 5.850% | 11/1/19 | 2,125 | 2,417 |
Novant Health Inc. | 4.371% | 11/1/43 | 1,500 | 1,715 |
Novartis Capital Corp. | 2.400% | 9/21/22 | 21,825 | 22,687 |
Novartis Capital Corp. | 3.000% | 11/20/25 | 9,750 | 10,352 |
Novartis Capital Corp. | 3.700% | 9/21/42 | 2,575 | 2,758 |
Novartis Capital Corp. | 4.400% | 5/6/44 | 12,415 | 15,010 |
Novartis Capital Corp. | 4.000% | 11/20/45 | 6,950 | 7,899 |
Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 10,540 | 11,629 |
NYU Hospitals Center | 4.784% | 7/1/44 | 3,325 | 3,805 |
Owens & Minor Inc. | 4.375% | 12/15/24 | 1,650 | 1,679 |
Partners Healthcare System Inc. | 4.117% | 7/1/55 | 1,500 | 1,679 |
Partners Healthcare System Massachusetts GO | 3.443% | 7/1/21 | 1,700 | 1,811 |
PepsiCo Inc. | 1.125% | 7/17/17 | 3,500 | 3,509 |
PepsiCo Inc. | 1.250% | 8/13/17 | 8,900 | 8,940 |
PepsiCo Inc. | 1.000% | 10/13/17 | 2,500 | 2,509 |
PepsiCo Inc. | 1.250% | 4/30/18 | 3,100 | 3,117 |
PepsiCo Inc. | 5.000% | 6/1/18 | 11,125 | 11,970 |
PepsiCo Inc. | 7.900% | 11/1/18 | 1,575 | 1,820 |
PepsiCo Inc. | 2.250% | 1/7/19 | 9,350 | 9,628 |
PepsiCo Inc. | 4.500% | 1/15/20 | 2,800 | 3,100 |
PepsiCo Inc. | 1.850% | 4/30/20 | 10,100 | 10,248 |
PepsiCo Inc. | 2.150% | 10/14/20 | 11,450 | 11,760 |
PepsiCo Inc. | 3.125% | 11/1/20 | 5,425 | 5,804 |
PepsiCo Inc. | 3.000% | 8/25/21 | 12,420 | 13,234 |
PepsiCo Inc. | 2.750% | 3/5/22 | 13,050 | 13,677 |
PepsiCo Inc. | 3.100% | 7/17/22 | 3,425 | 3,650 |
95
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
PepsiCo Inc. | 2.750% | 3/1/23 | 6,750 | 7,066 |
PepsiCo Inc. | 3.600% | 3/1/24 | 1,200 | 1,319 |
PepsiCo Inc. | 2.750% | 4/30/25 | 6,300 | 6,507 |
PepsiCo Inc. | 3.500% | 7/17/25 | 3,425 | 3,739 |
PepsiCo Inc. | 5.500% | 1/15/40 | 8,075 | 10,347 |
PepsiCo Inc. | 4.875% | 11/1/40 | 6,625 | 7,915 |
PepsiCo Inc. | 4.000% | 3/5/42 | 7,600 | 8,134 |
PepsiCo Inc. | 3.600% | 8/13/42 | 250 | 252 |
PepsiCo Inc. | 4.250% | 10/22/44 | 3,525 | 3,923 |
PepsiCo Inc. | 4.600% | 7/17/45 | 4,660 | 5,534 |
PepsiCo Inc. | 4.450% | 4/14/46 | 4,000 | 4,643 |
PerkinElmer Inc. | 5.000% | 11/15/21 | 2,160 | 2,396 |
Perrigo Co. plc | 2.300% | 11/8/18 | 5,310 | 5,359 |
Perrigo Co. plc | 4.000% | 11/15/23 | 4,216 | 4,356 |
Perrigo Co. plc | 5.300% | 11/15/43 | 3,575 | 3,767 |
Perrigo Finance Unlimited Co. | 3.500% | 3/15/21 | 2,800 | 2,910 |
Perrigo Finance Unlimited Co. | 3.500% | 12/15/21 | 4,000 | 4,150 |
Perrigo Finance Unlimited Co. | 3.900% | 12/15/24 | 1,800 | 1,836 |
Perrigo Finance Unlimited Co. | 4.375% | 3/15/26 | 5,000 | 5,224 |
Perrigo Finance Unlimited Co. | 4.900% | 12/15/44 | 2,300 | 2,290 |
Pfizer Inc. | 1.200% | 6/1/18 | 6,250 | 6,280 |
Pfizer Inc. | 1.500% | 6/15/18 | 80 | 81 |
Pfizer Inc. | 6.200% | 3/15/19 | 23,670 | 26,739 |
Pfizer Inc. | 2.100% | 5/15/19 | 6,000 | 6,139 |
Pfizer Inc. | 1.450% | 6/3/19 | 10,500 | 10,589 |
Pfizer Inc. | 1.950% | 6/3/21 | 11,750 | 11,914 |
Pfizer Inc. | 3.400% | 5/15/24 | 650 | 710 |
Pfizer Inc. | 2.750% | 6/3/26 | 3,525 | 3,625 |
Pfizer Inc. | 7.200% | 3/15/39 | 11,540 | 17,566 |
Pfizer Inc. | 4.300% | 6/15/43 | 8,706 | 9,769 |
Pfizer Inc. | 4.400% | 5/15/44 | 5,700 | 6,521 |
Pharmacia Corp. | 6.500% | 12/1/18 | 6,000 | 6,752 |
Pharmacia Corp. | 6.600% | 12/1/28 | 4,548 | 6,259 |
Philip Morris International Inc. | 1.250% | 8/11/17 | 1,875 | 1,883 |
Philip Morris International Inc. | 1.125% | 8/21/17 | 5,275 | 5,288 |
Philip Morris International Inc. | 1.250% | 11/9/17 | 8,660 | 8,694 |
Philip Morris International Inc. | 5.650% | 5/16/18 | 11,390 | 12,365 |
Philip Morris International Inc. | 4.500% | 3/26/20 | 375 | 418 |
Philip Morris International Inc. | 1.875% | 2/25/21 | 10,000 | 10,112 |
Philip Morris International Inc. | 4.125% | 5/17/21 | 4,458 | 4,964 |
Philip Morris International Inc. | 2.900% | 11/15/21 | 3,500 | 3,695 |
Philip Morris International Inc. | 2.500% | 8/22/22 | 3,000 | 3,084 |
Philip Morris International Inc. | 2.625% | 3/6/23 | 2,500 | 2,587 |
Philip Morris International Inc. | 2.125% | 5/10/23 | 3,430 | 3,435 |
Philip Morris International Inc. | 3.600% | 11/15/23 | 1,300 | 1,427 |
Philip Morris International Inc. | 3.250% | 11/10/24 | 4,000 | 4,282 |
Philip Morris International Inc. | 3.375% | 8/11/25 | 2,850 | 3,089 |
Philip Morris International Inc. | 2.750% | 2/25/26 | 4,100 | 4,228 |
Philip Morris International Inc. | 6.375% | 5/16/38 | 5,600 | 7,736 |
Philip Morris International Inc. | 4.375% | 11/15/41 | 5,418 | 5,938 |
Philip Morris International Inc. | 4.500% | 3/20/42 | 6,290 | 7,061 |
Philip Morris International Inc. | 3.875% | 8/21/42 | 4,089 | 4,206 |
Philip Morris International Inc. | 4.125% | 3/4/43 | 4,650 | 4,964 |
Philip Morris International Inc. | 4.875% | 11/15/43 | 10,050 | 11,949 |
Philip Morris International Inc. | 4.250% | 11/10/44 | 7,150 | 7,860 |
96
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
4 Procter & Gamble - Esop | 9.360% | 1/1/21 | 1,060 | 1,282 |
Procter & Gamble Co. | 4.700% | 2/15/19 | 8,215 | 8,997 |
Procter & Gamble Co. | 1.900% | 11/1/19 | 1,200 | 1,235 |
Procter & Gamble Co. | 1.850% | 2/2/21 | 3,400 | 3,482 |
Procter & Gamble Co. | 2.300% | 2/6/22 | 5,164 | 5,364 |
Procter & Gamble Co. | 3.100% | 8/15/23 | 3,800 | 4,122 |
Procter & Gamble Co. | 6.450% | 1/15/26 | 7,750 | 10,523 |
Procter & Gamble Co. | 2.700% | 2/2/26 | 3,500 | 3,698 |
Procter & Gamble Co. | 5.500% | 2/1/34 | 5,000 | 6,706 |
Procter & Gamble Co. | 5.550% | 3/5/37 | 9,300 | 12,916 |
Quest Diagnostics Inc. | 2.700% | 4/1/19 | 1,475 | 1,516 |
Quest Diagnostics Inc. | 4.750% | 1/30/20 | 2,500 | 2,743 |
Quest Diagnostics Inc. | 2.500% | 3/30/20 | 2,250 | 2,268 |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 1,335 | 1,472 |
Quest Diagnostics Inc. | 4.250% | 4/1/24 | 3,300 | 3,572 |
Quest Diagnostics Inc. | 3.500% | 3/30/25 | 1,250 | 1,291 |
Quest Diagnostics Inc. | 3.450% | 6/1/26 | 2,900 | 2,992 |
Quest Diagnostics Inc. | 5.750% | 1/30/40 | 876 | 1,020 |
Quest Diagnostics Inc. | 4.700% | 3/30/45 | 1,250 | 1,313 |
Reynolds American Inc. | 2.300% | 8/21/17 | 5,100 | 5,161 |
Reynolds American Inc. | 2.300% | 6/12/18 | 8,001 | 8,130 |
Reynolds American Inc. | 8.125% | 6/23/19 | 2,825 | 3,352 |
Reynolds American Inc. | 3.250% | 6/12/20 | 5,465 | 5,777 |
Reynolds American Inc. | 4.000% | 6/12/22 | 5,100 | 5,536 |
Reynolds American Inc. | 4.850% | 9/15/23 | 845 | 965 |
Reynolds American Inc. | 4.450% | 6/12/25 | 18,300 | 20,449 |
Reynolds American Inc. | 5.700% | 8/15/35 | 4,820 | 5,869 |
Reynolds American Inc. | 7.250% | 6/15/37 | 875 | 1,190 |
Reynolds American Inc. | 8.125% | 5/1/40 | 2,239 | 3,111 |
Reynolds American Inc. | 7.000% | 8/4/41 | 2,040 | 2,570 |
Reynolds American Inc. | 5.850% | 8/15/45 | 13,240 | 16,909 |
Sanofi | 1.250% | 4/10/18 | 5,000 | 5,032 |
Sanofi | 4.000% | 3/29/21 | 12,865 | 14,203 |
Southern Baptist Hospital of Florida Inc. | 4.857% | 7/15/45 | 1,150 | 1,407 |
St. Jude Medical Inc. | 2.000% | 9/15/18 | 2,700 | 2,738 |
St. Jude Medical Inc. | 2.800% | 9/15/20 | 2,700 | 2,789 |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 5,825 | 6,009 |
St. Jude Medical Inc. | 3.875% | 9/15/25 | 2,625 | 2,801 |
St. Jude Medical Inc. | 4.750% | 4/15/43 | 4,325 | 4,605 |
Stryker Corp. | 2.000% | 3/8/19 | 3,600 | 3,653 |
Stryker Corp. | 4.375% | 1/15/20 | 700 | 763 |
Stryker Corp. | 2.625% | 3/15/21 | 6,250 | 6,463 |
Stryker Corp. | 3.375% | 5/15/24 | 9,500 | 10,037 |
Stryker Corp. | 3.375% | 11/1/25 | 7,090 | 7,449 |
Stryker Corp. | 3.500% | 3/15/26 | 7,707 | 8,165 |
Stryker Corp. | 4.375% | 5/15/44 | 400 | 425 |
Stryker Corp. | 4.625% | 3/15/46 | 13,175 | 14,773 |
Sysco Corp. | 5.250% | 2/12/18 | 3,895 | 4,134 |
Sysco Corp. | 1.900% | 4/1/19 | 2,900 | 2,935 |
Sysco Corp. | 2.600% | 10/1/20 | 6,800 | 6,995 |
Sysco Corp. | 2.500% | 7/15/21 | 1,825 | 1,864 |
Sysco Corp. | 2.600% | 6/12/22 | 2,325 | 2,367 |
Sysco Corp. | 3.750% | 10/1/25 | 2,575 | 2,774 |
Sysco Corp. | 3.300% | 7/15/26 | 5,750 | 5,967 |
Sysco Corp. | 5.375% | 9/21/35 | 1,648 | 1,962 |
97
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Sysco Corp. | 4.500% | 4/1/46 | 3,325 | 3,547 |
Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 5,889 | 6,248 |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 8,474 | 8,601 |
Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 1,362 | 1,632 |
Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 1,328 | 1,414 |
Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 10,075 | 10,166 |
4 Texas Health Resources | 4.330% | 11/15/55 | 900 | 1,014 |
The Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 3,875 | 5,560 |
Thermo Fisher Scientific Inc. | 1.850% | 1/15/18 | 3,500 | 3,524 |
Thermo Fisher Scientific Inc. | 2.150% | 12/14/18 | 2,500 | 2,529 |
Thermo Fisher Scientific Inc. | 2.400% | 2/1/19 | 245 | 250 |
Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 525 | 577 |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 7,950 | 8,761 |
Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 6,750 | 7,166 |
Thermo Fisher Scientific Inc. | 3.300% | 2/15/22 | 3,845 | 3,990 |
Thermo Fisher Scientific Inc. | 3.150% | 1/15/23 | 2,950 | 3,017 |
Thermo Fisher Scientific Inc. | 3.000% | 4/15/23 | 6,000 | 6,113 |
Thermo Fisher Scientific Inc. | 4.150% | 2/1/24 | 275 | 302 |
Thermo Fisher Scientific Inc. | 3.650% | 12/15/25 | 6,475 | 6,800 |
Thermo Fisher Scientific Inc. | 5.300% | 2/1/44 | 4,810 | 5,549 |
Trinity Health Corp. | 4.125% | 12/1/45 | 1,995 | 2,214 |
Tupperware Brands Corp. | 4.750% | 6/1/21 | 2,750 | 2,960 |
Tyson Foods Inc. | 2.650% | 8/15/19 | 6,425 | 6,610 |
Tyson Foods Inc. | 4.500% | 6/15/22 | 6,350 | 7,076 |
Tyson Foods Inc. | 3.950% | 8/15/24 | 5,750 | 6,207 |
Tyson Foods Inc. | 4.875% | 8/15/34 | 6,305 | 6,986 |
Tyson Foods Inc. | 5.150% | 8/15/44 | 3,050 | 3,520 |
Unilever Capital Corp. | 0.850% | 8/2/17 | 9,885 | 9,881 |
Unilever Capital Corp. | 4.800% | 2/15/19 | 200 | 219 |
Unilever Capital Corp. | 2.200% | 3/6/19 | 4,205 | 4,328 |
Unilever Capital Corp. | 4.250% | 2/10/21 | 10,310 | 11,514 |
Unilever Capital Corp. | 3.100% | 7/30/25 | 2,700 | 2,949 |
Unilever Capital Corp. | 5.900% | 11/15/32 | 2,725 | 3,784 |
Whirlpool Corp. | 1.650% | 11/1/17 | 5,440 | 5,474 |
Whirlpool Corp. | 2.400% | 3/1/19 | 1,000 | 1,022 |
Whirlpool Corp. | 4.850% | 6/15/21 | 1,625 | 1,825 |
Whirlpool Corp. | 4.700% | 6/1/22 | 4,325 | 4,826 |
Whirlpool Corp. | 4.000% | 3/1/24 | 2,500 | 2,713 |
Whirlpool Corp. | 3.700% | 5/1/25 | 2,400 | 2,551 |
Whirlpool Corp. | 5.150% | 3/1/43 | 1,275 | 1,441 |
Whirlpool Corp. | 4.500% | 6/1/46 | 4,425 | 4,617 |
7 Whole Foods Market Inc. | 5.200% | 12/3/25 | 9,525 | 10,125 |
Wyeth LLC | 7.250% | 3/1/23 | 2,000 | 2,623 |
Wyeth LLC | 6.450% | 2/1/24 | 2,775 | 3,563 |
Wyeth LLC | 6.500% | 2/1/34 | 3,425 | 4,683 |
Wyeth LLC | 6.000% | 2/15/36 | 1,680 | 2,241 |
Wyeth LLC | 5.950% | 4/1/37 | 15,460 | 20,602 |
Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 2,000 | 2,591 |
Zimmer Biomet Holdings Inc. | 2.000% | 4/1/18 | 4,000 | 4,033 |
Zimmer Biomet Holdings Inc. | 4.625% | 11/30/19 | 2,745 | 2,984 |
Zimmer Biomet Holdings Inc. | 2.700% | 4/1/20 | 8,784 | 8,874 |
Zimmer Biomet Holdings Inc. | 3.375% | 11/30/21 | 1,550 | 1,619 |
Zimmer Biomet Holdings Inc. | 3.150% | 4/1/22 | 5,400 | 5,533 |
Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 11,475 | 11,818 |
Zimmer Biomet Holdings Inc. | 4.250% | 8/15/35 | 5,400 | 5,422 |
98
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Zimmer Biomet Holdings Inc. | 5.750% | 11/30/39 | 4,750 | 5,612 |
Zimmer Biomet Holdings Inc. | 4.450% | 8/15/45 | 3,850 | 3,914 |
Zoetis Inc. | 1.875% | 2/1/18 | 5,350 | 5,367 |
Zoetis Inc. | 3.450% | 11/13/20 | 3,100 | 3,229 |
Zoetis Inc. | 3.250% | 2/1/23 | 10,200 | 10,385 |
Zoetis Inc. | 4.500% | 11/13/25 | 3,040 | 3,343 |
Zoetis Inc. | 4.700% | 2/1/43 | 2,240 | 2,217 |
Energy (2.7%) | ||||
Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 372 | 371 |
Anadarko Finance Co. | 7.500% | 5/1/31 | 7,275 | 8,690 |
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 916 | 964 |
Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 3,845 | 4,386 |
Anadarko Petroleum Corp. | 6.950% | 6/15/19 | 675 | 748 |
Anadarko Petroleum Corp. | 4.850% | 3/15/21 | 4,100 | 4,351 |
Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 345 | 337 |
Anadarko Petroleum Corp. | 5.550% | 3/15/26 | 22,770 | 25,205 |
Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 13,980 | 15,990 |
Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 200 | 248 |
Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 4,250 | 4,761 |
Anadarko Petroleum Corp. | 6.600% | 3/15/46 | 3,950 | 4,766 |
Apache Corp. | 6.900% | 9/15/18 | 4,745 | 5,220 |
Apache Corp. | 3.625% | 2/1/21 | 6,560 | 6,844 |
Apache Corp. | 3.250% | 4/15/22 | 2,201 | 2,270 |
Apache Corp. | 6.000% | 1/15/37 | 8,375 | 9,556 |
Apache Corp. | 5.100% | 9/1/40 | 14,075 | 14,730 |
Apache Corp. | 5.250% | 2/1/42 | 340 | 361 |
Apache Corp. | 4.750% | 4/15/43 | 7,424 | 7,591 |
Apache Corp. | 4.250% | 1/15/44 | 4,350 | 4,211 |
Apache Finance Canada Corp. | 7.750% | 12/15/29 | 350 | 445 |
Baker Hughes Inc. | 3.200% | 8/15/21 | 9,595 | 10,074 |
Baker Hughes Inc. | 5.125% | 9/15/40 | 5,490 | 6,138 |
Boardwalk Pipelines LP | 5.750% | 9/15/19 | 7,545 | 7,947 |
Boardwalk Pipelines LP | 3.375% | 2/1/23 | 2,150 | 1,972 |
Boardwalk Pipelines LP | 4.950% | 12/15/24 | 575 | 566 |
Boardwalk Pipelines LP | 5.950% | 6/1/26 | 7,500 | 7,880 |
BP Capital Markets plc | 1.625% | 8/17/17 | 325 | 327 |
BP Capital Markets plc | 1.375% | 11/6/17 | 950 | 953 |
BP Capital Markets plc | 1.674% | 2/13/18 | 8,775 | 8,844 |
BP Capital Markets plc | 1.375% | 5/10/18 | 4,000 | 4,007 |
BP Capital Markets plc | 2.241% | 9/26/18 | 6,650 | 6,783 |
BP Capital Markets plc | 4.750% | 3/10/19 | 5,675 | 6,149 |
BP Capital Markets plc | 1.676% | 5/3/19 | 2,100 | 2,117 |
BP Capital Markets plc | 2.237% | 5/10/19 | 6,000 | 6,151 |
BP Capital Markets plc | 2.521% | 1/15/20 | 3,205 | 3,300 |
BP Capital Markets plc | 2.315% | 2/13/20 | 16,650 | 17,038 |
BP Capital Markets plc | 4.500% | 10/1/20 | 11,578 | 12,809 |
BP Capital Markets plc | 4.742% | 3/11/21 | 8,965 | 10,078 |
BP Capital Markets plc | 3.561% | 11/1/21 | 17,520 | 18,833 |
BP Capital Markets plc | 3.062% | 3/17/22 | 3,900 | 4,065 |
BP Capital Markets plc | 3.245% | 5/6/22 | 9,575 | 10,068 |
BP Capital Markets plc | 2.500% | 11/6/22 | 7,675 | 7,739 |
BP Capital Markets plc | 2.750% | 5/10/23 | 20,115 | 20,259 |
BP Capital Markets plc | 3.994% | 9/26/23 | 2,700 | 2,921 |
BP Capital Markets plc | 3.814% | 2/10/24 | 2,000 | 2,144 |
99
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
BP Capital Markets plc | 3.535% | 11/4/24 | 7,725 | 8,147 |
BP Capital Markets plc | 3.506% | 3/17/25 | 2,675 | 2,829 |
BP Capital Markets plc | 3.119% | 5/4/26 | 7,000 | 7,127 |
Buckeye Partners LP | 6.050% | 1/15/18 | 825 | 871 |
Buckeye Partners LP | 2.650% | 11/15/18 | 4,175 | 4,204 |
Buckeye Partners LP | 4.150% | 7/1/23 | 2,650 | 2,636 |
Buckeye Partners LP | 5.850% | 11/15/43 | 3,525 | 3,430 |
Buckeye Partners LP | 5.600% | 10/15/44 | 900 | 845 |
Burlington Resources Finance Co. | 7.200% | 8/15/31 | 9,562 | 12,097 |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 2,550 | 3,350 |
Canadian Natural Resources Ltd. | 1.750% | 1/15/18 | 7,925 | 7,829 |
Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 615 | 616 |
Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 9,645 | 9,450 |
Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 2,175 | 2,420 |
Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 2,325 | 2,532 |
Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 350 | 357 |
Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 7,000 | 7,621 |
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 3,243 | 3,527 |
Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 1,000 | 1,105 |
Chevron Corp. | 1.344% | 11/9/17 | 10,000 | 10,041 |
Chevron Corp. | 1.345% | 11/15/17 | 10,750 | 10,804 |
Chevron Corp. | 1.104% | 12/5/17 | 2,775 | 2,780 |
Chevron Corp. | 1.365% | 3/2/18 | 4,275 | 4,298 |
Chevron Corp. | 1.718% | 6/24/18 | 12,575 | 12,693 |
Chevron Corp. | 1.790% | 11/16/18 | 12,000 | 12,160 |
Chevron Corp. | 4.950% | 3/3/19 | 2,750 | 3,013 |
Chevron Corp. | 1.561% | 5/16/19 | 8,000 | 8,082 |
Chevron Corp. | 2.193% | 11/15/19 | 11,850 | 12,171 |
Chevron Corp. | 1.961% | 3/3/20 | 13,075 | 13,245 |
Chevron Corp. | 2.419% | 11/17/20 | 8,000 | 8,247 |
Chevron Corp. | 2.100% | 5/16/21 | 9,000 | 9,166 |
Chevron Corp. | 2.411% | 3/3/22 | 5,150 | 5,248 |
Chevron Corp. | 2.355% | 12/5/22 | 8,700 | 8,836 |
Chevron Corp. | 3.191% | 6/24/23 | 15,330 | 16,250 |
Chevron Corp. | 2.954% | 5/16/26 | 13,500 | 13,943 |
Cimarex Energy Co. | 5.875% | 5/1/22 | 300 | 314 |
Cimarex Energy Co. | 4.375% | 6/1/24 | 3,900 | 4,094 |
Columbia Pipeline Group Inc. | 2.450% | 6/1/18 | 6,607 | 6,635 |
Columbia Pipeline Group Inc. | 3.300% | 6/1/20 | 1,750 | 1,811 |
Columbia Pipeline Group Inc. | 4.500% | 6/1/25 | 6,195 | 6,633 |
Columbia Pipeline Group Inc. | 5.800% | 6/1/45 | 3,300 | 3,811 |
Conoco Funding Co. | 7.250% | 10/15/31 | 1,475 | 1,884 |
ConocoPhillips | 6.650% | 7/15/18 | 2,475 | 2,697 |
ConocoPhillips | 5.750% | 2/1/19 | 8,690 | 9,549 |
ConocoPhillips | 6.000% | 1/15/20 | 2,885 | 3,275 |
ConocoPhillips | 5.900% | 10/15/32 | 725 | 850 |
ConocoPhillips | 5.900% | 5/15/38 | 2,320 | 2,775 |
ConocoPhillips | 6.500% | 2/1/39 | 13,763 | 17,702 |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 5,471 | 6,476 |
ConocoPhillips Co. | 1.050% | 12/15/17 | 3,700 | 3,682 |
ConocoPhillips Co. | 1.500% | 5/15/18 | 4,100 | 4,112 |
ConocoPhillips Co. | 2.200% | 5/15/20 | 1,450 | 1,463 |
ConocoPhillips Co. | 4.200% | 3/15/21 | 5,000 | 5,403 |
ConocoPhillips Co. | 2.875% | 11/15/21 | 6,145 | 6,265 |
ConocoPhillips Co. | 3.350% | 11/15/24 | 2,847 | 2,932 |
100
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
ConocoPhillips Co. | 4.950% | 3/15/26 | 23,335 | 26,454 |
ConocoPhillips Co. | 4.150% | 11/15/34 | 5,450 | 5,448 |
ConocoPhillips Co. | 4.300% | 11/15/44 | 6,275 | 6,344 |
ConocoPhillips Co. | 5.950% | 3/15/46 | 4,000 | 4,981 |
ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 3,150 | 3,930 |
Devon Energy Corp. | 6.300% | 1/15/19 | 3,275 | 3,537 |
Devon Energy Corp. | 4.000% | 7/15/21 | 1,800 | 1,823 |
Devon Energy Corp. | 3.250% | 5/15/22 | 13,020 | 12,625 |
Devon Energy Corp. | 7.950% | 4/15/32 | 4,850 | 5,683 |
Devon Energy Corp. | 5.600% | 7/15/41 | 4,245 | 4,094 |
Devon Energy Corp. | 4.750% | 5/15/42 | 10,900 | 9,706 |
Devon Energy Corp. | 5.000% | 6/15/45 | 5,000 | 4,652 |
Devon Financing Co. LLC | 7.875% | 9/30/31 | 8,125 | 9,422 |
Dominion Gas Holdings LLC | 2.800% | 11/15/20 | 2,000 | 2,070 |
Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 10,179 | 10,746 |
Dominion Gas Holdings LLC | 3.600% | 12/15/24 | 1,700 | 1,802 |
Dominion Gas Holdings LLC | 4.800% | 11/1/43 | 5,250 | 5,693 |
Dominion Gas Holdings LLC | 4.600% | 12/15/44 | 2,150 | 2,272 |
Enable Midstream Partners LP | 2.400% | 5/15/19 | 2,600 | 2,438 |
Enable Midstream Partners LP | 3.900% | 5/15/24 | 6,000 | 5,348 |
Enable Midstream Partners LP | 5.000% | 5/15/44 | 1,025 | 805 |
Enbridge Energy Partners LP | 9.875% | 3/1/19 | 4,430 | 5,094 |
Enbridge Energy Partners LP | 5.200% | 3/15/20 | 475 | 501 |
Enbridge Energy Partners LP | 4.200% | 9/15/21 | 5,300 | 5,438 |
Enbridge Energy Partners LP | 5.875% | 10/15/25 | 1,500 | 1,653 |
Enbridge Energy Partners LP | 7.500% | 4/15/38 | 5,850 | 6,885 |
Enbridge Energy Partners LP | 5.500% | 9/15/40 | 3,940 | 3,846 |
Enbridge Energy Partners LP | 7.375% | 10/15/45 | 2,000 | 2,440 |
Enbridge Inc. | 3.500% | 6/10/24 | 1,200 | 1,150 |
Enbridge Inc. | 4.500% | 6/10/44 | 2,725 | 2,384 |
Encana Corp. | 6.500% | 5/15/19 | 4,750 | 5,059 |
Encana Corp. | 3.900% | 11/15/21 | 3,500 | 3,408 |
Encana Corp. | 6.500% | 8/15/34 | 9,300 | 9,219 |
Encana Corp. | 6.625% | 8/15/37 | 4,005 | 4,015 |
Encana Corp. | 6.500% | 2/1/38 | 1,500 | 1,491 |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 948 | 1,009 |
Energy Transfer Partners LP | 9.700% | 3/15/19 | 1,296 | 1,474 |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 1,714 | 1,925 |
Energy Transfer Partners LP | 4.150% | 10/1/20 | 4,250 | 4,314 |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 3,227 | 3,339 |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 4,145 | 4,378 |
Energy Transfer Partners LP | 3.600% | 2/1/23 | 4,375 | 4,190 |
Energy Transfer Partners LP | 4.900% | 2/1/24 | 1,620 | 1,663 |
Energy Transfer Partners LP | 4.050% | 3/15/25 | 5,400 | 5,320 |
Energy Transfer Partners LP | 4.750% | 1/15/26 | 20,000 | 20,626 |
Energy Transfer Partners LP | 8.250% | 11/15/29 | 400 | 493 |
Energy Transfer Partners LP | 4.900% | 3/15/35 | 2,750 | 2,475 |
Energy Transfer Partners LP | 6.625% | 10/15/36 | 1,750 | 1,834 |
Energy Transfer Partners LP | 7.500% | 7/1/38 | 3,157 | 3,479 |
Energy Transfer Partners LP | 6.050% | 6/1/41 | 11,595 | 11,371 |
Energy Transfer Partners LP | 6.500% | 2/1/42 | 8,926 | 9,322 |
Energy Transfer Partners LP | 5.150% | 2/1/43 | 5,600 | 5,010 |
Energy Transfer Partners LP | 5.150% | 3/15/45 | 1,300 | 1,208 |
Energy Transfer Partners LP | 6.125% | 12/15/45 | 2,700 | 2,803 |
EnLink Midstream Partners LP | 2.700% | 4/1/19 | 1,350 | 1,303 |
101
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
EnLink Midstream Partners LP | 4.400% | 4/1/24 | 5,827 | 5,463 |
EnLink Midstream Partners LP | 4.150% | 6/1/25 | 925 | 860 |
EnLink Midstream Partners LP | 5.600% | 4/1/44 | 3,700 | 3,108 |
Enlink Midstream Partners LP | 5.050% | 4/1/45 | 440 | 361 |
Enterprise Products Operating LLC | 6.300% | 9/15/17 | 4,200 | 4,437 |
Enterprise Products Operating LLC | 6.650% | 4/15/18 | 1,900 | 2,064 |
Enterprise Products Operating LLC | 1.650% | 5/7/18 | 6,525 | 6,547 |
Enterprise Products Operating LLC | 6.500% | 1/31/19 | 7,000 | 7,826 |
Enterprise Products Operating LLC | 2.550% | 10/15/19 | 6,900 | 7,087 |
Enterprise Products Operating LLC | 5.200% | 9/1/20 | 8,600 | 9,668 |
Enterprise Products Operating LLC | 2.850% | 4/15/21 | 1,000 | 1,031 |
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 5,000 | 5,134 |
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 8,525 | 9,022 |
Enterprise Products Operating LLC | 3.750% | 2/15/25 | 15,025 | 15,775 |
Enterprise Products Operating LLC | 3.950% | 2/15/27 | 4,000 | 4,251 |
Enterprise Products Operating LLC | 6.875% | 3/1/33 | 5,323 | 6,508 |
Enterprise Products Operating LLC | 6.650% | 10/15/34 | 235 | 284 |
Enterprise Products Operating LLC | 7.550% | 4/15/38 | 3,130 | 4,075 |
Enterprise Products Operating LLC | 6.125% | 10/15/39 | 1,695 | 2,007 |
Enterprise Products Operating LLC | 6.450% | 9/1/40 | 2,425 | 2,972 |
Enterprise Products Operating LLC | 5.950% | 2/1/41 | 10,065 | 11,817 |
Enterprise Products Operating LLC | 5.700% | 2/15/42 | 2,425 | 2,843 |
Enterprise Products Operating LLC | 4.850% | 8/15/42 | 5,563 | 5,920 |
Enterprise Products Operating LLC | 4.450% | 2/15/43 | 13,517 | 13,574 |
Enterprise Products Operating LLC | 4.850% | 3/15/44 | 7,025 | 7,466 |
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 3,250 | 3,577 |
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 6,450 | 6,957 |
Enterprise Products Operating LLC | 4.950% | 10/15/54 | 2,125 | 2,179 |
EOG Resources Inc. | 5.875% | 9/15/17 | 2,200 | 2,317 |
EOG Resources Inc. | 4.400% | 6/1/20 | 1,880 | 2,037 |
EOG Resources Inc. | 4.100% | 2/1/21 | 9,450 | 10,255 |
EOG Resources Inc. | 2.625% | 3/15/23 | 12,900 | 12,853 |
EOG Resources Inc. | 3.150% | 4/1/25 | 400 | 408 |
EOG Resources Inc. | 4.150% | 1/15/26 | 1,500 | 1,643 |
EOG Resources Inc. | 3.900% | 4/1/35 | 2,900 | 2,903 |
EQT Corp. | 6.500% | 4/1/18 | 3,175 | 3,309 |
EQT Corp. | 8.125% | 6/1/19 | 5,725 | 6,307 |
EQT Corp. | 4.875% | 11/15/21 | 2,100 | 2,234 |
Exxon Mobil Corp. | 1.439% | 3/1/18 | 17,425 | 17,583 |
Exxon Mobil Corp. | 1.305% | 3/6/18 | 20,000 | 20,139 |
Exxon Mobil Corp. | 1.819% | 3/15/19 | 2,250 | 2,292 |
Exxon Mobil Corp. | 1.912% | 3/6/20 | 13,382 | 13,644 |
Exxon Mobil Corp. | 2.222% | 3/1/21 | 12,500 | 12,885 |
Exxon Mobil Corp. | 2.397% | 3/6/22 | 16,200 | 16,646 |
Exxon Mobil Corp. | 2.726% | 3/1/23 | 19,400 | 20,232 |
Exxon Mobil Corp. | 2.709% | 3/6/25 | 4,600 | 4,797 |
Exxon Mobil Corp. | 3.567% | 3/6/45 | 4,850 | 5,022 |
Exxon Mobil Corp. | 4.114% | 3/1/46 | 18,500 | 20,833 |
FMC Technologies Inc. | 2.000% | 10/1/17 | 2,500 | 2,476 |
FMC Technologies Inc. | 3.450% | 10/1/22 | 2,700 | 2,577 |
Gulf South Pipeline Co. LP | 4.000% | 6/15/22 | 1,725 | 1,653 |
Halliburton Co. | 2.000% | 8/1/18 | 4,125 | 4,155 |
Halliburton Co. | 5.900% | 9/15/18 | 1,005 | 1,091 |
Halliburton Co. | 6.150% | 9/15/19 | 800 | 908 |
Halliburton Co. | 3.250% | 11/15/21 | 4,235 | 4,395 |
102
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Halliburton Co. | 3.500% | 8/1/23 | 6,050 | 6,275 |
Halliburton Co. | 3.800% | 11/15/25 | 21,500 | 22,421 |
Halliburton Co. | 4.850% | 11/15/35 | 5,500 | 5,953 |
Halliburton Co. | 6.700% | 9/15/38 | 5,720 | 7,264 |
Halliburton Co. | 7.450% | 9/15/39 | 1,859 | 2,569 |
Halliburton Co. | 4.500% | 11/15/41 | 2,607 | 2,606 |
Halliburton Co. | 4.750% | 8/1/43 | 9,125 | 9,549 |
Halliburton Co. | 5.000% | 11/15/45 | 6,675 | 7,305 |
Hess Corp. | 8.125% | 2/15/19 | 9,579 | 10,698 |
Hess Corp. | 3.500% | 7/15/24 | 1,600 | 1,547 |
Hess Corp. | 7.875% | 10/1/29 | 1,900 | 2,264 |
Hess Corp. | 7.300% | 8/15/31 | 950 | 1,090 |
Hess Corp. | 7.125% | 3/15/33 | 2,050 | 2,267 |
Hess Corp. | 6.000% | 1/15/40 | 10,200 | 10,536 |
Hess Corp. | 5.600% | 2/15/41 | 8,830 | 8,826 |
Husky Energy Inc. | 6.150% | 6/15/19 | 200 | 215 |
Husky Energy Inc. | 7.250% | 12/15/19 | 2,020 | 2,272 |
Husky Energy Inc. | 3.950% | 4/15/22 | 1,300 | 1,323 |
Husky Energy Inc. | 4.000% | 4/15/24 | 4,500 | 4,586 |
Husky Energy Inc. | 6.800% | 9/15/37 | 4,710 | 5,406 |
Kerr-McGee Corp. | 6.950% | 7/1/24 | 5,505 | 6,367 |
Kerr-McGee Corp. | 7.875% | 9/15/31 | 875 | 1,038 |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 6,350 | 6,703 |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 13,350 | 13,345 |
Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 5,127 | 5,847 |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 10,075 | 11,281 |
Kinder Morgan Energy Partners LP | 6.500% | 4/1/20 | 9,961 | 10,990 |
Kinder Morgan Energy Partners LP | 5.300% | 9/15/20 | 1,400 | 1,499 |
Kinder Morgan Energy Partners LP | 5.000% | 10/1/21 | 7,265 | 7,699 |
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 4,426 | 4,490 |
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 9,440 | 9,562 |
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 7,200 | 7,002 |
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 8,783 | 8,606 |
Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 5,500 | 5,560 |
Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 1,980 | 2,162 |
Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 1,700 | 1,851 |
Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 6,150 | 6,456 |
Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 5,665 | 6,265 |
Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 6,925 | 7,245 |
Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 5,000 | 5,248 |
Kinder Morgan Energy Partners LP | 6.375% | 3/1/41 | 3,600 | 3,747 |
Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 5,500 | 5,336 |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 2,775 | 2,616 |
Kinder Morgan Energy Partners LP | 4.700% | 11/1/42 | 6,400 | 5,772 |
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 1,000 | 943 |
Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 1,000 | 1,001 |
Kinder Morgan Inc. | 2.000% | 12/1/17 | 2,750 | 2,736 |
Kinder Morgan Inc. | 6.500% | 9/15/20 | 1,500 | 1,656 |
Kinder Morgan Inc. | 4.300% | 6/1/25 | 12,000 | 12,281 |
Kinder Morgan Inc. | 7.800% | 8/1/31 | 2,730 | 3,075 |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 5,450 | 6,168 |
Kinder Morgan Inc. | 5.300% | 12/1/34 | 5,000 | 4,912 |
Kinder Morgan Inc. | 5.550% | 6/1/45 | 12,840 | 13,058 |
Kinder Morgan Inc. | 5.050% | 2/15/46 | 2,500 | 2,386 |
Magellan Midstream Partners LP | 6.550% | 7/15/19 | 6,750 | 7,621 |
103
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Magellan Midstream Partners LP | 4.250% | 2/1/21 | 3,950 | 4,271 | |
Magellan Midstream Partners LP | 5.000% | 3/1/26 | 4,500 | 5,094 | |
Magellan Midstream Partners LP | 6.400% | 5/1/37 | 1,000 | 1,179 | |
Magellan Midstream Partners LP | 4.200% | 12/1/42 | 525 | 501 | |
Magellan Midstream Partners LP | 5.150% | 10/15/43 | 1,625 | 1,749 | |
Magellan Midstream Partners LP | 4.200% | 3/15/45 | 800 | 755 | |
Marathon Oil Corp. | 6.000% | 10/1/17 | 17,510 | 18,176 | |
Marathon Oil Corp. | 5.900% | 3/15/18 | 1,228 | 1,277 | |
Marathon Oil Corp. | 2.700% | 6/1/20 | 2,090 | 1,965 | |
Marathon Oil Corp. | 2.800% | 11/1/22 | 7,600 | 6,878 | |
Marathon Oil Corp. | 3.850% | 6/1/25 | 1,310 | 1,199 | |
Marathon Oil Corp. | 6.800% | 3/15/32 | 2,670 | 2,723 | |
Marathon Oil Corp. | 6.600% | 10/1/37 | 5,000 | 5,038 | |
Marathon Oil Corp. | 5.200% | 6/1/45 | 3,850 | 3,369 | |
Marathon Petroleum Corp. | 2.700% | 12/14/18 | 5,000 | 5,110 | |
Marathon Petroleum Corp. | 3.400% | 12/15/20 | 2,700 | 2,791 | |
Marathon Petroleum Corp. | 5.125% | 3/1/21 | 5,900 | 6,488 | |
Marathon Petroleum Corp. | 3.625% | 9/15/24 | 5,150 | 5,060 | |
Marathon Petroleum Corp. | 6.500% | 3/1/41 | 9,939 | 10,596 | |
Marathon Petroleum Corp. | 4.750% | 9/15/44 | 1,176 | 1,002 | |
Marathon Petroleum Corp. | 5.000% | 9/15/54 | 2,050 | 1,714 | |
7 | MPLX LP | 4.500% | 7/15/23 | 11,100 | 10,795 |
7 | MPLX LP | 4.875% | 12/1/24 | 11,692 | 11,400 |
7 | MPLX LP | 4.875% | 6/1/25 | 3,000 | 2,925 |
Nabors Industries Inc. | 6.150% | 2/15/18 | 8,945 | 9,124 | |
Nabors Industries Inc. | 9.250% | 1/15/19 | 875 | 930 | |
Nabors Industries Inc. | 5.000% | 9/15/20 | 5,985 | 5,633 | |
Nabors Industries Inc. | 4.625% | 9/15/21 | 3,500 | 3,203 | |
National Fuel Gas Co. | 6.500% | 4/15/18 | 5,129 | 5,449 | |
National Fuel Gas Co. | 8.750% | 5/1/19 | 1,500 | 1,701 | |
National Oilwell Varco Inc. | 1.350% | 12/1/17 | 1,875 | 1,862 | |
National Oilwell Varco Inc. | 2.600% | 12/1/22 | 22,015 | 20,534 | |
National Oilwell Varco Inc. | 3.950% | 12/1/42 | 3,600 | 2,847 | |
Noble Energy Inc. | 8.250% | 3/1/19 | 7,923 | 9,073 | |
Noble Energy Inc. | 4.150% | 12/15/21 | 10,300 | 10,847 | |
Noble Energy Inc. | 8.000% | 4/1/27 | 4,895 | 5,796 | |
Noble Energy Inc. | 6.000% | 3/1/41 | 2,300 | 2,502 | |
Noble Energy Inc. | 5.250% | 11/15/43 | 7,560 | 7,678 | |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 4,650 | 4,667 | |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 10,560 | 11,581 | |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 7,640 | 7,997 | |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 5,125 | 5,223 | |
Occidental Petroleum Corp. | 3.500% | 6/15/25 | 10,500 | 11,176 | |
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 8,000 | 8,439 | |
Occidental Petroleum Corp. | 4.625% | 6/15/45 | 2,800 | 3,175 | |
Occidental Petroleum Corp. | 4.400% | 4/15/46 | 5,000 | 5,501 | |
Oceaneering International Inc. | 4.650% | 11/15/24 | 2,150 | 2,066 | |
ONEOK Partners LP | 3.200% | 9/15/18 | 4,400 | 4,451 | |
ONEOK Partners LP | 3.375% | 10/1/22 | 12,425 | 12,207 | |
ONEOK Partners LP | 6.650% | 10/1/36 | 8,303 | 8,746 | |
ONEOK Partners LP | 6.850% | 10/15/37 | 2,325 | 2,519 | |
ONEOK Partners LP | 6.200% | 9/15/43 | 3,200 | 3,400 | |
Panhandle Eastern Pipe Line Co. LP | 6.200% | 11/1/17 | 4,703 | 4,893 | |
Panhandle Eastern Pipe Line Co. LP | 7.000% | 6/15/18 | 275 | 295 | |
Petro-Canada | 6.050% | 5/15/18 | 7,200 | 7,744 | |
104 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Petro-Canada | 7.875% | 6/15/26 | 500 | 646 |
Petro-Canada | 7.000% | 11/15/28 | 475 | 605 |
Petro-Canada | 5.350% | 7/15/33 | 1,325 | 1,456 |
Petro-Canada | 5.950% | 5/15/35 | 6,395 | 7,575 |
Petro-Canada | 6.800% | 5/15/38 | 5,525 | 7,100 |
Phillips 66 | 2.950% | 5/1/17 | 16,925 | 17,173 |
Phillips 66 | 4.300% | 4/1/22 | 12,935 | 14,134 |
Phillips 66 | 5.875% | 5/1/42 | 11,150 | 13,394 |
Phillips 66 | 4.875% | 11/15/44 | 11,805 | 12,885 |
Phillips 66 Partners LP | 2.646% | 2/15/20 | 1,255 | 1,262 |
Phillips 66 Partners LP | 3.605% | 2/15/25 | 3,500 | 3,381 |
Phillips 66 Partners LP | 4.680% | 2/15/45 | 1,375 | 1,278 |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 2,905 | 3,142 |
Pioneer Natural Resources Co. | 3.450% | 1/15/21 | 4,000 | 4,125 |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 5,200 | 5,452 |
Pioneer Natural Resources Co. | 4.450% | 1/15/26 | 8,650 | 9,439 |
Pioneer Natural Resources Co. | 7.200% | 1/15/28 | 2,378 | 2,930 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 8.750% | 5/1/19 | 1,375 | 1,570 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 5.750% | 1/15/20 | 12,660 | 13,544 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 5.000% | 2/1/21 | 3,460 | 3,644 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 3.650% | 6/1/22 | 600 | 589 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 2.850% | 1/31/23 | 2,200 | 2,025 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 3.850% | 10/15/23 | 2,396 | 2,323 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 3.600% | 11/1/24 | 12,960 | 12,170 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 4.650% | 10/15/25 | 6,715 | 6,783 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 6.700% | 5/15/36 | 970 | 1,013 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 5.150% | 6/1/42 | 2,325 | 2,058 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 4.300% | 1/31/43 | 8,875 | 7,048 |
Plains All American Pipeline LP / | ||||
PAA Finance Corp. | 4.700% | 6/15/44 | 4,575 | 3,909 |
Regency Energy Partners LP / | ||||
Regency Energy Finance Corp. | 5.750% | 9/1/20 | 5,725 | 6,040 |
Regency Energy Partners LP / | ||||
Regency Energy Finance Corp. | 5.875% | 3/1/22 | 5,650 | 6,045 |
Regency Energy Partners LP / | ||||
Regency Energy Finance Corp. | 5.000% | 10/1/22 | 10,300 | 10,557 |
Regency Energy Partners LP / | ||||
Regency Energy Finance Corp. | 5.500% | 4/15/23 | 5,650 | 5,692 |
Repsol Oil & Gas Canada Inc. | 7.750% | 6/1/19 | 3,975 | 4,303 |
Schlumberger Investment SA | 3.650% | 12/1/23 | 17,538 | 18,813 |
Shell International Finance BV | 1.125% | 8/21/17 | 1,400 | 1,402 |
Shell International Finance BV | 1.250% | 11/10/17 | 11,250 | 11,282 |
Shell International Finance BV | 1.900% | 8/10/18 | 6,275 | 6,373 |
Shell International Finance BV | 1.625% | 11/10/18 | 12,500 | 12,618 |
105
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Shell International Finance BV | 2.000% | 11/15/18 | 6,625 | 6,736 |
Shell International Finance BV | 1.375% | 5/10/19 | 4,150 | 4,164 |
Shell International Finance BV | 4.300% | 9/22/19 | 18,300 | 19,898 |
Shell International Finance BV | 4.375% | 3/25/20 | 7,650 | 8,387 |
Shell International Finance BV | 2.125% | 5/11/20 | 10,000 | 10,187 |
Shell International Finance BV | 2.250% | 11/10/20 | 550 | 563 |
Shell International Finance BV | 1.875% | 5/10/21 | 20,000 | 20,076 |
Shell International Finance BV | 2.375% | 8/21/22 | 11,865 | 12,069 |
Shell International Finance BV | 2.250% | 1/6/23 | 3,250 | 3,249 |
Shell International Finance BV | 3.400% | 8/12/23 | 7,080 | 7,537 |
Shell International Finance BV | 3.250% | 5/11/25 | 3,700 | 3,870 |
Shell International Finance BV | 2.875% | 5/10/26 | 16,000 | 16,247 |
Shell International Finance BV | 4.125% | 5/11/35 | 18,700 | 20,011 |
Shell International Finance BV | 6.375% | 12/15/38 | 12,542 | 17,043 |
Shell International Finance BV | 5.500% | 3/25/40 | 4,025 | 4,995 |
Shell International Finance BV | 3.625% | 8/21/42 | 8,175 | 7,967 |
Shell International Finance BV | 4.550% | 8/12/43 | 2,975 | 3,255 |
Shell International Finance BV | 4.375% | 5/11/45 | 18,121 | 19,706 |
Shell International Finance BV | 4.000% | 5/10/46 | 10,250 | 10,505 |
Southern Natural Gas Co. LLC | 8.000% | 3/1/32 | 2,299 | 2,550 |
Southern Natural Gas Co. LLC / | ||||
Southern Natural Issuing Corp. | 4.400% | 6/15/21 | 7,315 | 7,658 |
Spectra Energy Capital LLC | 6.200% | 4/15/18 | 8,350 | 8,875 |
Spectra Energy Capital LLC | 8.000% | 10/1/19 | 535 | 613 |
Spectra Energy Capital LLC | 3.300% | 3/15/23 | 3,800 | 3,638 |
Spectra Energy Capital LLC | 6.750% | 2/15/32 | 725 | 770 |
Spectra Energy Capital LLC | 7.500% | 9/15/38 | 325 | 372 |
Spectra Energy Partners LP | 2.950% | 9/25/18 | 175 | 179 |
Spectra Energy Partners LP | 4.750% | 3/15/24 | 3,500 | 3,899 |
Spectra Energy Partners LP | 3.500% | 3/15/25 | 8,000 | 8,220 |
Spectra Energy Partners LP | 5.950% | 9/25/43 | 2,240 | 2,651 |
Spectra Energy Partners LP | 4.500% | 3/15/45 | 2,000 | 2,041 |
Suncor Energy Inc. | 6.100% | 6/1/18 | 4,475 | 4,808 |
Suncor Energy Inc. | 7.150% | 2/1/32 | 3,375 | 4,221 |
Suncor Energy Inc. | 5.950% | 12/1/34 | 575 | 680 |
Suncor Energy Inc. | 6.500% | 6/15/38 | 9,920 | 12,917 |
Suncor Energy Inc. | 6.850% | 6/1/39 | 2,255 | 2,996 |
Sunoco Logistics Partners Operations LP | 4.400% | 4/1/21 | 7,950 | 8,333 |
Sunoco Logistics Partners Operations LP | 4.250% | 4/1/24 | 575 | 576 |
Sunoco Logistics Partners Operations LP | 5.950% | 12/1/25 | 1,000 | 1,115 |
Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 5,525 | 5,065 |
Sunoco Logistics Partners Operations LP | 5.300% | 4/1/44 | 7,375 | 7,277 |
Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 4,475 | 4,428 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 3/15/27 | 825 | 902 |
Texas Eastern Transmission LP | 7.000% | 7/15/32 | 2,905 | 3,565 |
Tosco Corp. | 7.800% | 1/1/27 | 315 | 402 |
Tosco Corp. | 8.125% | 2/15/30 | 4,000 | 5,334 |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 10,455 | 10,525 |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 6,800 | 6,986 |
Total Capital International SA | 2.125% | 1/10/19 | 8,000 | 8,156 |
Total Capital International SA | 2.100% | 6/19/19 | 11,500 | 11,781 |
Total Capital International SA | 2.750% | 6/19/21 | 22,675 | 23,579 |
Total Capital International SA | 2.875% | 2/17/22 | 10,975 | 11,398 |
Total Capital International SA | 2.700% | 1/25/23 | 7,550 | 7,740 |
Total Capital International SA | 3.700% | 1/15/24 | 6,200 | 6,763 |
106
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Total Capital International SA | 3.750% | 4/10/24 | 4,000 | 4,385 |
Total Capital SA | 2.125% | 8/10/18 | 2,900 | 2,960 |
Total Capital SA | 4.450% | 6/24/20 | 5,075 | 5,620 |
Total Capital SA | 4.125% | 1/28/21 | 3,005 | 3,301 |
TransCanada PipeLines Ltd. | 1.625% | 11/9/17 | 8,950 | 8,983 |
TransCanada PipeLines Ltd. | 6.500% | 8/15/18 | 11,540 | 12,636 |
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 9,832 | 10,497 |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 6,075 | 6,035 |
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 4,775 | 5,158 |
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 6,516 | 7,449 |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 5,750 | 6,135 |
TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 1,400 | 1,594 |
TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 3,225 | 3,795 |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 6,975 | 8,544 |
TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 2,600 | 3,568 |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 4,940 | 6,953 |
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 4,000 | 4,865 |
TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 5,250 | 5,883 |
Transcontinental Gas Pipe Line Co. LLC | 6.050% | 6/15/18 | 1,545 | 1,633 |
Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 3,223 | 2,947 |
Valero Energy Corp. | 9.375% | 3/15/19 | 2,150 | 2,563 |
Valero Energy Corp. | 6.125% | 2/1/20 | 3,875 | 4,342 |
Valero Energy Corp. | 3.650% | 3/15/25 | 8,050 | 8,065 |
Valero Energy Corp. | 7.500% | 4/15/32 | 3,625 | 4,317 |
Valero Energy Corp. | 6.625% | 6/15/37 | 9,706 | 10,666 |
Valero Energy Corp. | 4.900% | 3/15/45 | 5,900 | 5,461 |
Western Gas Partners LP | 2.600% | 8/15/18 | 800 | 796 |
Western Gas Partners LP | 5.375% | 6/1/21 | 9,275 | 9,808 |
Western Gas Partners LP | 3.950% | 6/1/25 | 4,300 | 4,096 |
Western Gas Partners LP | 5.450% | 4/1/44 | 4,925 | 4,710 |
Williams Partners LP | 5.250% | 3/15/20 | 2,101 | 2,156 |
Williams Partners LP | 4.000% | 11/15/21 | 4,050 | 3,949 |
Williams Partners LP | 3.600% | 3/15/22 | 9,705 | 9,171 |
Williams Partners LP | 3.350% | 8/15/22 | 4,350 | 3,969 |
Williams Partners LP | 4.500% | 11/15/23 | 3,300 | 3,152 |
Williams Partners LP | 4.300% | 3/4/24 | 1,000 | 948 |
Williams Partners LP | 3.900% | 1/15/25 | 12,518 | 11,438 |
Williams Partners LP | 4.000% | 9/15/25 | 7,175 | 6,574 |
Williams Partners LP | 6.300% | 4/15/40 | 4,145 | 3,943 |
Williams Partners LP | 5.800% | 11/15/43 | 10,125 | 9,442 |
Williams Partners LP | 5.400% | 3/4/44 | 1,450 | 1,291 |
Williams Partners LP | 4.900% | 1/15/45 | 1,100 | 935 |
Williams Partners LP | 5.100% | 9/15/45 | 9,645 | 8,271 |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 5/15/23 | 3,875 | 3,739 |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 3/15/24 | 8,300 | 7,968 |
XTO Energy Inc. | 6.250% | 8/1/17 | 6,050 | 6,395 |
XTO Energy Inc. | 5.500% | 6/15/18 | 100 | 108 |
Other Industrial (0.1%) | ||||
California Institute of Technology GO | 4.321% | 8/1/45 | 1,025 | 1,224 |
California Institute of Technology GO | 4.700% | 11/1/11 | 5,200 | 5,702 |
CBRE Services Inc. | 5.250% | 3/15/25 | 3,700 | 3,871 |
CBRE Services Inc. | 4.875% | 3/1/26 | 12,070 | 12,462 |
Cintas Corp. No 2 | 3.250% | 6/1/22 | 1,025 | 1,097 |
Fluor Corp. | 3.375% | 9/15/21 | 1,300 | 1,378 |
107
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Fluor Corp. | 3.500% | 12/15/24 | 9,950 | 10,629 | |
Howard Hughes Medical Institute Revenue | 3.500% | 9/1/23 | 1,975 | 2,181 | |
4 | Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 5,050 | 5,610 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 3,900 | 5,572 | |
Massachusetts Institute of Technology GO | 4.678% | 7/1/14 | 13,600 | 16,216 | |
4 | Northwestern University Illinois GO | 3.688% | 12/1/38 | 1,750 | 1,905 |
4 | Northwestern University Illinois GO | 4.643% | 12/1/44 | 3,825 | 4,828 |
President & Fellows of Harvard College | |||||
Massachusetts GO | 3.619% | 10/1/37 | 2,700 | 2,957 | |
4 | Rice University Texas GO | 3.574% | 5/15/45 | 350 | 376 |
Trustees of Dartmouth College | 3.474% | 6/1/46 | 7,000 | 7,466 | |
4 | University of Notre Dame DU LAC Indiana GO | 3.438% | 2/15/45 | 2,925 | 3,054 |
University of Pennsylvania GO | 4.674% | 9/1/12 | 4,750 | 5,442 | |
Wesleyan University Connecticut GO | 4.781% | 7/1/16 | 1,350 | 1,458 | |
Yale University Connecticut GO | 2.086% | 4/15/19 | 2,000 | 2,064 | |
Technology (2.0%) | |||||
Adobe Systems Inc. | 4.750% | 2/1/20 | 4,275 | 4,732 | |
Adobe Systems Inc. | 3.250% | 2/1/25 | 3,950 | 4,163 | |
Alphabet Inc. | 3.625% | 5/19/21 | 3,125 | 3,449 | |
Altera Corp. | 1.750% | 5/15/17 | 1,250 | 1,260 | |
Altera Corp. | 2.500% | 11/15/18 | 12,675 | 13,086 | |
Altera Corp. | 4.100% | 11/15/23 | 6,000 | 6,825 | |
Amphenol Corp. | 1.550% | 9/15/17 | 1,500 | 1,500 | |
Amphenol Corp. | 2.550% | 1/30/19 | 8,525 | 8,686 | |
Amphenol Corp. | 3.125% | 9/15/21 | 1,105 | 1,140 | |
Analog Devices Inc. | 2.875% | 6/1/23 | 7,600 | 7,929 | |
Apple Inc. | 1.000% | 5/3/18 | 11,000 | 11,023 | |
Apple Inc. | 2.100% | 5/6/19 | 14,175 | 14,584 | |
Apple Inc. | 1.550% | 2/7/20 | 9,500 | 9,539 | |
Apple Inc. | 2.000% | 5/6/20 | 800 | 820 | |
Apple Inc. | 2.250% | 2/23/21 | 32,195 | 33,136 | |
Apple Inc. | 2.850% | 5/6/21 | 36,610 | 38,691 | |
Apple Inc. | 2.150% | 2/9/22 | 12,850 | 13,100 | |
Apple Inc. | 2.700% | 5/13/22 | 10,750 | 11,271 | |
Apple Inc. | 2.400% | 5/3/23 | 26,075 | 26,578 | |
Apple Inc. | 3.450% | 5/6/24 | 16,450 | 17,817 | |
Apple Inc. | 2.500% | 2/9/25 | 19,000 | 19,317 | |
Apple Inc. | 3.200% | 5/13/25 | 4,100 | 4,342 | |
Apple Inc. | 3.250% | 2/23/26 | 34,000 | 36,036 | |
Apple Inc. | 4.500% | 2/23/36 | 5,000 | 5,638 | |
Apple Inc. | 3.850% | 5/4/43 | 17,500 | 17,561 | |
Apple Inc. | 4.450% | 5/6/44 | 3,800 | 4,140 | |
Apple Inc. | 3.450% | 2/9/45 | 9,950 | 9,348 | |
Apple Inc. | 4.375% | 5/13/45 | 3,900 | 4,220 | |
Apple Inc. | 4.650% | 2/23/46 | 42,225 | 47,661 | |
Applied Materials Inc. | 2.625% | 10/1/20 | 4,250 | 4,417 | |
Applied Materials Inc. | 4.300% | 6/15/21 | 6,740 | 7,516 | |
Applied Materials Inc. | 3.900% | 10/1/25 | 11,400 | 12,654 | |
Applied Materials Inc. | 5.100% | 10/1/35 | 2,550 | 2,923 | |
Applied Materials Inc. | 5.850% | 6/15/41 | 5,885 | 7,166 | |
Arrow Electronics Inc. | 3.000% | 3/1/18 | 2,200 | 2,222 | |
Arrow Electronics Inc. | 5.125% | 3/1/21 | 515 | 560 | |
Arrow Electronics Inc. | 3.500% | 4/1/22 | 2,000 | 2,050 | |
Arrow Electronics Inc. | 4.500% | 3/1/23 | 3,450 | 3,667 | |
108 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Arrow Electronics Inc. | 4.000% | 4/1/25 | 3,500 | 3,558 |
Autodesk Inc. | 1.950% | 12/15/17 | 5,300 | 5,314 |
Autodesk Inc. | 3.125% | 6/15/20 | 1,500 | 1,541 |
Autodesk Inc. | 3.600% | 12/15/22 | 825 | 842 |
Autodesk Inc. | 4.375% | 6/15/25 | 2,350 | 2,473 |
Avnet Inc. | 5.875% | 6/15/20 | 4,300 | 4,761 |
Avnet Inc. | 4.875% | 12/1/22 | 750 | 813 |
Avnet Inc. | 4.625% | 4/15/26 | 2,750 | 2,857 |
Baidu Inc. | 2.250% | 11/28/17 | 7,400 | 7,470 |
Baidu Inc. | 3.250% | 8/6/18 | 5,600 | 5,742 |
Baidu Inc. | 2.750% | 6/9/19 | 2,500 | 2,539 |
Baidu Inc. | 3.500% | 11/28/22 | 7,200 | 7,419 |
Broadridge Financial Solutions Inc. | 3.950% | 9/1/20 | 2,150 | 2,286 |
Broadridge Financial Solutions Inc. | 3.400% | 6/27/26 | 2,700 | 2,733 |
CA Inc. | 5.375% | 12/1/19 | 3,545 | 3,900 |
CA Inc. | 3.600% | 8/1/20 | 5,900 | 6,156 |
Cadence Design Systems Inc. | 4.375% | 10/15/24 | 725 | 751 |
Cisco Systems Inc. | 1.400% | 2/28/18 | 8,000 | 8,073 |
Cisco Systems Inc. | 4.950% | 2/15/19 | 16,325 | 17,930 |
Cisco Systems Inc. | 1.600% | 2/28/19 | 16,300 | 16,549 |
Cisco Systems Inc. | 2.125% | 3/1/19 | 25,075 | 25,762 |
Cisco Systems Inc. | 4.450% | 1/15/20 | 12,100 | 13,359 |
Cisco Systems Inc. | 2.450% | 6/15/20 | 6,325 | 6,586 |
Cisco Systems Inc. | 2.200% | 2/28/21 | 25,000 | 25,768 |
Cisco Systems Inc. | 2.900% | 3/4/21 | 1,300 | 1,381 |
Cisco Systems Inc. | 3.625% | 3/4/24 | 3,000 | 3,366 |
Cisco Systems Inc. | 2.950% | 2/28/26 | 5,100 | 5,429 |
Cisco Systems Inc. | 5.900% | 2/15/39 | 1,400 | 1,901 |
Cisco Systems Inc. | 5.500% | 1/15/40 | 6,345 | 8,321 |
Corning Inc. | 1.500% | 5/8/18 | 4,000 | 4,000 |
Corning Inc. | 6.625% | 5/15/19 | 275 | 310 |
Corning Inc. | 2.900% | 5/15/22 | 3,375 | 3,457 |
Corning Inc. | 3.700% | 11/15/23 | 8,650 | 9,274 |
Corning Inc. | 7.250% | 8/15/36 | 100 | 121 |
Corning Inc. | 4.700% | 3/15/37 | 1,500 | 1,577 |
Corning Inc. | 5.750% | 8/15/40 | 7,910 | 9,391 |
7 Diamond 1 Finance Corp. / | ||||
Diamond 2 Finance Corp. | 3.480% | 6/1/19 | 21,300 | 21,788 |
7 Diamond 1 Finance Corp. / | ||||
Diamond 2 Finance Corp. | 4.420% | 6/15/21 | 26,175 | 26,903 |
7 Diamond 1 Finance Corp. / | ||||
Diamond 2 Finance Corp. | 5.450% | 6/15/23 | 29,090 | 30,062 |
7 Diamond 1 Finance Corp. / | ||||
Diamond 2 Finance Corp. | 6.020% | 6/15/26 | 30,700 | 31,848 |
7 Diamond 1 Finance Corp. / | ||||
Diamond 2 Finance Corp. | 8.350% | 7/15/46 | 4,075 | 4,381 |
Dun & Bradstreet Corp. | 4.375% | 12/1/22 | 950 | 979 |
EMC Corp. | 1.875% | 6/1/18 | 11,285 | 11,104 |
EMC Corp. | 2.650% | 6/1/20 | 4,120 | 3,933 |
EMC Corp. | 3.375% | 6/1/23 | 5,775 | 5,260 |
Equifax Inc. | 6.300% | 7/1/17 | 425 | 446 |
Equifax Inc. | 2.300% | 6/1/21 | 2,900 | 2,933 |
Equifax Inc. | 3.250% | 6/1/26 | 3,150 | 3,251 |
Equifax Inc. | 7.000% | 7/1/37 | 1,250 | 1,621 |
Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 925 | 934 |
109
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Fidelity National Information Services Inc. | 2.850% | 10/15/18 | 3,150 | 3,233 | |
Fidelity National Information Services Inc. | 3.625% | 10/15/20 | 27,183 | 28,740 | |
Fidelity National Information Services Inc. | 5.000% | 3/15/22 | 7,850 | 8,174 | |
Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 7,732 | 7,979 | |
Fidelity National Information Services Inc. | 5.000% | 10/15/25 | 11,625 | 13,199 | |
Fiserv Inc. | 2.700% | 6/1/20 | 4,575 | 4,755 | |
Fiserv Inc. | 3.500% | 10/1/22 | 2,425 | 2,581 | |
Fiserv Inc. | 3.850% | 6/1/25 | 6,625 | 7,091 | |
Flextronics International Ltd. | 4.625% | 2/15/20 | 1,750 | 1,811 | |
Flextronics International Ltd. | 4.750% | 6/15/25 | 400 | 404 | |
7 | Hewlett Packard Enterprise Co. | 2.450% | 10/5/17 | 10,575 | 10,707 |
7 | Hewlett Packard Enterprise Co. | 2.850% | 10/5/18 | 16,675 | 17,054 |
7 | Hewlett Packard Enterprise Co. | 3.600% | 10/15/20 | 27,780 | 29,008 |
7 | Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 12,275 | 13,133 |
7 | Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 19,000 | 19,856 |
7 | Hewlett Packard Enterprise Co. | 6.200% | 10/15/35 | 3,700 | 3,737 |
7 | Hewlett Packard Enterprise Co. | 6.350% | 10/15/45 | 14,825 | 14,728 |
HP Inc. | 3.750% | 12/1/20 | 2,009 | 2,126 | |
HP Inc. | 4.300% | 6/1/21 | 2,280 | 2,422 | |
HP Inc. | 4.375% | 9/15/21 | 13,375 | 14,351 | |
HP Inc. | 4.650% | 12/9/21 | 11,965 | 12,926 | |
HP Inc. | 6.000% | 9/15/41 | 7,445 | 7,192 | |
Ingram Micro Inc. | 4.950% | 12/15/24 | 8,475 | 8,460 | |
Intel Corp. | 1.350% | 12/15/17 | 27,205 | 27,367 | |
Intel Corp. | 2.450% | 7/29/20 | 8,150 | 8,466 | |
Intel Corp. | 1.700% | 5/19/21 | 1,825 | 1,844 | |
Intel Corp. | 3.300% | 10/1/21 | 1,945 | 2,105 | |
Intel Corp. | 3.100% | 7/29/22 | 5,725 | 6,163 | |
Intel Corp. | 2.700% | 12/15/22 | 13,525 | 14,193 | |
Intel Corp. | 3.700% | 7/29/25 | 7,000 | 7,789 | |
Intel Corp. | 4.000% | 12/15/32 | 3,300 | 3,555 | |
Intel Corp. | 4.800% | 10/1/41 | 9,870 | 11,214 | |
Intel Corp. | 4.250% | 12/15/42 | 7,325 | 7,868 | |
Intel Corp. | 4.900% | 7/29/45 | 7,500 | 8,735 | |
Intel Corp. | 4.100% | 5/19/46 | 6,500 | 6,760 | |
International Business Machines Corp. | 5.700% | 9/14/17 | 24,825 | 26,220 | |
International Business Machines Corp. | 1.125% | 2/6/18 | 2,050 | 2,058 | |
International Business Machines Corp. | 7.625% | 10/15/18 | 10,000 | 11,412 | |
International Business Machines Corp. | 1.950% | 2/12/19 | 13,192 | 13,525 | |
International Business Machines Corp. | 1.875% | 5/15/19 | 500 | 510 | |
International Business Machines Corp. | 1.625% | 5/15/20 | 4,075 | 4,117 | |
International Business Machines Corp. | 2.900% | 11/1/21 | 7,325 | 7,773 | |
International Business Machines Corp. | 2.875% | 11/9/22 | 15,000 | 15,895 | |
International Business Machines Corp. | 3.375% | 8/1/23 | 13,825 | 15,001 | |
International Business Machines Corp. | 3.625% | 2/12/24 | 11,400 | 12,443 | |
International Business Machines Corp. | 7.000% | 10/30/25 | 2,850 | 3,866 | |
International Business Machines Corp. | 6.220% | 8/1/27 | 1,975 | 2,598 | |
International Business Machines Corp. | 6.500% | 1/15/28 | 100 | 137 | |
International Business Machines Corp. | 5.875% | 11/29/32 | 125 | 162 | |
International Business Machines Corp. | 5.600% | 11/30/39 | 1,098 | 1,389 | |
International Business Machines Corp. | 4.000% | 6/20/42 | 8,997 | 9,524 | |
International Business Machines Corp. | 4.700% | 2/19/46 | 6,000 | 6,909 | |
Jabil Circuit Inc. | 5.625% | 12/15/20 | 1,375 | 1,466 | |
Jabil Circuit Inc. | 4.700% | 9/15/22 | 1,500 | 1,521 | |
Juniper Networks Inc. | 3.125% | 2/26/19 | 2,700 | 2,777 | |
110 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Juniper Networks Inc. | 3.300% | 6/15/20 | 1,000 | 1,035 |
Juniper Networks Inc. | 4.600% | 3/15/21 | 900 | 967 |
Juniper Networks Inc. | 4.350% | 6/15/25 | 725 | 750 |
Juniper Networks Inc. | 5.950% | 3/15/41 | 5,500 | 5,498 |
Keysight Technologies Inc. | 3.300% | 10/30/19 | 3,050 | 3,089 |
Keysight Technologies Inc. | 4.550% | 10/30/24 | 2,050 | 2,099 |
KLA-Tencor Corp. | 4.125% | 11/1/21 | 8,950 | 9,517 |
KLA-Tencor Corp. | 4.650% | 11/1/24 | 3,550 | 3,873 |
KLA-Tencor Corp. | 5.650% | 11/1/34 | 225 | 242 |
Lam Research Corp. | 2.750% | 3/15/20 | 3,300 | 3,378 |
Lam Research Corp. | 2.800% | 6/15/21 | 7,400 | 7,616 |
Lam Research Corp. | 3.450% | 6/15/23 | 3,550 | 3,664 |
Lam Research Corp. | 3.800% | 3/15/25 | 2,600 | 2,689 |
Lam Research Corp. | 3.900% | 6/15/26 | 9,975 | 10,492 |
Lexmark International Inc. | 6.650% | 6/1/18 | 1,850 | 1,943 |
Lexmark International Inc. | 5.125% | 3/15/20 | 2,450 | 2,563 |
Maxim Integrated Products Inc. | 2.500% | 11/15/18 | 3,365 | 3,421 |
Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 3,875 | 3,992 |
Microsoft Corp. | 0.875% | 11/15/17 | 2,150 | 2,153 |
Microsoft Corp. | 1.000% | 5/1/18 | 4,050 | 4,055 |
Microsoft Corp. | 1.300% | 11/3/18 | 14,525 | 14,657 |
Microsoft Corp. | 4.200% | 6/1/19 | 1,265 | 1,382 |
Microsoft Corp. | 3.000% | 10/1/20 | 2,000 | 2,133 |
Microsoft Corp. | 2.000% | 11/3/20 | 35,625 | 36,545 |
Microsoft Corp. | 4.000% | 2/8/21 | 3,950 | 4,397 |
Microsoft Corp. | 2.375% | 2/12/22 | 6,625 | 6,840 |
Microsoft Corp. | 2.650% | 11/3/22 | 28,225 | 29,425 |
Microsoft Corp. | 2.125% | 11/15/22 | 4,350 | 4,426 |
Microsoft Corp. | 2.375% | 5/1/23 | 1,150 | 1,177 |
Microsoft Corp. | 2.700% | 2/12/25 | 8,575 | 8,851 |
Microsoft Corp. | 3.125% | 11/3/25 | 17,300 | 18,499 |
Microsoft Corp. | 3.500% | 2/12/35 | 8,800 | 9,057 |
Microsoft Corp. | 4.200% | 11/3/35 | 7,735 | 8,689 |
Microsoft Corp. | 5.200% | 6/1/39 | 1,750 | 2,181 |
Microsoft Corp. | 4.500% | 10/1/40 | 2,435 | 2,771 |
Microsoft Corp. | 5.300% | 2/8/41 | 2,500 | 3,152 |
Microsoft Corp. | 3.500% | 11/15/42 | 7,580 | 7,440 |
Microsoft Corp. | 3.750% | 5/1/43 | 1,865 | 1,872 |
Microsoft Corp. | 4.875% | 12/15/43 | 5,075 | 6,049 |
Microsoft Corp. | 3.750% | 2/12/45 | 8,550 | 8,687 |
Microsoft Corp. | 4.450% | 11/3/45 | 15,350 | 17,343 |
Microsoft Corp. | 4.000% | 2/12/55 | 16,075 | 15,953 |
Microsoft Corp. | 4.750% | 11/3/55 | 5,200 | 5,892 |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 2,600 | 2,596 |
Motorola Solutions Inc. | 4.000% | 9/1/24 | 2,000 | 1,961 |
Motorola Solutions Inc. | 5.500% | 9/1/44 | 3,750 | 3,333 |
NetApp Inc. | 2.000% | 12/15/17 | 3,675 | 3,694 |
NetApp Inc. | 3.375% | 6/15/21 | 4,250 | 4,328 |
Oracle Corp. | 1.200% | 10/15/17 | 21,300 | 21,369 |
Oracle Corp. | 5.750% | 4/15/18 | 16,710 | 18,089 |
Oracle Corp. | 2.375% | 1/15/19 | 3,825 | 3,938 |
Oracle Corp. | 5.000% | 7/8/19 | 5,500 | 6,101 |
Oracle Corp. | 2.250% | 10/8/19 | 9,400 | 9,692 |
Oracle Corp. | 3.875% | 7/15/20 | 7,983 | 8,733 |
Oracle Corp. | 2.800% | 7/8/21 | 7,050 | 7,402 |
111
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Oracle Corp. | 1.900% | 9/15/21 | 33,700 | 33,812 |
Oracle Corp. | 2.500% | 5/15/22 | 8,800 | 9,006 |
Oracle Corp. | 2.500% | 10/15/22 | 14,360 | 14,685 |
Oracle Corp. | 2.400% | 9/15/23 | 14,000 | 14,034 |
Oracle Corp. | 3.400% | 7/8/24 | 21,150 | 22,611 |
Oracle Corp. | 2.950% | 5/15/25 | 16,600 | 17,210 |
Oracle Corp. | 2.650% | 7/15/26 | 21,950 | 21,979 |
Oracle Corp. | 3.250% | 5/15/30 | 6,497 | 6,904 |
Oracle Corp. | 4.300% | 7/8/34 | 12,350 | 13,135 |
Oracle Corp. | 3.900% | 5/15/35 | 11,700 | 11,905 |
Oracle Corp. | 3.850% | 7/15/36 | 12,725 | 12,798 |
Oracle Corp. | 6.500% | 4/15/38 | 3,800 | 5,180 |
Oracle Corp. | 6.125% | 7/8/39 | 5,355 | 7,028 |
Oracle Corp. | 5.375% | 7/15/40 | 14,847 | 17,879 |
Oracle Corp. | 4.500% | 7/8/44 | 7,550 | 8,514 |
Oracle Corp. | 4.000% | 7/15/46 | 11,575 | 11,638 |
Oracle Corp. | 4.375% | 5/15/55 | 7,475 | 7,799 |
Pitney Bowes Inc. | 5.750% | 9/15/17 | 950 | 992 |
Pitney Bowes Inc. | 6.250% | 3/15/19 | 375 | 414 |
Pitney Bowes Inc. | 4.625% | 3/15/24 | 7,275 | 7,669 |
QUALCOMM Inc. | 1.400% | 5/18/18 | 8,000 | 8,072 |
QUALCOMM Inc. | 2.250% | 5/20/20 | 5,750 | 5,913 |
QUALCOMM Inc. | 3.000% | 5/20/22 | 13,000 | 13,649 |
QUALCOMM Inc. | 3.450% | 5/20/25 | 8,300 | 8,812 |
QUALCOMM Inc. | 4.650% | 5/20/35 | 4,175 | 4,510 |
QUALCOMM Inc. | 4.800% | 5/20/45 | 10,825 | 11,348 |
Seagate HDD Cayman | 3.750% | 11/15/18 | 2,125 | 2,125 |
Seagate HDD Cayman | 4.750% | 6/1/23 | 11,150 | 9,422 |
Seagate HDD Cayman | 4.750% | 1/1/25 | 9,450 | 7,465 |
Seagate HDD Cayman | 4.875% | 6/1/27 | 5,000 | 3,613 |
Seagate HDD Cayman | 5.750% | 12/1/34 | 2,450 | 1,721 |
Symantec Corp. | 2.750% | 6/15/17 | 3,275 | 3,292 |
Symantec Corp. | 3.950% | 6/15/22 | 2,425 | 2,455 |
Telefonaktiebolaget LM Ericsson | 4.125% | 5/15/22 | 1,250 | 1,349 |
Texas Instruments Inc. | 1.650% | 8/3/19 | 5,300 | 5,373 |
Texas Instruments Inc. | 2.250% | 5/1/23 | 1,750 | 1,770 |
Total System Services Inc. | 2.375% | 6/1/18 | 3,050 | 3,073 |
Total System Services Inc. | 3.800% | 4/1/21 | 6,000 | 6,353 |
Total System Services Inc. | 3.750% | 6/1/23 | 100 | 102 |
Total System Services Inc. | 4.800% | 4/1/26 | 7,600 | 8,255 |
Trimble Navigation Ltd. | 4.750% | 12/1/24 | 2,500 | 2,623 |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 6,866 | 7,303 |
Tyco Electronics Group SA | 4.875% | 1/15/21 | 3,750 | 4,130 |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 3,900 | 4,120 |
Tyco Electronics Group SA | 3.700% | 2/15/26 | 3,000 | 3,175 |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 9,575 | 13,295 |
Verisk Analytics Inc. | 5.800% | 5/1/21 | 1,800 | 2,063 |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 8,050 | 8,556 |
Verisk Analytics Inc. | 4.000% | 6/15/25 | 1,525 | 1,599 |
Verisk Analytics Inc. | 5.500% | 6/15/45 | 2,000 | 2,056 |
Xerox Corp. | 6.350% | 5/15/18 | 11,270 | 11,984 |
Xerox Corp. | 5.625% | 12/15/19 | 1,165 | 1,246 |
Xerox Corp. | 2.800% | 5/15/20 | 2,250 | 2,167 |
Xerox Corp. | 2.750% | 9/1/20 | 1,825 | 1,756 |
Xerox Corp. | 4.500% | 5/15/21 | 11,515 | 11,613 |
112
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Xerox Corp. | 6.750% | 12/15/39 | 100 | 97 |
Xilinx Inc. | 2.125% | 3/15/19 | 500 | 507 |
Xilinx Inc. | 3.000% | 3/15/21 | 9,375 | 9,822 |
Transportation (0.7%) | ||||
4 American Airlines 2011-1 Class A Pass | ||||
Through Trust | 5.250% | 7/31/22 | 3,313 | 3,570 |
4 American Airlines 2013-1 Class A Pass | ||||
Through Trust | 4.000% | 1/15/27 | 1,016 | 1,071 |
4 American Airlines 2013-2 Class A Pass | ||||
Through Trust | 4.950% | 7/15/24 | 4,999 | 5,424 |
4 American Airlines 2014-1 Class A Pass | ||||
Through Trust | 3.700% | 4/1/28 | 3,539 | 3,672 |
4 American Airlines 2015-1 Class A Pass | ||||
Through Trust | 3.375% | 11/1/28 | 9,855 | 10,077 |
4 American Airlines 2015-1 Class B Pass | ||||
Through Trust | 3.700% | 11/1/24 | 1,544 | 1,513 |
4 American Airlines 2015-2 Class AA Pass | ||||
Through Trust | 3.600% | 9/22/27 | 1,050 | 1,104 |
4 American Airlines 2016-1 Class A Pass | ||||
Through Trust | 4.100% | 1/15/28 | 2,100 | 2,226 |
4 American Airlines 2016-1 Class AA Pass | ||||
Through Trust | 3.575% | 1/15/28 | 5,350 | 5,604 |
4 American Airlines 2016-2 Class A Pass | ||||
Through Trust | 3.650% | 6/15/28 | 4,225 | 4,373 |
4 American Airlines 2016-2 Class AA Pass | ||||
Through Trust | 3.200% | 6/15/28 | 9,475 | 9,807 |
Burlington Northern Santa Fe LLC | 5.650% | 5/1/17 | 2,025 | 2,104 |
Burlington Northern Santa Fe LLC | 5.750% | 3/15/18 | 5,100 | 5,499 |
Burlington Northern Santa Fe LLC | 4.700% | 10/1/19 | 50 | 55 |
Burlington Northern Santa Fe LLC | 3.600% | 9/1/20 | 3,750 | 4,031 |
Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 2,340 | 2,536 |
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 375 | 399 |
Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 1,100 | 1,171 |
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 2,000 | 2,110 |
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 250 | 278 |
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 3,475 | 3,852 |
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 3,175 | 3,457 |
Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 12,000 | 12,686 |
Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 175 | 232 |
Burlington Northern Santa Fe LLC | 6.150% | 5/1/37 | 550 | 725 |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 11,600 | 15,010 |
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 3,875 | 4,665 |
Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 3,550 | 4,385 |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 830 | 991 |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 4,304 | 4,776 |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 5,950 | 6,563 |
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 7,055 | 7,880 |
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 5,805 | 6,924 |
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 7,105 | 8,111 |
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 1,680 | 1,825 |
Burlington Northern Santa Fe LLC | 4.700% | 9/1/45 | 4,050 | 4,758 |
Burlington Northern Santa Fe LLC | 3.900% | 8/1/46 | 3,300 | 3,485 |
Canadian National Railway Co. | 5.850% | 11/15/17 | 350 | 373 |
Canadian National Railway Co. | 5.550% | 3/1/19 | 5,085 | 5,649 |
113
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Canadian National Railway Co. | 2.850% | 12/15/21 | 11,235 | 11,860 | |
Canadian National Railway Co. | 2.750% | 3/1/26 | 1,800 | 1,886 | |
Canadian National Railway Co. | 6.900% | 7/15/28 | 100 | 144 | |
Canadian National Railway Co. | 6.250% | 8/1/34 | 250 | 347 | |
Canadian National Railway Co. | 6.200% | 6/1/36 | 5,325 | 7,337 | |
Canadian National Railway Co. | 6.375% | 11/15/37 | 250 | 353 | |
Canadian National Railway Co. | 3.500% | 11/15/42 | 600 | 606 | |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 2,445 | 2,828 | |
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 3,830 | 4,254 | |
Canadian Pacific Railway Co. | 2.900% | 2/1/25 | 5,475 | 5,590 | |
Canadian Pacific Railway Co. | 3.700% | 2/1/26 | 2,100 | 2,264 | |
Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 1,456 | 1,979 | |
Canadian Pacific Railway Co. | 5.750% | 3/15/33 | 100 | 118 | |
Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 8,985 | 11,243 | |
Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 100 | 115 | |
Canadian Pacific Railway Co. | 6.125% | 9/15/15 | 1,900 | 2,386 | |
Canadian Pacific Railway Ltd. | 4.500% | 1/15/22 | 4,375 | 4,835 | |
Canadian Pacific Railway Ltd. | 5.750% | 1/15/42 | 8,360 | 10,229 | |
4 | Continental Airlines 2009-2 Class A Pass | ||||
Through Trust | 7.250% | 5/10/21 | 1,177 | 1,340 | |
4 | Continental Airlines 2010-1 Class A Pass | ||||
Through Trust | 4.750% | 7/12/22 | 3,898 | 4,142 | |
4 | Continental Airlines 2012-1 Class A Pass | ||||
Through Trust | 4.150% | 10/11/25 | 5,787 | 6,105 | |
4 | Continental Airlines 2012-2 Class A Pass | ||||
Through Trust | 4.000% | 4/29/26 | 1,068 | 1,130 | |
CSX Corp. | 6.250% | 3/15/18 | 3,875 | 4,195 | |
CSX Corp. | 7.375% | 2/1/19 | 11,275 | 12,974 | |
CSX Corp. | 4.250% | 6/1/21 | 7,265 | 7,970 | |
CSX Corp. | 3.700% | 11/1/23 | 700 | 764 | |
CSX Corp. | 6.150% | 5/1/37 | 1,300 | 1,692 | |
CSX Corp. | 6.220% | 4/30/40 | 6,464 | 8,687 | |
CSX Corp. | 5.500% | 4/15/41 | 4,800 | 6,019 | |
CSX Corp. | 4.750% | 5/30/42 | 2,090 | 2,377 | |
CSX Corp. | 4.100% | 3/15/44 | 5,175 | 5,520 | |
CSX Corp. | 3.950% | 5/1/50 | 9,925 | 9,957 | |
4 | Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 4,534 | 5,271 |
4 | Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 3,774 | 4,264 |
4 | Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 1/2/20 | 685 | 730 |
4 | Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 11/23/20 | 613 | 645 |
4 | Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 1,190 | 1,264 |
4 | Delta Air Lines 2015-1 Class AA Pass | ||||
Through Trust | 3.625% | 7/30/27 | 1,029 | 1,086 | |
FedEx Corp. | 8.000% | 1/15/19 | 3,275 | 3,810 | |
FedEx Corp. | 2.300% | 2/1/20 | 4,100 | 4,196 | |
FedEx Corp. | 2.625% | 8/1/22 | 2,175 | 2,231 | |
FedEx Corp. | 4.000% | 1/15/24 | 250 | 277 | |
FedEx Corp. | 3.200% | 2/1/25 | 3,300 | 3,437 | |
FedEx Corp. | 3.250% | 4/1/26 | 3,400 | 3,543 | |
FedEx Corp. | 4.900% | 1/15/34 | 800 | 908 | |
FedEx Corp. | 3.900% | 2/1/35 | 4,000 | 4,073 | |
FedEx Corp. | 3.875% | 8/1/42 | 275 | 269 | |
FedEx Corp. | 4.100% | 4/15/43 | 2,175 | 2,199 | |
FedEx Corp. | 5.100% | 1/15/44 | 6,250 | 7,261 | |
FedEx Corp. | 4.750% | 11/15/45 | 9,000 | 10,021 | |
114 |
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
FedEx Corp. | 4.550% | 4/1/46 | 6,825 | 7,396 | |
4 | Hawaiian Airlines 2013-1 Class A Pass | ||||
Through Certificates | 3.900% | 1/15/26 | 6,807 | 6,756 | |
JB Hunt Transport Services Inc. | 3.300% | 8/15/22 | 6,100 | 6,319 | |
JB Hunt Transport Services Inc. | 3.850% | 3/15/24 | 850 | 904 | |
7 | Kansas City Southern | 2.350% | 5/15/20 | 875 | 837 |
7 | Kansas City Southern | 3.000% | 5/15/23 | 3,975 | 4,050 |
Kansas City Southern | 3.125% | 6/1/26 | 4,200 | 4,286 | |
7 | Kansas City Southern | 4.300% | 5/15/43 | 3,125 | 3,194 |
7 | Kansas City Southern | 4.950% | 8/15/45 | 2,850 | 3,190 |
4,7 | Latam Airlines 2015-1 Pass Through Trust A | 4.200% | 11/15/27 | 3,218 | 2,864 |
Norfolk Southern Corp. | 5.900% | 6/15/19 | 3,390 | 3,806 | |
Norfolk Southern Corp. | 3.250% | 12/1/21 | 1,000 | 1,059 | |
Norfolk Southern Corp. | 3.000% | 4/1/22 | 3,900 | 4,071 | |
Norfolk Southern Corp. | 2.903% | 2/15/23 | 7,053 | 7,284 | |
Norfolk Southern Corp. | 3.850% | 1/15/24 | 2,000 | 2,186 | |
Norfolk Southern Corp. | 5.590% | 5/17/25 | 1,533 | 1,882 | |
Norfolk Southern Corp. | 7.800% | 5/15/27 | 1,095 | 1,551 | |
Norfolk Southern Corp. | 7.250% | 2/15/31 | 811 | 1,162 | |
Norfolk Southern Corp. | 7.050% | 5/1/37 | 300 | 421 | |
Norfolk Southern Corp. | 4.837% | 10/1/41 | 9,498 | 10,914 | |
Norfolk Southern Corp. | 3.950% | 10/1/42 | 2,125 | 2,184 | |
Norfolk Southern Corp. | 4.450% | 6/15/45 | 2,725 | 3,018 | |
Norfolk Southern Corp. | 4.650% | 1/15/46 | 3,900 | 4,514 | |
Norfolk Southern Corp. | 6.000% | 3/15/05 | 2,700 | 3,250 | |
Norfolk Southern Corp. | 6.000% | 5/23/11 | 7,785 | 9,625 | |
4 | Northwest Airlines 2007-1 Class A Pass | ||||
Through Trust | 7.027% | 5/1/21 | 192 | 217 | |
Ryder System Inc. | 2.500% | 3/1/18 | 4,793 | 4,868 | |
Ryder System Inc. | 2.450% | 11/15/18 | 8,650 | 8,797 | |
Ryder System Inc. | 2.350% | 2/26/19 | 3,205 | 3,239 | |
Ryder System Inc. | 2.550% | 6/1/19 | 8,825 | 8,983 | |
Ryder System Inc. | 2.450% | 9/3/19 | 450 | 458 | |
Ryder System Inc. | 2.500% | 5/11/20 | 2,000 | 2,038 | |
Ryder System Inc. | 2.875% | 9/1/20 | 1,600 | 1,633 | |
Southern Railway Co. | 9.750% | 6/15/20 | 275 | 354 | |
Southwest Airlines Co. | 2.750% | 11/6/19 | 3,400 | 3,518 | |
Southwest Airlines Co. | 2.650% | 11/5/20 | 3,370 | 3,476 | |
4 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 300 | 339 |
4 | Spirit Airlines Class A Pass Through Certificates | ||||
Series 2015-1 | 4.100% | 10/1/29 | 2,650 | 2,676 | |
Trinity Industries Inc. | 4.550% | 10/1/24 | 1,240 | 1,144 | |
Union Pacific Corp. | 5.700% | 8/15/18 | 850 | 931 | |
Union Pacific Corp. | 1.800% | 2/1/20 | 1,000 | 1,016 | |
Union Pacific Corp. | 2.250% | 6/19/20 | 6,500 | 6,686 | |
Union Pacific Corp. | 4.000% | 2/1/21 | 4,325 | 4,770 | |
Union Pacific Corp. | 4.163% | 7/15/22 | 4,290 | 4,832 | |
Union Pacific Corp. | 2.750% | 4/15/23 | 4,500 | 4,711 | |
Union Pacific Corp. | 3.646% | 2/15/24 | 3,043 | 3,360 | |
Union Pacific Corp. | 3.250% | 1/15/25 | 4,200 | 4,550 | |
Union Pacific Corp. | 3.250% | 8/15/25 | 7,200 | 7,824 | |
Union Pacific Corp. | 2.750% | 3/1/26 | 1,900 | 1,979 | |
Union Pacific Corp. | 6.625% | 2/1/29 | 470 | 658 | |
Union Pacific Corp. | 3.375% | 2/1/35 | 6,000 | 6,043 | |
Union Pacific Corp. | 4.750% | 9/15/41 | 3,825 | 4,512 |
115
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Union Pacific Corp. | 4.250% | 4/15/43 | 100 | 111 |
Union Pacific Corp. | 4.750% | 12/15/43 | 2,900 | 3,426 |
Union Pacific Corp. | 4.821% | 2/1/44 | 4,264 | 5,125 |
Union Pacific Corp. | 4.850% | 6/15/44 | 400 | 479 |
Union Pacific Corp. | 4.150% | 1/15/45 | 350 | 385 |
Union Pacific Corp. | 4.050% | 11/15/45 | 7,300 | 7,916 |
Union Pacific Corp. | 4.050% | 3/1/46 | 2,000 | 2,193 |
Union Pacific Corp. | 3.875% | 2/1/55 | 5,325 | 5,402 |
Union Pacific Corp. | 4.375% | 11/15/65 | 5,600 | 6,009 |
4 Union Pacific Railroad Co. 2007-3 Pass | ||||
Through Trust | 6.176% | 1/2/31 | 345 | 420 |
4 United Airlines 2013-1 Class A Pass Through Trust | 4.300% | 2/15/27 | 3,917 | 4,230 |
4 United Airlines 2014-1 Class A Pass Through Trust | 4.000% | 10/11/27 | 7,330 | 7,733 |
4 United Airlines 2014-2 Class A Pass Through Trust | 3.750% | 3/3/28 | 2,719 | 2,861 |
United Airlines 2015-1 Class A Pass Through Trust | 3.700% | 6/1/24 | 1,700 | 1,759 |
4 United Airlines 2015-1 Class AA Pass | ||||
Through Trust | 3.450% | 12/1/27 | 4,800 | 4,944 |
4 United Airlines 2016-1 Class AA Pass | ||||
Through Trust | 3.100% | 7/7/28 | 22,900 | 23,530 |
United Parcel Service Inc. | 1.125% | 10/1/17 | 875 | 879 |
United Parcel Service Inc. | 5.500% | 1/15/18 | 6,005 | 6,419 |
United Parcel Service Inc. | 5.125% | 4/1/19 | 4,875 | 5,393 |
United Parcel Service Inc. | 3.125% | 1/15/21 | 6,600 | 7,073 |
United Parcel Service Inc. | 2.450% | 10/1/22 | 7,850 | 8,125 |
United Parcel Service Inc. | 6.200% | 1/15/38 | 8,450 | 12,118 |
United Parcel Service Inc. | 4.875% | 11/15/40 | 3,625 | 4,566 |
United Parcel Service Inc. | 3.625% | 10/1/42 | 2,050 | 2,184 |
United Parcel Service of America Inc. | 8.375% | 4/1/30 | 500 | 743 |
4 US Airways 2013-1 Class A Pass Through Trust | 3.950% | 5/15/27 | 719 | 756 |
17,400,269 | ||||
Utilities (2.2%) | ||||
Electric (2.0%) | ||||
AEP Texas Central Co. | 6.650% | 2/15/33 | 3,652 | 4,707 |
Alabama Power Co. | 3.550% | 12/1/23 | 8,800 | 9,744 |
Alabama Power Co. | 2.800% | 4/1/25 | 1,600 | 1,664 |
Alabama Power Co. | 6.125% | 5/15/38 | 900 | 1,200 |
Alabama Power Co. | 6.000% | 3/1/39 | 1,750 | 2,314 |
Alabama Power Co. | 5.200% | 6/1/41 | 5,575 | 6,883 |
Alabama Power Co. | 4.100% | 1/15/42 | 1,475 | 1,599 |
Alabama Power Co. | 3.850% | 12/1/42 | 1,850 | 1,940 |
Alabama Power Co. | 4.150% | 8/15/44 | 2,300 | 2,521 |
Alabama Power Co. | 3.750% | 3/1/45 | 2,750 | 2,862 |
Alabama Power Co. | 4.300% | 1/2/46 | 9,750 | 11,075 |
Ameren Corp. | 2.700% | 11/15/20 | 1,500 | 1,544 |
Ameren Corp. | 3.650% | 2/15/26 | 2,275 | 2,454 |
Ameren Illinois Co. | 2.700% | 9/1/22 | 2,170 | 2,267 |
Ameren Illinois Co. | 3.250% | 3/1/25 | 1,890 | 2,036 |
Ameren Illinois Co. | 4.800% | 12/15/43 | 4,775 | 5,795 |
Ameren Illinois Co. | 4.300% | 7/1/44 | 325 | 370 |
Ameren Illinois Co. | 4.150% | 3/15/46 | 525 | 588 |
Appalachian Power Co. | 4.600% | 3/30/21 | 13,850 | 15,275 |
Appalachian Power Co. | 5.800% | 10/1/35 | 1,900 | 2,287 |
Appalachian Power Co. | 6.375% | 4/1/36 | 750 | 943 |
Appalachian Power Co. | 6.700% | 8/15/37 | 3,750 | 4,916 |
Appalachian Power Co. | 7.000% | 4/1/38 | 1,815 | 2,437 |
116
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Appalachian Power Co. | 4.450% | 6/1/45 | 1,650 | 1,785 |
Arizona Public Service Co. | 8.750% | 3/1/19 | 1,298 | 1,539 |
Arizona Public Service Co. | 3.350% | 6/15/24 | 1,975 | 2,139 |
Arizona Public Service Co. | 3.150% | 5/15/25 | 500 | 534 |
Arizona Public Service Co. | 5.500% | 9/1/35 | 2,100 | 2,616 |
Arizona Public Service Co. | 4.500% | 4/1/42 | 4,525 | 5,236 |
Arizona Public Service Co. | 4.700% | 1/15/44 | 3,350 | 4,015 |
Arizona Public Service Co. | 4.350% | 11/15/45 | 1,400 | 1,608 |
Arizona Public Service Co. | 3.750% | 5/15/46 | 6,125 | 6,408 |
Atlantic City Electric Co. | 7.750% | 11/15/18 | 2,700 | 3,098 |
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 4,825 | 5,198 |
Baltimore Gas & Electric Co. | 2.800% | 8/15/22 | 3,000 | 3,112 |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 3,225 | 3,418 |
Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 6,211 | 6,699 |
Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 1,000 | 1,017 |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 5,925 | 6,476 |
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 7,475 | 9,894 |
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 5,317 | 6,914 |
Berkshire Hathaway Energy Co. | 6.500% | 9/15/37 | 7,655 | 10,530 |
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 6,950 | 8,418 |
Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 3,975 | 4,436 |
Black Hills Corp. | 2.500% | 1/11/19 | 4,200 | 4,287 |
Black Hills Corp. | 3.950% | 1/15/26 | 1,300 | 1,382 |
CenterPoint Energy Houston Electric LLC | 1.850% | 6/1/21 | 5,800 | 5,862 |
CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 700 | 710 |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 4,950 | 5,075 |
CenterPoint Energy Houston Electric LLC | 4.500% | 4/1/44 | 325 | 383 |
CenterPoint Energy Inc. | 6.500% | 5/1/18 | 5,450 | 5,907 |
7 Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 7,450 | 7,671 |
7 Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 4,300 | 4,521 |
Cleco Power LLC | 6.000% | 12/1/40 | 1,600 | 2,002 |
Cleveland Electric Illuminating Co. | 5.700% | 4/1/17 | 1,695 | 1,742 |
Cleveland Electric Illuminating Co. | 7.880% | 11/1/17 | 600 | 649 |
Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 1,250 | 1,488 |
CMS Energy Corp. | 8.750% | 6/15/19 | 5,620 | 6,775 |
CMS Energy Corp. | 6.250% | 2/1/20 | 2,900 | 3,340 |
CMS Energy Corp. | 3.875% | 3/1/24 | 1,600 | 1,741 |
CMS Energy Corp. | 3.600% | 11/15/25 | 3,225 | 3,435 |
CMS Energy Corp. | 3.000% | 5/15/26 | 2,500 | 2,555 |
CMS Energy Corp. | 4.875% | 3/1/44 | 4,400 | 5,156 |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 15,307 | 16,247 |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 6,135 | 6,627 |
Commonwealth Edison Co. | 2.150% | 1/15/19 | 1,750 | 1,785 |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 5,000 | 5,456 |
Commonwealth Edison Co. | 2.550% | 6/15/26 | 2,375 | 2,410 |
Commonwealth Edison Co. | 5.875% | 2/1/33 | 100 | 128 |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 3,330 | 4,436 |
Commonwealth Edison Co. | 6.450% | 1/15/38 | 3,020 | 4,283 |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 4,450 | 4,637 |
Commonwealth Edison Co. | 4.600% | 8/15/43 | 1,200 | 1,415 |
Commonwealth Edison Co. | 3.700% | 3/1/45 | 3,900 | 4,053 |
Commonwealth Edison Co. | 4.350% | 11/15/45 | 5,425 | 6,188 |
Commonwealth Edison Co. | 3.650% | 6/15/46 | 7,325 | 7,510 |
Connecticut Light & Power Co. | 5.500% | 2/1/19 | 1,380 | 1,528 |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 2,275 | 2,325 |
117
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 2,800 | 3,834 | |
Connecticut Light & Power Co. | 4.300% | 4/15/44 | 1,800 | 2,053 | |
Connecticut Light & Power Co. | 4.150% | 6/1/45 | 600 | 674 | |
Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 4,850 | 5,538 | |
Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 6,675 | 7,409 | |
Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 800 | 978 | |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 8,615 | 11,114 | |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 1,628 | 2,170 | |
Consolidated Edison Co. of New York Inc. | 5.700% | 12/1/36 | 450 | 570 | |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 500 | 712 | |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 5,460 | 7,109 | |
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 4,400 | 4,617 | |
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 14,570 | 16,310 | |
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 1,875 | 2,139 | |
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 4,050 | 4,217 | |
Consolidated Edison Inc. | 2.000% | 5/15/21 | 2,700 | 2,730 | |
Constellation Energy Group Inc. | 5.150% | 12/1/20 | 3,705 | 4,144 | |
Consumers Energy Co. | 5.650% | 9/15/18 | 1,800 | 1,972 | |
Consumers Energy Co. | 6.125% | 3/15/19 | 50 | 57 | |
Consumers Energy Co. | 6.700% | 9/15/19 | 7,960 | 9,287 | |
Consumers Energy Co. | 5.650% | 4/15/20 | 1,375 | 1,577 | |
Consumers Energy Co. | 2.850% | 5/15/22 | 3,516 | 3,678 | |
Consumers Energy Co. | 3.375% | 8/15/23 | 875 | 944 | |
Consumers Energy Co. | 3.950% | 5/15/43 | 3,900 | 4,248 | |
Consumers Energy Co. | 4.100% | 11/15/45 | 450 | 506 | |
Consumers Energy Co. | 4.350% | 8/31/64 | 1,675 | 1,825 | |
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 2,175 | 2,351 | |
Delmarva Power & Light Co. | 4.000% | 6/1/42 | 3,650 | 3,895 | |
Dominion Resources Inc. | 1.400% | 9/15/17 | 2,575 | 2,573 | |
Dominion Resources Inc. | 6.400% | 6/15/18 | 100 | 109 | |
Dominion Resources Inc. | 2.500% | 12/1/19 | 2,900 | 2,963 | |
Dominion Resources Inc. | 2.750% | 9/15/22 | 250 | 254 | |
Dominion Resources Inc. | 3.625% | 12/1/24 | 5,300 | 5,579 | |
Dominion Resources Inc. | 3.900% | 10/1/25 | 3,550 | 3,804 | |
Dominion Resources Inc. | 6.300% | 3/15/33 | 150 | 184 | |
Dominion Resources Inc. | 5.950% | 6/15/35 | 5,700 | 6,950 | |
Dominion Resources Inc. | 4.900% | 8/1/41 | 4,500 | 4,939 | |
Dominion Resources Inc. | 4.050% | 9/15/42 | 6,747 | 6,701 | |
Dominion Resources Inc. | 4.700% | 12/1/44 | 4,500 | 4,885 | |
4 | Dominion Resources Inc. | 5.750% | 10/1/54 | 1,325 | 1,315 |
DTE Electric Co. | 3.450% | 10/1/20 | 6,755 | 7,267 | |
DTE Electric Co. | 2.650% | 6/15/22 | 6,025 | 6,270 | |
DTE Electric Co. | 5.700% | 10/1/37 | 1,825 | 2,377 | |
DTE Electric Co. | 3.950% | 6/15/42 | 10,075 | 10,900 | |
DTE Electric Co. | 3.700% | 6/1/46 | 5,200 | 5,468 | |
DTE Energy Co. | 2.400% | 12/1/19 | 2,200 | 2,243 | |
DTE Energy Co. | 3.500% | 6/1/24 | 8,150 | 8,632 | |
Duke Energy Carolinas LLC | 5.250% | 1/15/18 | 2,000 | 2,130 | |
Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 1,650 | 1,766 | |
Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 2,275 | 2,529 | |
Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 8,868 | 9,788 | |
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 3,694 | 4,792 | |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 6,325 | 8,509 | |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 3,625 | 4,818 | |
Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 900 | 1,215 | |
118 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 525 | 716 |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 4,890 | 6,202 |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 6,875 | 7,748 |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 3,725 | 4,028 |
Duke Energy Carolinas LLC | 3.750% | 6/1/45 | 1,800 | 1,904 |
Duke Energy Corp. | 2.100% | 6/15/18 | 1,250 | 1,261 |
Duke Energy Corp. | 5.050% | 9/15/19 | 2,225 | 2,452 |
Duke Energy Corp. | 3.950% | 10/15/23 | 1,850 | 2,014 |
Duke Energy Corp. | 3.750% | 4/15/24 | 12,025 | 12,944 |
Duke Energy Corp. | 4.800% | 12/15/45 | 600 | 695 |
Duke Energy Florida LLC | 5.650% | 6/15/18 | 1,175 | 1,278 |
4 Duke Energy Florida LLC | 1.196% | 3/1/22 | 1,800 | 1,802 |
4 Duke Energy Florida LLC | 1.731% | 9/1/22 | 1,800 | 1,804 |
4 Duke Energy Florida LLC | 2.538% | 9/1/29 | 3,025 | 3,060 |
4 Duke Energy Florida LLC | 2.858% | 3/1/33 | 1,500 | 1,525 |
4 Duke Energy Florida LLC | 3.112% | 9/1/36 | 2,575 | 2,612 |
Duke Energy Florida LLC | 6.350% | 9/15/37 | 775 | 1,095 |
Duke Energy Florida LLC | 6.400% | 6/15/38 | 5,000 | 7,109 |
Duke Energy Florida LLC | 5.650% | 4/1/40 | 4,200 | 5,540 |
Duke Energy Indiana LLC | 3.750% | 7/15/20 | 2,100 | 2,280 |
Duke Energy Indiana LLC | 6.350% | 8/15/38 | 3,575 | 5,036 |
Duke Energy Indiana LLC | 4.200% | 3/15/42 | 1,000 | 1,096 |
Duke Energy Indiana LLC | 4.900% | 7/15/43 | 2,450 | 2,953 |
Duke Energy Indiana LLC | 3.750% | 5/15/46 | 15,200 | 15,780 |
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 1,875 | 1,922 |
Duke Energy Progress LLC | 5.300% | 1/15/19 | 4,975 | 5,478 |
Duke Energy Progress LLC | 2.800% | 5/15/22 | 6,045 | 6,337 |
Duke Energy Progress LLC | 3.250% | 8/15/25 | 2,800 | 3,028 |
Duke Energy Progress LLC | 6.300% | 4/1/38 | 3,025 | 4,213 |
Duke Energy Progress LLC | 4.100% | 5/15/42 | 3,625 | 3,972 |
Duke Energy Progress LLC | 4.100% | 3/15/43 | 2,000 | 2,188 |
Duke Energy Progress LLC | 4.375% | 3/30/44 | 10,150 | 11,634 |
Duke Energy Progress LLC | 4.150% | 12/1/44 | 3,800 | 4,197 |
Edison International | 3.750% | 9/15/17 | 6,690 | 6,888 |
Edison International | 2.950% | 3/15/23 | 7,600 | 7,794 |
El Paso Electric Co. | 6.000% | 5/15/35 | 600 | 742 |
El Paso Electric Co. | 5.000% | 12/1/44 | 2,950 | 3,386 |
7 Emera US Finance LP | 2.150% | 6/15/19 | 1,250 | 1,266 |
7 Emera US Finance LP | 2.700% | 6/15/21 | 2,500 | 2,548 |
7 Emera US Finance LP | 3.550% | 6/15/26 | 3,300 | 3,371 |
7 Emera US Finance LP | 4.750% | 6/15/46 | 15,350 | 15,665 |
Entergy Arkansas Inc. | 3.750% | 2/15/21 | 3,350 | 3,661 |
Entergy Arkansas Inc. | 3.500% | 4/1/26 | 2,350 | 2,576 |
Entergy Corp. | 4.000% | 7/15/22 | 1,000 | 1,073 |
Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 4,175 | 4,531 |
Entergy Gulf States Louisiana LLC | 3.950% | 10/1/20 | 8,450 | 9,194 |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 1,000 | 1,208 |
Entergy Louisiana LLC | 6.500% | 9/1/18 | 1,700 | 1,886 |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 5,650 | 6,328 |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 2,877 | 3,518 |
Entergy Louisiana LLC | 3.050% | 6/1/31 | 6,300 | 6,456 |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 5,175 | 5,456 |
Entergy Mississippi Inc. | 2.850% | 6/1/28 | 1,500 | 1,533 |
Entergy Texas Inc. | 7.125% | 2/1/19 | 3,000 | 3,388 |
Entergy Texas Inc. | 5.150% | 6/1/45 | 2,350 | 2,511 |
119
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Eversource Energy | 1.450% | 5/1/18 | 1,450 | 1,452 | |
Eversource Energy | 4.500% | 11/15/19 | 10,332 | 11,324 | |
Eversource Energy | 2.500% | 3/15/21 | 3,800 | 3,912 | |
Eversource Energy | 3.350% | 3/15/26 | 3,000 | 3,167 | |
Exelon Corp. | 2.850% | 6/15/20 | 1,625 | 1,679 | |
Exelon Corp. | 2.450% | 4/15/21 | 1,000 | 1,015 | |
Exelon Corp. | 3.950% | 6/15/25 | 11,425 | 12,340 | |
Exelon Corp. | 3.400% | 4/15/26 | 7,025 | 7,343 | |
Exelon Corp. | 4.950% | 6/15/35 | 5,400 | 6,098 | |
Exelon Corp. | 5.625% | 6/15/35 | 3,250 | 3,850 | |
Exelon Corp. | 5.100% | 6/15/45 | 4,725 | 5,388 | |
Exelon Corp. | 4.450% | 4/15/46 | 6,600 | 7,075 | |
Exelon Generation Co. LLC | 6.200% | 10/1/17 | 9,320 | 9,850 | |
Exelon Generation Co. LLC | 2.950% | 1/15/20 | 800 | 822 | |
Exelon Generation Co. LLC | 4.000% | 10/1/20 | 3,300 | 3,522 | |
Exelon Generation Co. LLC | 4.250% | 6/15/22 | 6,000 | 6,418 | |
Exelon Generation Co. LLC | 6.250% | 10/1/39 | 3,000 | 3,296 | |
Exelon Generation Co. LLC | 5.750% | 10/1/41 | 5,175 | 5,370 | |
Exelon Generation Co. LLC | 5.600% | 6/15/42 | 5,848 | 6,134 | |
FirstEnergy Solutions Corp. | 6.800% | 8/15/39 | 5,275 | 5,328 | |
Florida Power & Light Co. | 5.550% | 11/1/17 | 3,200 | 3,387 | |
Florida Power & Light Co. | 2.750% | 6/1/23 | 2,400 | 2,527 | |
Florida Power & Light Co. | 3.250% | 6/1/24 | 2,800 | 3,020 | |
Florida Power & Light Co. | 5.625% | 4/1/34 | 1,700 | 2,204 | |
Florida Power & Light Co. | 5.650% | 2/1/37 | 692 | 917 | |
Florida Power & Light Co. | 5.950% | 2/1/38 | 3,250 | 4,465 | |
Florida Power & Light Co. | 5.960% | 4/1/39 | 9,950 | 13,838 | |
Florida Power & Light Co. | 5.250% | 2/1/41 | 975 | 1,260 | |
Florida Power & Light Co. | 4.125% | 2/1/42 | 10,575 | 11,970 | |
Florida Power & Light Co. | 4.050% | 6/1/42 | 800 | 895 | |
Florida Power & Light Co. | 3.800% | 12/15/42 | 4,350 | 4,721 | |
Florida Power & Light Co. | 4.050% | 10/1/44 | 500 | 563 | |
Georgia Power Co. | 1.950% | 12/1/18 | 17,175 | 17,458 | |
Georgia Power Co. | 2.400% | 4/1/21 | 2,200 | 2,274 | |
Georgia Power Co. | 3.250% | 4/1/26 | 3,100 | 3,293 | |
Georgia Power Co. | 5.650% | 3/1/37 | 200 | 247 | |
Georgia Power Co. | 4.750% | 9/1/40 | 1,200 | 1,368 | |
Georgia Power Co. | 4.300% | 3/15/42 | 8,290 | 9,077 | |
Georgia Power Co. | 4.300% | 3/15/43 | 3,810 | 4,207 | |
Great Plains Energy Inc. | 5.292% | 6/15/22 | 5,000 | 5,624 | |
Iberdrola International BV | 6.750% | 7/15/36 | 3,985 | 5,161 | |
Indiana Michigan Power Co. | 7.000% | 3/15/19 | 2,012 | 2,286 | |
Indiana Michigan Power Co. | 6.050% | 3/15/37 | 2,850 | 3,532 | |
Indiana Michigan Power Co. | 4.550% | 3/15/46 | 1,250 | 1,387 | |
Interstate Power & Light Co. | 3.250% | 12/1/24 | 1,400 | 1,498 | |
Interstate Power & Light Co. | 6.250% | 7/15/39 | 925 | 1,297 | |
ITC Holdings Corp. | 4.050% | 7/1/23 | 5,000 | 5,334 | |
ITC Holdings Corp. | 5.300% | 7/1/43 | 1,600 | 1,788 | |
Jersey Central Power & Light Co. | 5.650% | 6/1/17 | 2,775 | 2,874 | |
4 | John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 1,253 | 1,468 |
Kansas City Power & Light Co. | 3.150% | 3/15/23 | 850 | 874 | |
Kansas City Power & Light Co. | 6.050% | 11/15/35 | 125 | 158 | |
Kansas City Power & Light Co. | 5.300% | 10/1/41 | 4,795 | 5,743 | |
Kentucky Utilities Co. | 3.250% | 11/1/20 | 4,945 | 5,275 | |
Kentucky Utilities Co. | 3.300% | 10/1/25 | 1,500 | 1,621 | |
120 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 3,375 | 4,237 |
Kentucky Utilities Co. | 4.650% | 11/15/43 | 425 | 504 |
Kentucky Utilities Co. | 4.375% | 10/1/45 | 1,425 | 1,640 |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 1,600 | 1,719 |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 3,625 | 4,003 |
Louisville Gas & Electric Co. | 3.300% | 10/1/25 | 1,500 | 1,612 |
Louisville Gas & Electric Co. | 5.125% | 11/15/40 | 2,590 | 3,216 |
Louisville Gas & Electric Co. | 4.650% | 11/15/43 | 725 | 863 |
Louisville Gas & Electric Co. | 4.375% | 10/1/45 | 2,325 | 2,675 |
MidAmerican Energy Co. | 5.950% | 7/15/17 | 2,810 | 2,947 |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 100 | 107 |
MidAmerican Energy Co. | 6.750% | 12/30/31 | 3,800 | 5,292 |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 1,575 | 2,050 |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 1,350 | 1,767 |
MidAmerican Energy Co. | 4.800% | 9/15/43 | 675 | 822 |
MidAmerican Energy Co. | 4.400% | 10/15/44 | 3,800 | 4,401 |
MidAmerican Funding LLC | 6.927% | 3/1/29 | 3,935 | 5,529 |
Mississippi Power Co. | 4.250% | 3/15/42 | 4,475 | 4,003 |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 2/1/18 | 4,850 | 5,175 |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 2,475 | 2,988 |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/15/19 | 4,250 | 4,374 |
National Rural Utilities Cooperative Finance Corp. | 2.000% | 1/27/20 | 3,000 | 3,053 |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 8,775 | 9,064 |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/1/20 | 3,779 | 3,910 |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 7,510 | 7,932 |
National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 6,000 | 6,242 |
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 4,500 | 4,697 |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 7,278 | 7,839 |
4 National Rural Utilities Cooperative Finance Corp. | 4.750% | 4/30/43 | 50 | 49 |
4 National Rural Utilities Cooperative Finance Corp. | 5.250% | 4/20/46 | 2,900 | 2,963 |
Nevada Power Co. | 6.500% | 5/15/18 | 1,865 | 2,047 |
Nevada Power Co. | 6.500% | 8/1/18 | 14,093 | 15,602 |
Nevada Power Co. | 7.125% | 3/15/19 | 550 | 635 |
Nevada Power Co. | 6.650% | 4/1/36 | 965 | 1,339 |
Nevada Power Co. | 6.750% | 7/1/37 | 1,350 | 1,866 |
Nevada Power Co. | 5.375% | 9/15/40 | 100 | 125 |
Nevada Power Co. | 5.450% | 5/15/41 | 500 | 634 |
NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 3,613 | 4,004 |
NextEra Energy Capital Holdings Inc. | 2.300% | 4/1/19 | 9,175 | 9,348 |
NextEra Energy Capital Holdings Inc. | 2.400% | 9/15/19 | 6,500 | 6,632 |
NextEra Energy Capital Holdings Inc. | 2.700% | 9/15/19 | 950 | 976 |
NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 860 | 939 |
NextEra Energy Capital Holdings Inc. | 3.625% | 6/15/23 | 1,975 | 2,080 |
4 NextEra Energy Capital Holdings Inc. | 6.650% | 6/15/67 | 1,578 | 1,286 |
Northern States Power Co. | 5.250% | 3/1/18 | 3,000 | 3,209 |
Northern States Power Co. | 2.200% | 8/15/20 | 1,700 | 1,757 |
Northern States Power Co. | 2.600% | 5/15/23 | 1,280 | 1,326 |
Northern States Power Co. | 5.250% | 7/15/35 | 100 | 128 |
Northern States Power Co. | 6.250% | 6/1/36 | 840 | 1,169 |
Northern States Power Co. | 6.200% | 7/1/37 | 1,595 | 2,248 |
Northern States Power Co. | 5.350% | 11/1/39 | 3,245 | 4,244 |
Northern States Power Co. | 4.850% | 8/15/40 | 950 | 1,175 |
Northern States Power Co. | 3.400% | 8/15/42 | 525 | 533 |
Northern States Power Co. | 4.125% | 5/15/44 | 5,850 | 6,607 |
Northern States Power Co. | 4.000% | 8/15/45 | 1,150 | 1,299 |
121
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Northern States Power Co. | 3.600% | 5/15/46 | 5,000 | 5,261 |
NorthWestern Corp. | 6.340% | 4/1/19 | 3,000 | 3,371 |
NorthWestern Corp. | 4.176% | 11/15/44 | 2,400 | 2,634 |
NSTAR Electric Co. | 5.625% | 11/15/17 | 4,360 | 4,620 |
NSTAR Electric Co. | 2.375% | 10/15/22 | 1,700 | 1,750 |
NSTAR Electric Co. | 3.250% | 11/15/25 | 3,700 | 3,977 |
NSTAR Electric Co. | 2.700% | 6/1/26 | 8,250 | 8,390 |
NSTAR Electric Co. | 5.500% | 3/15/40 | 3,655 | 4,754 |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 350 | 436 |
Oglethorpe Power Corp. | 5.375% | 11/1/40 | 5,145 | 6,212 |
Oglethorpe Power Corp. | 4.200% | 12/1/42 | 2,350 | 2,464 |
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 600 | 633 |
Ohio Edison Co. | 6.875% | 7/15/36 | 3,900 | 4,891 |
Ohio Edison Co. | 8.250% | 10/15/38 | 2,754 | 4,144 |
Ohio Power Co. | 5.375% | 10/1/21 | 3,775 | 4,405 |
Ohio Power Co. | 5.850% | 10/1/35 | 1,525 | 1,868 |
Oklahoma Gas & Electric Co. | 5.850% | 6/1/40 | 1,200 | 1,548 |
Oklahoma Gas & Electric Co. | 5.250% | 5/15/41 | 1,250 | 1,535 |
Oklahoma Gas & Electric Co. | 3.900% | 5/1/43 | 1,825 | 1,852 |
Oklahoma Gas & Electric Co. | 4.000% | 12/15/44 | 3,225 | 3,428 |
Oncor Electric Delivery Co. LLC | 5.000% | 9/30/17 | 2,600 | 2,717 |
Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 2,125 | 2,160 |
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 3,415 | 3,780 |
Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 7,045 | 9,807 |
Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 150 | 216 |
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 2,800 | 4,086 |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 7,590 | 8,589 |
Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 2,300 | 2,897 |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 9,476 | 10,056 |
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 3,705 | 4,274 |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 3,590 | 3,865 |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 4,400 | 4,875 |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 9,226 | 9,894 |
Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 6,397 | 6,539 |
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 1,675 | 1,787 |
Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 3,225 | 3,465 |
Pacific Gas & Electric Co. | 3.500% | 6/15/25 | 2,850 | 3,102 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 12,774 | 17,030 |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 9,005 | 11,761 |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 4,000 | 5,427 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 1,073 | 1,459 |
Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 13,052 | 14,686 |
Pacific Gas & Electric Co. | 4.600% | 6/15/43 | 3,776 | 4,329 |
Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 3,080 | 3,641 |
Pacific Gas & Electric Co. | 4.300% | 3/15/45 | 1,100 | 1,236 |
Pacific Gas & Electric Co. | 4.250% | 3/15/46 | 6,200 | 6,896 |
PacifiCorp | 5.650% | 7/15/18 | 3,000 | 3,280 |
PacifiCorp | 5.500% | 1/15/19 | 4,000 | 4,409 |
PacifiCorp | 2.950% | 2/1/22 | 3,250 | 3,447 |
PacifiCorp | 3.600% | 4/1/24 | 4,350 | 4,779 |
PacifiCorp | 3.350% | 7/1/25 | 1,448 | 1,562 |
PacifiCorp | 7.700% | 11/15/31 | 985 | 1,528 |
PacifiCorp | 5.250% | 6/15/35 | 2,900 | 3,576 |
PacifiCorp | 5.750% | 4/1/37 | 10,850 | 14,194 |
PacifiCorp | 6.250% | 10/15/37 | 900 | 1,244 |
122
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
PacifiCorp | 6.350% | 7/15/38 | 1,000 | 1,406 |
PacifiCorp | 6.000% | 1/15/39 | 100 | 135 |
PacifiCorp | 4.100% | 2/1/42 | 2,800 | 3,091 |
Peco Energy Co. | 5.350% | 3/1/18 | 575 | 615 |
Peco Energy Co. | 2.375% | 9/15/22 | 875 | 902 |
Peco Energy Co. | 5.950% | 10/1/36 | 4,275 | 5,681 |
Pennsylvania Electric Co. | 6.150% | 10/1/38 | 2,075 | 2,383 |
PG&E Corp. | 2.400% | 3/1/19 | 2,425 | 2,471 |
Potomac Electric Power Co. | 3.600% | 3/15/24 | 200 | 217 |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 4,043 | 5,668 |
Potomac Electric Power Co. | 7.900% | 12/15/38 | 400 | 628 |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 3,120 | 3,136 |
PPL Capital Funding Inc. | 3.500% | 12/1/22 | 490 | 516 |
PPL Capital Funding Inc. | 3.400% | 6/1/23 | 10,400 | 10,852 |
PPL Capital Funding Inc. | 3.950% | 3/15/24 | 275 | 296 |
PPL Capital Funding Inc. | 3.100% | 5/15/26 | 5,000 | 5,040 |
PPL Capital Funding Inc. | 4.700% | 6/1/43 | 4,050 | 4,407 |
PPL Capital Funding Inc. | 5.000% | 3/15/44 | 2,000 | 2,270 |
PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 590 | 628 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 800 | 1,126 |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 1,250 | 1,580 |
PPL Electric Utilities Corp. | 4.750% | 7/15/43 | 3,885 | 4,712 |
PPL Electric Utilities Corp. | 4.125% | 6/15/44 | 1,700 | 1,884 |
Progress Energy Inc. | 4.875% | 12/1/19 | 150 | 165 |
Progress Energy Inc. | 4.400% | 1/15/21 | 7,192 | 7,872 |
Progress Energy Inc. | 3.150% | 4/1/22 | 5,800 | 6,040 |
Progress Energy Inc. | 7.000% | 10/30/31 | 2,300 | 3,092 |
Progress Energy Inc. | 6.000% | 12/1/39 | 2,365 | 3,015 |
PSEG Power LLC | 5.125% | 4/15/20 | 415 | 454 |
PSEG Power LLC | 3.000% | 6/15/21 | 1,675 | 1,704 |
PSEG Power LLC | 4.150% | 9/15/21 | 1,275 | 1,365 |
PSEG Power LLC | 8.625% | 4/15/31 | 2,325 | 2,908 |
Public Service Co. of Colorado | 5.800% | 8/1/18 | 425 | 465 |
Public Service Co. of Colorado | 5.125% | 6/1/19 | 3,725 | 4,155 |
Public Service Co. of Colorado | 3.200% | 11/15/20 | 5,825 | 6,235 |
Public Service Co. of Colorado | 2.900% | 5/15/25 | 4,000 | 4,190 |
Public Service Co. of Colorado | 4.750% | 8/15/41 | 1,500 | 1,814 |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 800 | 833 |
Public Service Co. of Colorado | 4.300% | 3/15/44 | 4,450 | 5,119 |
Public Service Co. of New Hampshire | 3.500% | 11/1/23 | 875 | 940 |
Public Service Co. of New Mexico | 7.950% | 5/15/18 | 500 | 553 |
Public Service Co. of New Mexico | 3.850% | 8/1/25 | 1,250 | 1,338 |
Public Service Co. of Oklahoma | 5.150% | 12/1/19 | 650 | 723 |
Public Service Co. of Oklahoma | 4.400% | 2/1/21 | 2,585 | 2,832 |
Public Service Co. of Oklahoma | 6.625% | 11/15/37 | 1,550 | 2,001 |
Public Service Electric & Gas Co. | 2.300% | 9/15/18 | 9,000 | 9,205 |
Public Service Electric & Gas Co. | 1.800% | 6/1/19 | 3,500 | 3,558 |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 625 | 672 |
Public Service Electric & Gas Co. | 1.900% | 3/15/21 | 6,575 | 6,702 |
Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 3,100 | 3,169 |
Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 1,100 | 1,175 |
Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 875 | 1,173 |
Public Service Electric & Gas Co. | 5.375% | 11/1/39 | 4,189 | 5,440 |
Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 3,800 | 4,218 |
Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 575 | 608 |
123
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Public Service Electric & Gas Co. | 4.000% | 6/1/44 | 1,300 | 1,454 | |
Public Service Electric & Gas Co. | 4.050% | 5/1/45 | 100 | 113 | |
Public Service Electric & Gas Co. | 4.150% | 11/1/45 | 5,300 | 6,052 | |
Public Service Electric & Gas Co. | 3.800% | 3/1/46 | 14,050 | 15,255 | |
Puget Energy Inc. | 6.500% | 12/15/20 | 4,050 | 4,721 | |
Puget Energy Inc. | 6.000% | 9/1/21 | 4,325 | 5,011 | |
Puget Energy Inc. | 5.625% | 7/15/22 | 2,425 | 2,770 | |
Puget Energy Inc. | 3.650% | 5/15/25 | 4,150 | 4,269 | |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 3,650 | 4,568 | |
Puget Sound Energy Inc. | 6.724% | 6/15/36 | 200 | 287 | |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 1,825 | 2,515 | |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 1,400 | 1,880 | |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 1,610 | 2,188 | |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 600 | 806 | |
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 4,800 | 5,489 | |
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 6,025 | 6,905 | |
San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 1,350 | 1,444 | |
San Diego Gas & Electric Co. | 6.000% | 6/1/26 | 4,000 | 5,236 | |
San Diego Gas & Electric Co. | 5.350% | 5/15/35 | 250 | 314 | |
San Diego Gas & Electric Co. | 6.125% | 9/15/37 | 1,000 | 1,383 | |
San Diego Gas & Electric Co. | 5.350% | 5/15/40 | 2,000 | 2,575 | |
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 3,870 | 4,516 | |
San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 400 | 435 | |
San Diego Gas & Electric Co. | 4.300% | 4/1/42 | 1,500 | 1,724 | |
SCANA Corp. | 6.250% | 4/1/20 | 1,455 | 1,614 | |
SCANA Corp. | 4.750% | 5/15/21 | 1,245 | 1,330 | |
Sierra Pacific Power Co. | 3.375% | 8/15/23 | 1,450 | 1,551 | |
7 | Sierra Pacific Power Co. | 2.600% | 5/1/26 | 6,855 | 7,007 |
Sierra Pacific Power Co. | 6.750% | 7/1/37 | 1,450 | 2,076 | |
South Carolina Electric & Gas Co. | 5.250% | 11/1/18 | 1,500 | 1,634 | |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 2,750 | 3,073 | |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 2,525 | 3,339 | |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 1,550 | 1,997 | |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 525 | 653 | |
South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 2,300 | 2,603 | |
South Carolina Electric & Gas Co. | 4.100% | 6/15/46 | 750 | 792 | |
South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 9,815 | 10,186 | |
South Carolina Electric & Gas Co. | 5.100% | 6/1/65 | 2,675 | 3,090 | |
Southern California Edison Co. | 3.875% | 6/1/21 | 3,789 | 4,176 | |
4 | Southern California Edison Co. | 1.845% | 2/1/22 | 3,000 | 2,982 |
Southern California Edison Co. | 2.400% | 2/1/22 | 2,700 | 2,782 | |
Southern California Edison Co. | 3.500% | 10/1/23 | 10,600 | 11,610 | |
Southern California Edison Co. | 6.650% | 4/1/29 | 450 | 603 | |
Southern California Edison Co. | 6.000% | 1/15/34 | 750 | 990 | |
Southern California Edison Co. | 5.750% | 4/1/35 | 800 | 1,042 | |
Southern California Edison Co. | 5.350% | 7/15/35 | 4,185 | 5,205 | |
Southern California Edison Co. | 5.550% | 1/15/36 | 500 | 636 | |
Southern California Edison Co. | 5.625% | 2/1/36 | 1,875 | 2,426 | |
Southern California Edison Co. | 5.950% | 2/1/38 | 2,875 | 3,881 | |
Southern California Edison Co. | 6.050% | 3/15/39 | 1,460 | 2,011 | |
Southern California Edison Co. | 4.500% | 9/1/40 | 6,807 | 7,883 | |
Southern California Edison Co. | 3.900% | 12/1/41 | 1,075 | 1,154 | |
Southern California Edison Co. | 4.050% | 3/15/42 | 6,450 | 7,068 | |
Southern California Edison Co. | 3.900% | 3/15/43 | 725 | 784 | |
Southern California Edison Co. | 4.650% | 10/1/43 | 2,975 | 3,612 | |
124 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Southern California Edison Co. | 3.600% | 2/1/45 | 2,200 | 2,291 |
Southern Co. | 1.300% | 8/15/17 | 2,100 | 2,099 |
Southern Co. | 1.550% | 7/1/18 | 3,725 | 3,749 |
Southern Co. | 1.850% | 7/1/19 | 2,700 | 2,734 |
Southern Co. | 2.150% | 9/1/19 | 1,650 | 1,680 |
Southern Co. | 2.750% | 6/15/20 | 2,400 | 2,489 |
Southern Co. | 2.350% | 7/1/21 | 5,400 | 5,507 |
Southern Co. | 2.950% | 7/1/23 | 4,450 | 4,606 |
Southern Co. | 3.250% | 7/1/26 | 10,300 | 10,706 |
Southern Co. | 4.250% | 7/1/36 | 7,800 | 8,255 |
Southern Co. | 4.400% | 7/1/46 | 9,325 | 9,968 |
Southern Power Co. | 1.850% | 12/1/17 | 850 | 857 |
Southern Power Co. | 2.375% | 6/1/20 | 500 | 508 |
Southern Power Co. | 4.150% | 12/1/25 | 2,000 | 2,164 |
Southern Power Co. | 5.150% | 9/15/41 | 6,290 | 6,770 |
Southern Power Co. | 5.250% | 7/15/43 | 5,275 | 5,757 |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 75 | 80 |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 4,763 | 5,314 |
Southwestern Electric Power Co. | 3.550% | 2/15/22 | 4,200 | 4,479 |
Southwestern Electric Power Co. | 3.900% | 4/1/45 | 3,000 | 2,973 |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 2,079 | 2,420 |
System Energy Resources Inc. | 4.100% | 4/1/23 | 1,500 | 1,588 |
Tampa Electric Co. | 6.100% | 5/15/18 | 2,175 | 2,354 |
Tampa Electric Co. | 5.400% | 5/15/21 | 2,590 | 2,966 |
Tampa Electric Co. | 2.600% | 9/15/22 | 1,000 | 1,033 |
Tampa Electric Co. | 6.550% | 5/15/36 | 350 | 481 |
Tampa Electric Co. | 4.350% | 5/15/44 | 3,500 | 3,898 |
Tampa Electric Co. | 4.200% | 5/15/45 | 3,400 | 3,711 |
TECO Finance Inc. | 6.572% | 11/1/17 | 220 | 234 |
TECO Finance Inc. | 5.150% | 3/15/20 | 4,862 | 5,404 |
Toledo Edison Co. | 6.150% | 5/15/37 | 4,744 | 5,838 |
TransAlta Corp. | 4.500% | 11/15/22 | 2,050 | 1,875 |
TransAlta Corp. | 6.500% | 3/15/40 | 2,400 | 1,803 |
Tri-State Generation & Transmission Assn. Inc. | 3.700% | 11/1/24 | 1,475 | 1,572 |
7 Tri-State Generation & Transmission Assn. Inc. | 6.000% | 6/15/40 | 800 | 1,026 |
Tri-State Generation & Transmission Assn. Inc. | 4.700% | 11/1/44 | 1,400 | 1,557 |
7 Tri-State Generation & Transmission Assn. Inc. | 4.250% | 6/1/46 | 1,300 | 1,379 |
Tucson Electric Power Co. | 5.150% | 11/15/21 | 1,045 | 1,183 |
Tucson Electric Power Co. | 3.050% | 3/15/25 | 2,000 | 2,017 |
UIL Holdings Corp. | 4.625% | 10/1/20 | 4,400 | 4,764 |
Union Electric Co. | 6.700% | 2/1/19 | 1,932 | 2,196 |
Union Electric Co. | 3.500% | 4/15/24 | 5,300 | 5,752 |
Union Electric Co. | 5.300% | 8/1/37 | 2,869 | 3,584 |
Union Electric Co. | 8.450% | 3/15/39 | 2,200 | 3,659 |
Union Electric Co. | 3.900% | 9/15/42 | 175 | 189 |
Union Electric Co. | 3.650% | 4/15/45 | 1,400 | 1,450 |
Virginia Electric & Power Co. | 1.200% | 1/15/18 | 3,000 | 3,004 |
Virginia Electric & Power Co. | 2.950% | 1/15/22 | 2,025 | 2,135 |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 10,595 | 11,396 |
Virginia Electric & Power Co. | 2.750% | 3/15/23 | 6,300 | 6,536 |
Virginia Electric & Power Co. | 3.100% | 5/15/25 | 1,500 | 1,584 |
Virginia Electric & Power Co. | 3.150% | 1/15/26 | 1,350 | 1,429 |
Virginia Electric & Power Co. | 6.000% | 1/15/36 | 2,840 | 3,741 |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 4,225 | 5,649 |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 2,800 | 3,873 |
125
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Virginia Electric & Power Co. | 4.000% | 1/15/43 | 15,375 | 16,440 | |
Virginia Electric & Power Co. | 4.650% | 8/15/43 | 225 | 267 | |
Virginia Electric & Power Co. | 4.450% | 2/15/44 | 1,595 | 1,827 | |
Virginia Electric & Power Co. | 4.200% | 5/15/45 | 3,050 | 3,399 | |
WEC Energy Group Inc. | 1.650% | 6/15/18 | 2,150 | 2,166 | |
WEC Energy Group Inc. | 2.450% | 6/15/20 | 2,075 | 2,129 | |
WEC Energy Group Inc. | 3.550% | 6/15/25 | 2,900 | 3,120 | |
4 | WEC Energy Group Inc. | 6.250% | 5/15/67 | 5,175 | 4,049 |
Westar Energy Inc. | 3.250% | 12/1/25 | 1,900 | 2,031 | |
Westar Energy Inc. | 2.550% | 7/1/26 | 5,500 | 5,507 | |
Westar Energy Inc. | 4.125% | 3/1/42 | 4,375 | 4,817 | |
Westar Energy Inc. | 4.100% | 4/1/43 | 900 | 983 | |
Westar Energy Inc. | 4.625% | 9/1/43 | 2,900 | 3,433 | |
Westar Energy Inc. | 4.250% | 12/1/45 | 750 | 846 | |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 1,050 | 1,119 | |
Wisconsin Electric Power Co. | 4.250% | 12/15/19 | 2,650 | 2,890 | |
Wisconsin Electric Power Co. | 3.100% | 6/1/25 | 400 | 426 | |
Wisconsin Electric Power Co. | 3.650% | 12/15/42 | 400 | 418 | |
Wisconsin Electric Power Co. | 4.250% | 6/1/44 | 600 | 674 | |
Wisconsin Electric Power Co. | 4.300% | 12/15/45 | 1,475 | 1,687 | |
Wisconsin Power & Light Co. | 5.000% | 7/15/19 | 475 | 521 | |
Wisconsin Power & Light Co. | 2.250% | 11/15/22 | 3,850 | 3,879 | |
Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 1,625 | 2,278 | |
Wisconsin Power & Light Co. | 4.100% | 10/15/44 | 1,150 | 1,270 | |
Wisconsin Public Service Corp. | 1.650% | 12/4/18 | 4,500 | 4,564 | |
Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 2,100 | 2,180 | |
Wisconsin Public Service Corp. | 4.752% | 11/1/44 | 2,175 | 2,656 | |
Xcel Energy Inc. | 4.700% | 5/15/20 | 4,120 | 4,556 | |
Xcel Energy Inc. | 2.400% | 3/15/21 | 6,975 | 7,174 | |
Xcel Energy Inc. | 3.300% | 6/1/25 | 11,100 | 11,709 | |
Xcel Energy Inc. | 6.500% | 7/1/36 | 1,111 | 1,481 | |
Natural Gas (0.2%) | |||||
AGL Capital Corp. | 5.250% | 8/15/19 | 1,600 | 1,751 | |
AGL Capital Corp. | 3.500% | 9/15/21 | 580 | 616 | |
AGL Capital Corp. | 3.250% | 6/15/26 | 500 | 513 | |
AGL Capital Corp. | 5.875% | 3/15/41 | 5,600 | 6,833 | |
AGL Capital Corp. | 4.400% | 6/1/43 | 1,000 | 1,025 | |
Atmos Energy Corp. | 8.500% | 3/15/19 | 760 | 897 | |
Atmos Energy Corp. | 5.500% | 6/15/41 | 4,050 | 5,162 | |
Atmos Energy Corp. | 4.150% | 1/15/43 | 75 | 81 | |
Atmos Energy Corp. | 4.125% | 10/15/44 | 3,325 | 3,625 | |
British Transco Finance Inc. | 6.625% | 6/1/18 | 3,125 | 3,435 | |
CenterPoint Energy Resources Corp. | 6.000% | 5/15/18 | 2,636 | 2,842 | |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 7,001 | 7,602 | |
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 2,300 | 2,835 | |
CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 1,975 | 2,293 | |
KeySpan Corp. | 8.000% | 11/15/30 | 150 | 212 | |
NiSource Finance Corp. | 6.400% | 3/15/18 | 635 | 687 | |
NiSource Finance Corp. | 6.800% | 1/15/19 | 5,900 | 6,635 | |
NiSource Finance Corp. | 5.450% | 9/15/20 | 800 | 906 | |
NiSource Finance Corp. | 6.125% | 3/1/22 | 11,295 | 13,498 | |
NiSource Finance Corp. | 6.250% | 12/15/40 | 2,350 | 3,059 | |
NiSource Finance Corp. | 5.950% | 6/15/41 | 5,150 | 6,440 | |
NiSource Finance Corp. | 5.800% | 2/1/42 | 3,375 | 4,321 | |
126 |
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
NiSource Finance Corp. | 4.800% | 2/15/44 | 3,075 | 3,533 |
ONE Gas Inc. | 2.070% | 2/1/19 | 2,350 | 2,385 |
ONE Gas Inc. | 4.658% | 2/1/44 | 1,200 | 1,383 |
Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 1,225 | 1,386 |
Sempra Energy | 6.150% | 6/15/18 | 2,775 | 3,019 |
Sempra Energy | 9.800% | 2/15/19 | 1,500 | 1,806 |
Sempra Energy | 2.400% | 3/15/20 | 2,950 | 2,984 |
Sempra Energy | 2.850% | 11/15/20 | 3,930 | 4,077 |
Sempra Energy | 2.875% | 10/1/22 | 2,325 | 2,380 |
Sempra Energy | 4.050% | 12/1/23 | 13,785 | 14,934 |
Sempra Energy | 3.750% | 11/15/25 | 8,855 | 9,464 |
Sempra Energy | 6.000% | 10/15/39 | 6,925 | 8,525 |
Southern California Gas Co. | 3.200% | 6/15/25 | 560 | 602 |
Southern California Gas Co. | 2.600% | 6/15/26 | 9,300 | 9,543 |
Southern California Gas Co. | 5.750% | 11/15/35 | 400 | 513 |
Southern California Gas Co. | 3.750% | 9/15/42 | 3,325 | 3,524 |
Southern California Gas Co. | 4.450% | 3/15/44 | 1,450 | 1,707 |
Spire Inc. | 4.700% | 8/15/44 | 3,500 | 3,684 |
Other Utility (0.0%) | ||||
American Water Capital Corp. | 6.085% | 10/15/17 | 8,041 | 8,522 |
American Water Capital Corp. | 3.400% | 3/1/25 | 1,825 | 1,973 |
American Water Capital Corp. | 6.593% | 10/15/37 | 6,025 | 8,629 |
American Water Capital Corp. | 4.300% | 9/1/45 | 625 | 714 |
United Utilities plc | 5.375% | 2/1/19 | 5,375 | 5,771 |
Veolia Environnement SA | 6.750% | 6/1/38 | 4,850 | 6,401 |
2,247,927 | ||||
Total Corporate Bonds (Cost $26,820,071) | 28,328,930 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (5.1%) | ||||
African Development Bank | 1.125% | 3/15/17 | 4,200 | 4,212 |
African Development Bank | 0.875% | 3/15/18 | 5,200 | 5,212 |
African Development Bank | 1.625% | 10/2/18 | 11,500 | 11,712 |
African Development Bank | 1.000% | 5/15/19 | 11,000 | 11,036 |
African Development Bank | 1.375% | 2/12/20 | 5,700 | 5,765 |
African Development Bank | 2.375% | 9/23/21 | 13,000 | 13,674 |
Agricultural Bank Of China | 2.000% | 5/21/18 | 2,200 | 2,215 |
Agricultural Bank Of China | 2.750% | 5/21/20 | 2,000 | 2,054 |
Asian Development Bank | 0.750% | 1/11/17 | 16,575 | 16,585 |
Asian Development Bank | 1.125% | 3/15/17 | 29,275 | 29,365 |
Asian Development Bank | 5.250% | 6/12/17 | 100 | 104 |
Asian Development Bank | 0.875% | 4/26/18 | 8,600 | 8,620 |
Asian Development Bank | 1.125% | 6/5/18 | 19,000 | 19,101 |
Asian Development Bank | 5.593% | 7/16/18 | 1,700 | 1,862 |
Asian Development Bank | 1.750% | 9/11/18 | 1,650 | 1,684 |
Asian Development Bank | 1.500% | 9/28/18 | 15,000 | 15,230 |
Asian Development Bank | 1.875% | 10/23/18 | 5,120 | 5,246 |
Asian Development Bank | 1.375% | 1/15/19 | 9,500 | 9,600 |
Asian Development Bank | 1.750% | 3/21/19 | 14,600 | 14,953 |
Asian Development Bank | 1.875% | 4/12/19 | 12,750 | 13,095 |
Asian Development Bank | 1.500% | 1/22/20 | 10,400 | 10,551 |
Asian Development Bank | 1.375% | 3/23/20 | 2,750 | 2,782 |
Asian Development Bank | 1.625% | 3/16/21 | 8,300 | 8,463 |
Asian Development Bank | 1.875% | 2/18/22 | 15,700 | 16,091 |
Asian Development Bank | 2.000% | 1/22/25 | 10,750 | 11,079 |
127
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Asian Development Bank | 2.000% | 4/24/26 | 4,700 | 4,808 |
7 Bank of England | 1.250% | 3/14/19 | 1,700 | 1,715 |
Canada | 1.125% | 3/19/18 | 20,150 | 20,290 |
Canada | 1.625% | 2/27/19 | 1,300 | 1,325 |
CNOOC Finance 2013 Ltd. | 1.750% | 5/9/18 | 2,850 | 2,852 |
CNOOC Finance 2013 Ltd. | 3.000% | 5/9/23 | 13,900 | 13,812 |
CNOOC Finance 2015 Australia Pty Ltd. | 2.625% | 5/5/20 | 8,000 | 8,033 |
CNOOC Finance 2015 USA LLC | 3.500% | 5/5/25 | 22,100 | 22,376 |
CNOOC Nexen Finance 2014 ULC | 1.625% | 4/30/17 | 20,100 | 20,125 |
CNOOC Nexen Finance 2014 ULC | 4.250% | 4/30/24 | 14,600 | 15,574 |
Corp. Andina de Fomento | 1.500% | 8/8/17 | 8,000 | 8,012 |
Corp. Andina de Fomento | 2.000% | 5/10/19 | 9,600 | 9,652 |
Corp. Andina de Fomento | 8.125% | 6/4/19 | 1,850 | 2,182 |
Corp. Andina de Fomento | 4.375% | 6/15/22 | 21,767 | 24,194 |
Council Of Europe Development Bank | 1.000% | 3/7/18 | 10,450 | 10,481 |
Council Of Europe Development Bank | 1.125% | 5/31/18 | 4,550 | 4,572 |
Council Of Europe Development Bank | 1.750% | 11/14/19 | 5,000 | 5,101 |
Council Of Europe Development Bank | 1.625% | 3/10/20 | 15,500 | 15,785 |
Council Of Europe Development Bank | 1.625% | 3/16/21 | 4,500 | 4,564 |
Ecopetrol SA | 5.875% | 9/18/23 | 13,750 | 14,163 |
Ecopetrol SA | 4.125% | 1/16/25 | 25,775 | 23,584 |
Ecopetrol SA | 5.375% | 6/26/26 | 5,750 | 5,549 |
Ecopetrol SA | 7.375% | 9/18/43 | 1,450 | 1,446 |
Ecopetrol SA | 5.875% | 5/28/45 | 9,975 | 8,666 |
Emirates Telecommunications Group Co. PJSC | 3.500% | 6/18/24 | 5,000 | 5,220 |
European Bank for Reconstruction & Development | 0.750% | 9/1/17 | 8,075 | 8,080 |
European Bank for Reconstruction & Development | 1.000% | 9/17/18 | 2,050 | 2,057 |
European Bank for Reconstruction & Development | 1.625% | 11/15/18 | 4,675 | 4,761 |
European Bank for Reconstruction & Development | 1.750% | 6/14/19 | 21,525 | 21,970 |
European Bank for Reconstruction & Development | 1.750% | 11/26/19 | 2,700 | 2,764 |
European Bank for Reconstruction & Development | 1.500% | 3/16/20 | 10,750 | 10,900 |
European Bank for Reconstruction & Development | 1.875% | 2/23/22 | 14,500 | 14,917 |
European Investment Bank | 1.625% | 6/15/17 | 1,000 | 1,009 |
European Investment Bank | 1.000% | 8/17/17 | 17,000 | 17,052 |
European Investment Bank | 1.125% | 9/15/17 | 14,425 | 14,492 |
European Investment Bank | 1.000% | 12/15/17 | 13,850 | 13,883 |
European Investment Bank | 1.000% | 3/15/18 | 20,575 | 20,622 |
European Investment Bank | 1.250% | 5/15/18 | 15,750 | 15,885 |
European Investment Bank | 1.000% | 6/15/18 | 48,100 | 48,309 |
European Investment Bank | 1.125% | 8/15/18 | 33,300 | 33,454 |
European Investment Bank | 1.625% | 12/18/18 | 34,225 | 34,855 |
European Investment Bank | 1.875% | 3/15/19 | 46,000 | 47,111 |
European Investment Bank | 1.750% | 6/17/19 | 62,470 | 63,711 |
European Investment Bank | 1.125% | 8/15/19 | 10,000 | 10,052 |
European Investment Bank | 1.625% | 3/16/20 | 32,400 | 32,999 |
European Investment Bank | 1.375% | 6/15/20 | 21,200 | 21,398 |
European Investment Bank | 2.875% | 9/15/20 | 16,125 | 17,210 |
European Investment Bank | 1.625% | 12/15/20 | 21,500 | 21,826 |
European Investment Bank | 4.000% | 2/16/21 | 11,575 | 12,962 |
European Investment Bank | 2.000% | 3/15/21 | 37,000 | 38,205 |
European Investment Bank | 2.500% | 4/15/21 | 22,125 | 23,326 |
European Investment Bank | 2.125% | 10/15/21 | 7,600 | 7,859 |
European Investment Bank | 2.250% | 8/15/22 | 21,100 | 22,079 |
European Investment Bank | 3.250% | 1/29/24 | 12,100 | 13,558 |
European Investment Bank | 1.875% | 2/10/25 | 9,400 | 9,557 |
128
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
European Investment Bank | 2.125% | 4/13/26 | 30,000 | 31,322 |
Export Development Canada | 0.625% | 12/15/16 | 1,675 | 1,674 |
8 Export Development Canada | 1.000% | 5/15/17 | 7,400 | 7,416 |
Export Development Canada | 0.750% | 12/15/17 | 9,025 | 9,023 |
Export Development Canada | 1.500% | 10/3/18 | 15,125 | 15,341 |
Export Development Canada | 1.250% | 2/4/19 | 8,000 | 8,093 |
8 Export Development Canada | 1.625% | 12/3/19 | 3,600 | 3,666 |
Export Development Canada | 1.500% | 5/26/21 | 16,000 | 16,248 |
Export-Import Bank of Korea | 3.750% | 10/20/16 | 5,375 | 5,415 |
Export-Import Bank of Korea | 1.750% | 2/27/18 | 4,150 | 4,166 |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 7,300 | 7,500 |
Export-Import Bank of Korea | 1.750% | 5/26/19 | 5,100 | 5,148 |
Export-Import Bank of Korea | 2.375% | 8/12/19 | 5,000 | 5,112 |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 5,300 | 5,960 |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 2,400 | 2,607 |
Export-Import Bank of Korea | 2.500% | 5/10/21 | 6,000 | 6,120 |
Export-Import Bank of Korea | 4.375% | 9/15/21 | 4,000 | 4,455 |
Export-Import Bank of Korea | 5.000% | 4/11/22 | 3,300 | 3,795 |
Export-Import Bank of Korea | 4.000% | 1/14/24 | 17,500 | 19,563 |
Export-Import Bank of Korea | 2.875% | 1/21/25 | 3,000 | 3,097 |
Export-Import Bank of Korea | 3.250% | 11/10/25 | 6,200 | 6,647 |
Export-Import Bank of Korea | 2.625% | 5/26/26 | 6,000 | 6,148 |
FMS Wertmanagement AoeR | 1.125% | 9/5/17 | 5,700 | 5,726 |
FMS Wertmanagement AoeR | 1.000% | 11/21/17 | 4,150 | 4,163 |
FMS Wertmanagement AoeR | 1.250% | 7/30/18 | 13,000 | 13,089 |
FMS Wertmanagement AoeR | 1.625% | 11/20/18 | 11,000 | 11,191 |
FMS Wertmanagement AoeR | 1.750% | 3/17/20 | 6,000 | 6,149 |
Hydro-Quebec | 1.375% | 6/19/17 | 9,300 | 9,308 |
Hydro-Quebec | 8.400% | 1/15/22 | 3,040 | 4,024 |
Hydro-Quebec | 8.050% | 7/7/24 | 1,150 | 1,617 |
Industrial & Commercial Bank of China Ltd. | 2.351% | 11/13/17 | 4,200 | 4,236 |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 5,850 | 6,062 |
Industrial & Commercial Bank of China Ltd. | 2.635% | 5/26/21 | 4,950 | 5,012 |
Inter-American Development Bank | 1.000% | 7/14/17 | 21,625 | 21,704 |
Inter-American Development Bank | 2.375% | 8/15/17 | 5,100 | 5,191 |
Inter-American Development Bank | 0.875% | 3/15/18 | 9,925 | 9,930 |
Inter-American Development Bank | 1.750% | 8/24/18 | 7,620 | 7,761 |
Inter-American Development Bank | 1.125% | 8/28/18 | 21,000 | 21,107 |
Inter-American Development Bank | 1.000% | 5/13/19 | 14,500 | 14,527 |
Inter-American Development Bank | 1.125% | 9/12/19 | 24,800 | 24,934 |
Inter-American Development Bank | 3.875% | 9/17/19 | 16,750 | 18,260 |
Inter-American Development Bank | 1.750% | 10/15/19 | 20,200 | 20,632 |
Inter-American Development Bank | 3.875% | 2/14/20 | 1,800 | 1,978 |
Inter-American Development Bank | 2.125% | 11/9/20 | 10,400 | 10,800 |
Inter-American Development Bank | 1.875% | 3/15/21 | 16,000 | 16,438 |
Inter-American Development Bank | 1.750% | 4/14/22 | 25,600 | 26,177 |
Inter-American Development Bank | 3.000% | 10/4/23 | 2,350 | 2,589 |
Inter-American Development Bank | 3.000% | 2/21/24 | 13,000 | 14,365 |
Inter-American Development Bank | 2.125% | 1/15/25 | 14,000 | 14,544 |
Inter-American Development Bank | 7.000% | 6/15/25 | 1,125 | 1,527 |
Inter-American Development Bank | 2.000% | 6/2/26 | 30,625 | 31,473 |
Inter-American Development Bank | 3.200% | 8/7/42 | 2,000 | 2,195 |
Inter-American Development Bank | 4.375% | 1/24/44 | 5,200 | 6,960 |
International Bank for Reconstruction | ||||
& Development | 0.750% | 12/15/16 | 10,625 | 10,630 |
129
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
International Bank for Reconstruction | |||||
& Development | 0.875% | 4/17/17 | 33,125 | 33,169 | |
International Bank for Reconstruction | |||||
& Development | 1.125% | 7/18/17 | 7,500 | 7,530 | |
International Bank for Reconstruction | |||||
& Development | 1.000% | 11/15/17 | 10,000 | 10,039 | |
International Bank for Reconstruction | |||||
& Development | 1.375% | 4/10/18 | 36,200 | 36,548 | |
International Bank for Reconstruction | |||||
& Development | 1.000% | 6/15/18 | 24,400 | 24,455 | |
International Bank for Reconstruction | |||||
& Development | 0.875% | 7/19/18 | 30,000 | 30,043 | |
International Bank for Reconstruction | |||||
& Development | 1.000% | 10/5/18 | 9,000 | 9,043 | |
International Bank for Reconstruction | |||||
& Development | 1.875% | 3/15/19 | 42,875 | 43,934 | |
International Bank for Reconstruction | |||||
& Development | 1.250% | 7/26/19 | 17,000 | 17,203 | |
International Bank for Reconstruction | |||||
& Development | 1.875% | 10/7/19 | 5,100 | 5,230 | |
International Bank for Reconstruction | |||||
& Development | 1.375% | 3/30/20 | 24,000 | 24,344 | |
International Bank for Reconstruction | |||||
& Development | 2.125% | 11/1/20 | 20,400 | 21,242 | |
International Bank for Reconstruction | |||||
& Development | 1.625% | 3/9/21 | 26,000 | 26,414 | |
International Bank for Reconstruction | |||||
& Development | 1.375% | 5/24/21 | 34,000 | 34,309 | |
International Bank for Reconstruction | |||||
& Development | 2.250% | 6/24/21 | 10,250 | 10,711 | |
International Bank for Reconstruction | |||||
& Development | 1.625% | 2/10/22 | 33,425 | 33,931 | |
International Bank for Reconstruction | |||||
& Development | 7.625% | 1/19/23 | 950 | 1,311 | |
International Bank for Reconstruction | |||||
& Development | 2.500% | 11/25/24 | 34,500 | 36,746 | |
International Bank for Reconstruction | |||||
& Development | 8.875% | 3/1/26 | 450 | 720 | |
International Finance Corp. | 1.125% | 11/23/16 | 11,850 | 11,870 | |
International Finance Corp. | 1.000% | 4/24/17 | 5,650 | 5,659 | |
International Finance Corp. | 2.125% | 11/17/17 | 25,300 | 25,692 | |
International Finance Corp. | 0.625% | 12/21/17 | 6,850 | 6,815 | |
International Finance Corp. | 1.250% | 7/16/18 | 15,400 | 15,490 | |
International Finance Corp. | 1.750% | 9/4/18 | 6,400 | 6,504 | |
International Finance Corp. | 1.750% | 9/16/19 | 10,500 | 10,749 | |
International Finance Corp. | 2.125% | 4/7/26 | 22,800 | 23,699 | |
9 | Japan Bank for International Cooperation | 1.125% | 7/19/17 | 6,475 | 6,472 |
9 | Japan Bank for International Cooperation | 1.750% | 7/31/18 | 10,625 | 10,725 |
9 | Japan Bank for International Cooperation | 1.750% | 11/13/18 | 19,900 | 20,110 |
9 | Japan Bank for International Cooperation | 2.125% | 2/7/19 | 5,000 | 5,104 |
9 | Japan Bank for International Cooperation | 1.750% | 5/28/20 | 4,750 | 4,796 |
9 | Japan Bank for International Cooperation | 1.875% | 4/20/21 | 6,600 | 6,634 |
9 | Japan Bank for International Cooperation | 3.375% | 7/31/23 | 2,400 | 2,652 |
9 | Japan Bank for International Cooperation | 3.000% | 5/29/24 | 17,000 | 18,335 |
9 | Japan Bank for International Cooperation | 2.125% | 2/10/25 | 14,500 | 14,671 |
130 |
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
9 | Japan Bank for International Cooperation | 2.500% | 5/28/25 | 3,900 | 4,109 |
9 | Japan Bank for International Cooperation’ | 2.375% | 4/20/26 | 1,600 | 1,673 |
9 | Japan Finance Organization for Municipalities | 5.000% | 5/16/17 | 1,500 | 1,550 |
9 | Japan Finance Organization for Municipalities | 4.000% | 1/13/21 | 5,625 | 6,177 |
10 | KFW | 0.875% | 9/5/17 | 14,200 | 14,230 |
10 | KFW | 0.875% | 12/15/17 | 8,000 | 8,016 |
10 | KFW | 1.000% | 1/26/18 | 2,000 | 2,007 |
10 | KFW | 4.375% | 3/15/18 | 18,100 | 19,190 |
10 | KFW | 0.875% | 4/19/18 | 38,000 | 38,068 |
10 | KFW | 1.000% | 6/11/18 | 26,350 | 26,449 |
10 | KFW | 4.500% | 7/16/18 | 6,225 | 6,686 |
10 | KFW | 1.125% | 8/6/18 | 11,600 | 11,674 |
10 | KFW | 1.125% | 11/16/18 | 35,000 | 35,230 |
10 | KFW | 1.500% | 2/6/19 | 51,500 | 52,335 |
10 | KFW | 1.875% | 4/1/19 | 48,590 | 49,916 |
10 | KFW | 4.875% | 6/17/19 | 10,075 | 11,211 |
10 | KFW | 1.750% | 10/15/19 | 23,650 | 24,195 |
10 | KFW | 4.000% | 1/27/20 | 5,400 | 5,946 |
10 | KFW | 1.500% | 4/20/20 | 27,500 | 27,935 |
10 | KFW | 2.750% | 9/8/20 | 14,250 | 15,169 |
10 | KFW | 2.750% | 10/1/20 | 13,200 | 14,041 |
10 | KFW | 1.500% | 6/15/21 | 60,000 | 60,767 |
10 | KFW | 2.375% | 8/25/21 | 19,590 | 20,610 |
10 | KFW | 2.625% | 1/25/22 | 14,200 | 15,138 |
10 | KFW | 2.000% | 10/4/22 | 24,875 | 25,654 |
10 | KFW | 2.125% | 1/17/23 | 23,500 | 24,451 |
10 | KFW | 2.500% | 11/20/24 | 39,500 | 41,908 |
10 | KFW | 2.000% | 5/2/25 | 31,350 | 32,104 |
10 | KFW | 0.000% | 4/18/36 | 7,000 | 4,192 |
Korea Development Bank | 4.000% | 9/9/16 | 2,150 | 2,162 | |
Korea Development Bank | 3.250% | 9/20/16 | 4,000 | 4,021 | |
Korea Development Bank | 3.875% | 5/4/17 | 2,500 | 2,557 | |
Korea Development Bank | 2.250% | 8/7/17 | 1,475 | 1,493 | |
Korea Development Bank | 3.500% | 8/22/17 | 3,450 | 3,538 | |
Korea Development Bank | 2.500% | 1/13/21 | 5,000 | 5,105 | |
Korea Development Bank | 4.625% | 11/16/21 | 9,250 | 10,512 | |
Korea Development Bank | 3.000% | 9/14/22 | 18,750 | 19,766 | |
Korea Development Bank | 3.750% | 1/22/24 | 9,600 | 10,445 | |
Korea Development Bank | 3.000% | 1/13/26 | 1,500 | 1,582 | |
10 | Landwirtschaftliche Rentenbank | 0.875% | 9/12/17 | 2,225 | 2,226 |
10 | Landwirtschaftliche Rentenbank | 2.375% | 9/13/17 | 3,900 | 3,963 |
10 | Landwirtschaftliche Rentenbank | 1.000% | 4/4/18 | 11,400 | 11,391 |
10 | Landwirtschaftliche Rentenbank | 1.875% | 9/17/18 | 5,600 | 5,689 |
10 | Landwirtschaftliche Rentenbank | 1.375% | 10/23/19 | 2,900 | 2,901 |
10 | Landwirtschaftliche Rentenbank | 2.250% | 10/1/21 | 16,700 | 17,421 |
10 | Landwirtschaftliche Rentenbank | 2.000% | 1/13/25 | 16,300 | 16,473 |
10 | Landwirtschaftliche Rentenbank | 2.375% | 6/10/25 | 14,575 | 15,159 |
Nexen Energy ULC | 7.875% | 3/15/32 | 325 | 448 | |
Nexen Energy ULC | 5.875% | 3/10/35 | 690 | 811 | |
Nexen Energy ULC | 6.400% | 5/15/37 | 13,400 | 16,718 | |
Nexen Energy ULC | 7.500% | 7/30/39 | 3,400 | 4,714 | |
Nordic Investment Bank | 5.000% | 2/1/17 | 550 | 563 | |
Nordic Investment Bank | 1.000% | 3/7/17 | 2,250 | 2,254 | |
Nordic Investment Bank | 0.750% | 1/17/18 | 14,450 | 14,456 | |
Nordic Investment Bank | 1.125% | 3/19/18 | 9,250 | 9,317 |
131
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Nordic Investment Bank | 1.875% | 6/14/19 | 8,300 | 8,519 | |
North American Development Bank | 2.300% | 10/10/18 | 2,087 | 2,131 | |
North American Development Bank | 4.375% | 2/11/20 | 975 | 1,064 | |
North American Development Bank | 2.400% | 10/26/22 | 3,300 | 3,373 | |
11 | Oesterreichische Kontrollbank AG | 5.000% | 4/25/17 | 4,025 | 4,160 |
11 | Oesterreichische Kontrollbank AG | 1.625% | 3/12/19 | 3,500 | 3,539 |
11 | Oesterreichische Kontrollbank AG | 1.125% | 4/26/19 | 10,200 | 10,178 |
11 | Oesterreichische Kontrollbank AG | 1.375% | 2/10/20 | 5,675 | 5,658 |
11 | Oesterreichische Kontrollbank AG | 1.500% | 10/21/20 | 30,000 | 30,209 |
11 | Oesterreichische Kontrollbank AG | 1.875% | 1/20/21 | 10,900 | 11,150 |
11 | Oesterreichische Kontrollbank AG | 2.375% | 10/1/21 | 5,000 | 5,180 |
4 | Oriental Republic of Uruguay | 8.000% | 11/18/22 | 3,900 | 4,992 |
4 | Oriental Republic of Uruguay | 4.500% | 8/14/24 | 16,725 | 18,067 |
4 | Oriental Republic of Uruguay | 4.375% | 10/27/27 | 2,850 | 3,000 |
4 | Oriental Republic of Uruguay | 7.625% | 3/21/36 | 4,725 | 6,355 |
4 | Oriental Republic of Uruguay | 4.125% | 11/20/45 | 6,579 | 5,863 |
4 | Oriental Republic of Uruguay | 5.100% | 6/18/50 | 17,975 | 17,913 |
Petroleos Mexicanos | 5.750% | 3/1/18 | 41,075 | 43,110 | |
7 | Petroleos Mexicanos | 5.500% | 2/4/19 | 5,000 | 5,269 |
Petroleos Mexicanos | 8.000% | 5/3/19 | 8,675 | 9,702 | |
Petroleos Mexicanos | 6.000% | 3/5/20 | 3,000 | 3,231 | |
Petroleos Mexicanos | 3.500% | 7/23/20 | 4,200 | 4,173 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 16,445 | 17,367 | |
Petroleos Mexicanos | 6.375% | 2/4/21 | 19,000 | 20,620 | |
7 | Petroleos Mexicanos | 6.375% | 2/4/21 | 28,613 | 31,052 |
Petroleos Mexicanos | 4.875% | 1/24/22 | 11,118 | 11,346 | |
Petroleos Mexicanos | 3.500% | 1/30/23 | 8,550 | 8,044 | |
4 | Petroleos Mexicanos | 2.290% | 2/15/24 | 1,200 | 1,233 |
Petroleos Mexicanos | 2.378% | 4/15/25 | 1,710 | 1,764 | |
Petroleos Mexicanos | 4.500% | 1/23/26 | 3,850 | 3,718 | |
7 | Petroleos Mexicanos | 6.875% | 8/4/26 | 26,030 | 29,079 |
Petroleos Mexicanos | 6.625% | 6/15/35 | 9,600 | 9,943 | |
Petroleos Mexicanos | 6.625% | 6/15/38 | 3,025 | 3,066 | |
Petroleos Mexicanos | 6.500% | 6/2/41 | 17,725 | 17,968 | |
Petroleos Mexicanos | 5.500% | 6/27/44 | 27,000 | 24,474 | |
Petroleos Mexicanos | 6.375% | 1/23/45 | 8,370 | 8,376 | |
Petroleos Mexicanos | 5.625% | 1/23/46 | 29,000 | 26,429 | |
12 | Power Sector Assets & Liabilities | ||||
Management Corp. | 9.625% | 5/15/28 | 1,255 | 1,965 | |
Province of British Columbia | 1.200% | 4/25/17 | 4,700 | 4,714 | |
Province of British Columbia | 2.650% | 9/22/21 | 7,700 | 8,193 | |
Province of British Columbia | 2.000% | 10/23/22 | 9,800 | 10,146 | |
Province of British Columbia | 2.250% | 6/2/26 | 1,100 | 1,133 | |
Province of Manitoba | 4.900% | 12/6/16 | 5,865 | 5,963 | |
Province of Manitoba | 1.300% | 4/3/17 | 4,050 | 4,063 | |
Province of Manitoba | 1.125% | 6/1/18 | 700 | 704 | |
Province of Manitoba | 2.100% | 9/6/22 | 3,000 | 3,062 | |
Province of Manitoba | 3.050% | 5/14/24 | 19,500 | 21,095 | |
Province of Manitoba | 2.125% | 6/22/26 | 3,500 | 3,506 | |
Province of New Brunswick | 2.750% | 6/15/18 | 7,375 | 7,592 | |
Province of Nova Scotia | 9.125% | 5/1/21 | 1,280 | 1,675 | |
Province of Ontario | 1.100% | 10/25/17 | 10,350 | 10,383 | |
Province of Ontario | 3.150% | 12/15/17 | 5,525 | 5,709 | |
Province of Ontario | 1.200% | 2/14/18 | 5,600 | 5,621 | |
Province of Ontario | 3.000% | 7/16/18 | 2,550 | 2,649 |
132
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Province of Ontario | 2.000% | 9/27/18 | 12,500 | 12,748 |
Province of Ontario | 1.625% | 1/18/19 | 13,000 | 13,169 |
Province of Ontario | 2.000% | 1/30/19 | 20,000 | 20,442 |
Province of Ontario | 1.250% | 6/17/19 | 10,000 | 10,068 |
Province of Ontario | 1.650% | 9/27/19 | 11,000 | 11,144 |
Province of Ontario | 4.000% | 10/7/19 | 3,550 | 3,860 |
Province of Ontario | 4.400% | 4/14/20 | 13,100 | 14,557 |
Province of Ontario | 1.875% | 5/21/20 | 7,400 | 7,545 |
Province of Ontario | 2.500% | 9/10/21 | 13,500 | 14,113 |
Province of Ontario | 2.450% | 6/29/22 | 1,525 | 1,587 |
Province of Ontario | 3.200% | 5/16/24 | 10,000 | 10,920 |
Province of Ontario | 2.500% | 4/27/26 | 8,000 | 8,250 |
Quebec | 4.625% | 5/14/18 | 9,050 | 9,658 |
Quebec | 3.500% | 7/29/20 | 8,670 | 9,397 |
Quebec | 2.750% | 8/25/21 | 13,475 | 14,248 |
Quebec | 2.625% | 2/13/23 | 34,919 | 36,653 |
Quebec | 7.125% | 2/9/24 | 3,075 | 4,087 |
Quebec | 2.875% | 10/16/24 | 9,400 | 10,021 |
Quebec | 7.500% | 9/15/29 | 4,875 | 7,412 |
Republic of Chile | 2.250% | 10/30/22 | 10,400 | 10,484 |
Republic of Chile | 3.125% | 1/21/26 | 28,819 | 29,684 |
Republic of Chile | 3.625% | 10/30/42 | 3,600 | 3,598 |
Republic of Colombia | 7.375% | 3/18/19 | 3,010 | 3,431 |
Republic of Colombia | 11.750% | 2/25/20 | 350 | 461 |
Republic of Colombia | 4.375% | 7/12/21 | 15,385 | 16,439 |
4 Republic of Colombia | 2.625% | 3/15/23 | 17,950 | 17,351 |
Republic of Colombia | 4.000% | 2/26/24 | 38,778 | 40,475 |
Republic of Colombia | 8.125% | 5/21/24 | 2,800 | 3,640 |
4 Republic of Colombia | 4.500% | 1/28/26 | 9,080 | 9,707 |
Republic of Colombia | 7.375% | 9/18/37 | 11,500 | 14,907 |
Republic of Colombia | 6.125% | 1/18/41 | 8,550 | 9,862 |
4 Republic of Colombia | 5.625% | 2/26/44 | 15,400 | 17,017 |
4 Republic of Colombia | 5.000% | 6/15/45 | 11,743 | 12,183 |
Republic of Finland | 6.950% | 2/15/26 | 1,000 | 1,398 |
Republic of Italy | 5.375% | 6/12/17 | 9,100 | 9,422 |
Republic of Italy | 6.875% | 9/27/23 | 17,925 | 22,492 |
Republic of Italy | 5.375% | 6/15/33 | 13,750 | 16,632 |
Republic of Korea | 5.125% | 12/7/16 | 2,155 | 2,194 |
Republic of Korea | 7.125% | 4/16/19 | 19,478 | 22,579 |
Republic of Korea | 3.875% | 9/11/23 | 5,800 | 6,613 |
Republic of Korea | 5.625% | 11/3/25 | 575 | 755 |
Republic of Panama | 5.200% | 1/30/20 | 15,455 | 17,078 |
4 Republic of Panama | 3.750% | 3/16/25 | 6,300 | 6,647 |
Republic of Panama | 7.125% | 1/29/26 | 13,500 | 17,753 |
Republic of Panama | 9.375% | 4/1/29 | 5,500 | 8,388 |
4 Republic of Panama | 6.700% | 1/26/36 | 18,148 | 24,070 |
4 Republic of Panama | 4.300% | 4/29/53 | 5,000 | 5,100 |
Republic of Peru | 7.125% | 3/30/19 | 12,350 | 14,238 |
Republic of Peru | 7.350% | 7/21/25 | 2,725 | 3,713 |
Republic of Peru | 4.125% | 8/25/27 | 3,400 | 3,721 |
Republic of Peru | 8.750% | 11/21/33 | 21,147 | 33,213 |
4 Republic of Peru | 6.550% | 3/14/37 | 14,900 | 20,018 |
Republic of Peru | 5.625% | 11/18/50 | 10,000 | 12,432 |
Republic of Poland | 6.375% | 7/15/19 | 12,860 | 14,570 |
Republic of Poland | 5.125% | 4/21/21 | 15,650 | 17,561 |
133
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Republic of Poland | 5.000% | 3/23/22 | 29,085 | 32,666 |
Republic of Poland | 3.000% | 3/17/23 | 17,800 | 18,083 |
Republic of Poland | 4.000% | 1/22/24 | 225 | 242 |
Republic of Poland | 3.250% | 4/6/26 | 11,900 | 12,111 |
Republic of South Africa | 6.875% | 5/27/19 | 4,425 | 4,922 |
Republic of South Africa | 5.500% | 3/9/20 | 14,490 | 15,542 |
Republic of South Africa | 5.875% | 5/30/22 | 875 | 970 |
Republic of South Africa | 4.665% | 1/17/24 | 9,300 | 9,573 |
Republic of South Africa | 5.875% | 9/16/25 | 10,600 | 11,740 |
Republic of South Africa | 4.875% | 4/14/26 | 800 | 825 |
Republic of South Africa | 5.375% | 7/24/44 | 10,000 | 10,335 |
Republic of the Philippines | 8.375% | 6/17/19 | 5,000 | 5,964 |
Republic of the Philippines | 4.000% | 1/15/21 | 15,025 | 16,457 |
Republic of the Philippines | 10.625% | 3/16/25 | 8,525 | 13,984 |
Republic of the Philippines | 5.500% | 3/30/26 | 9,150 | 11,581 |
Republic of the Philippines | 9.500% | 2/2/30 | 4,450 | 7,614 |
Republic of the Philippines | 7.750% | 1/14/31 | 13,000 | 20,131 |
Republic of the Philippines | 6.375% | 1/15/32 | 9,650 | 13,608 |
Republic of the Philippines | 6.375% | 10/23/34 | 20,325 | 29,471 |
Republic of the Philippines | 5.000% | 1/13/37 | 1,950 | 2,478 |
Republic of the Philippines | 3.950% | 1/20/40 | 8,999 | 10,356 |
Republic of the Philippines | 3.700% | 3/1/41 | 6,733 | 7,498 |
Republic of Turkey | 7.500% | 7/14/17 | 5,725 | 6,064 |
Republic of Turkey | 6.750% | 4/3/18 | 30,725 | 32,996 |
Republic of Turkey | 7.000% | 3/11/19 | 17,600 | 19,466 |
Republic of Turkey | 7.000% | 6/5/20 | 5,600 | 6,347 |
Republic of Turkey | 5.625% | 3/30/21 | 16,875 | 18,371 |
Republic of Turkey | 5.125% | 3/25/22 | 15,925 | 17,022 |
Republic of Turkey | 6.250% | 9/26/22 | 6,000 | 6,778 |
Republic of Turkey | 3.250% | 3/23/23 | 11,700 | 11,271 |
Republic of Turkey | 5.750% | 3/22/24 | 41,800 | 46,496 |
Republic of Turkey | 7.375% | 2/5/25 | 10,475 | 12,915 |
Republic of Turkey | 4.875% | 10/9/26 | 1,500 | 1,581 |
Republic of Turkey | 11.875% | 1/15/30 | 4,000 | 6,966 |
Republic of Turkey | 8.000% | 2/14/34 | 11,200 | 15,066 |
Republic of Turkey | 6.875% | 3/17/36 | 14,600 | 17,770 |
Republic of Turkey | 6.750% | 5/30/40 | 8,000 | 9,700 |
Republic of Turkey | 6.000% | 1/14/41 | 24,750 | 27,634 |
Republic of Turkey | 4.875% | 4/16/43 | 31,950 | 31,191 |
Republic of Turkey | 6.625% | 2/17/45 | 7,350 | 8,906 |
State of Israel | 5.125% | 3/26/19 | 5,350 | 5,884 |
State of Israel | 4.000% | 6/30/22 | 8,200 | 9,114 |
State of Israel | 3.150% | 6/30/23 | 2,400 | 2,553 |
State of Israel | 2.875% | 3/16/26 | 30,000 | 30,950 |
State of Israel | 4.500% | 1/30/43 | 7,700 | 8,668 |
Statoil ASA | 3.125% | 8/17/17 | 5,390 | 5,513 |
Statoil ASA | 6.700% | 1/15/18 | 1,000 | 1,080 |
Statoil ASA | 1.200% | 1/17/18 | 1,500 | 1,499 |
Statoil ASA | 1.950% | 11/8/18 | 3,500 | 3,546 |
Statoil ASA | 5.250% | 4/15/19 | 3,990 | 4,392 |
Statoil ASA | 2.250% | 11/8/19 | 7,500 | 7,677 |
Statoil ASA | 2.900% | 11/8/20 | 3,025 | 3,158 |
Statoil ASA | 2.750% | 11/10/21 | 10,400 | 10,808 |
Statoil ASA | 3.150% | 1/23/22 | 3,175 | 3,338 |
Statoil ASA | 2.450% | 1/17/23 | 17,550 | 17,725 |
134
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
Statoil ASA | 2.650% | 1/15/24 | 9,868 | 9,999 |
Statoil ASA | 3.700% | 3/1/24 | 12,368 | 13,382 |
Statoil ASA | 3.250% | 11/10/24 | 5,100 | 5,369 |
Statoil ASA | 7.250% | 9/23/27 | 1,975 | 2,711 |
7 Statoil ASA | 6.500% | 12/1/28 | 225 | 305 |
Statoil ASA | 7.150% | 1/15/29 | 1,165 | 1,614 |
Statoil ASA | 5.100% | 8/17/40 | 4,000 | 4,796 |
Statoil ASA | 4.250% | 11/23/41 | 2,300 | 2,449 |
Statoil ASA | 3.950% | 5/15/43 | 2,400 | 2,489 |
Statoil ASA | 4.800% | 11/8/43 | 5,000 | 5,800 |
Svensk Exportkredit AB | 1.750% | 5/30/17 | 3,950 | 3,982 |
Svensk Exportkredit AB | 1.125% | 4/5/18 | 14,800 | 14,852 |
Svensk Exportkredit AB | 1.250% | 4/12/19 | 4,900 | 4,929 |
Svensk Exportkredit AB | 1.875% | 6/17/19 | 11,700 | 11,958 |
Svensk Exportkredit AB | 1.750% | 3/10/21 | 7,500 | 7,631 |
United Mexican States | 5.950% | 3/19/19 | 7,420 | 8,290 |
United Mexican States | 5.125% | 1/15/20 | 3,500 | 3,885 |
United Mexican States | 3.500% | 1/21/21 | 10,688 | 11,308 |
United Mexican States | 3.625% | 3/15/22 | 38,437 | 40,523 |
United Mexican States | 4.000% | 10/2/23 | 35,182 | 37,750 |
United Mexican States | 3.600% | 1/30/25 | 11,226 | 11,727 |
United Mexican States | 7.500% | 4/8/33 | 2,250 | 3,234 |
United Mexican States | 6.750% | 9/27/34 | 5,200 | 6,998 |
United Mexican States | 6.050% | 1/11/40 | 25,852 | 32,509 |
United Mexican States | 4.750% | 3/8/44 | 41,083 | 43,925 |
United Mexican States | 5.550% | 1/21/45 | 6,900 | 8,263 |
United Mexican States | 4.600% | 1/23/46 | 2,701 | 2,832 |
United Mexican States | 5.750% | 10/12/10 | 31,260 | 34,349 |
Total Sovereign Bonds (Cost $5,050,804) | 5,238,913 | |||
Taxable Municipal Bonds (1.0%) | ||||
Alameda County CA Joint Powers Authority | ||||
Lease Revenue | 7.046% | 12/1/44 | 2,080 | 3,055 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 7.834% | 2/15/41 | 3,575 | 5,457 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 6.053% | 2/15/43 | 400 | 519 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 5.939% | 2/15/47 | 5,445 | 6,943 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 6.270% | 2/15/50 | 1,090 | 1,427 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 7.499% | 2/15/50 | 750 | 1,105 |
American Municipal Power Ohio Inc. Revenue | ||||
(Prairie State Energy Campus Project) | 8.084% | 2/15/50 | 2,850 | 4,627 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 6.793% | 4/1/30 | 875 | 1,155 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 6.918% | 4/1/40 | 1,600 | 2,341 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 6.263% | 4/1/49 | 12,633 | 19,294 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 7.043% | 4/1/50 | 1,325 | 2,082 |
Bay Area Toll Authority California Toll Bridge | ||||
Revenue (San Francisco Bay Area) | 6.907% | 10/1/50 | 4,265 | 6,710 |
135
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
California GO | 5.750% | 3/1/17 | 4,000 | 4,137 |
California GO | 6.200% | 3/1/19 | 1,100 | 1,242 |
California GO | 6.200% | 10/1/19 | 4,435 | 5,116 |
California GO | 5.700% | 11/1/21 | 9,655 | 11,535 |
California GO | 7.500% | 4/1/34 | 12,555 | 19,044 |
California GO | 7.550% | 4/1/39 | 14,955 | 23,663 |
California GO | 7.300% | 10/1/39 | 2,400 | 3,632 |
California GO | 7.350% | 11/1/39 | 11,825 | 17,982 |
California GO | 7.625% | 3/1/40 | 6,425 | 10,136 |
California GO | 7.600% | 11/1/40 | 18,185 | 29,416 |
Central Puget Sound WA Regional Transit | ||||
Authority Sales & Use Tax Revenue | 5.491% | 11/1/39 | 550 | 744 |
Chicago IL GO | 7.375% | 1/1/33 | 1,550 | 1,631 |
Chicago IL GO | 7.781% | 1/1/35 | 825 | 899 |
Chicago IL Metropolitan Water Reclamation | ||||
District GO | 5.720% | 12/1/38 | 3,060 | 3,801 |
Chicago IL O’Hare International Airport Revenue | 6.845% | 1/1/38 | 400 | 455 |
Chicago IL O’Hare International Airport Revenue | 6.395% | 1/1/40 | 1,240 | 1,763 |
Chicago IL Transit Authority Sales Tax | ||||
Receipts Revenue | 6.200% | 12/1/40 | 1,650 | 2,027 |
Chicago IL Transit Authority Transfer Tax | ||||
Receipts Revenue | 6.899% | 12/1/40 | 4,255 | 5,543 |
Chicago IL Wastewater Transmission Revenue | 6.900% | 1/1/40 | 2,600 | 3,392 |
Chicago IL Water Revenue | 6.742% | 11/1/40 | 4,400 | 5,713 |
Clark County NV Airport System Revenue | 6.881% | 7/1/42 | 550 | 629 |
Clark County NV Airport System Revenue | 6.820% | 7/1/45 | 3,400 | 5,255 |
Colorado Bridge Enterprise Revenue | 6.078% | 12/1/40 | 1,300 | 1,768 |
Commonwealth Financing Authority Pennsylvania | ||||
Revenue | 6.218% | 6/1/39 | 2,350 | 2,966 |
Connecticut GO | 5.632% | 12/1/29 | 1,110 | 1,393 |
Connecticut GO | 5.090% | 10/1/30 | 800 | 955 |
Connecticut GO | 5.850% | 3/15/32 | 9,015 | 11,724 |
Connecticut Special Tax Revenue | ||||
(Transportation Infrastructure) | 5.459% | 11/1/30 | 100 | 124 |
Cook County IL GO | 6.229% | 11/15/34 | 1,750 | 2,144 |
Curators of the University of Missouri System | ||||
Facilities Revenue | 5.960% | 11/1/39 | 1,000 | 1,373 |
Curators of the University of Missouri System | ||||
Facilities Revenue | 5.792% | 11/1/41 | 1,000 | 1,432 |
Dallas County TX Hospital District Revenue | 5.621% | 8/15/44 | 850 | 1,144 |
Dallas TX Area Rapid Transit Revenue | 4.922% | 12/1/41 | 1,650 | 2,098 |
Dallas TX Area Rapid Transit Revenue | 5.999% | 12/1/44 | 1,100 | 1,590 |
Dallas TX Area Rapid Transit Revenue | 5.022% | 12/1/48 | 2,825 | 3,732 |
Dallas TX Convention Center Hotel Development | ||||
Corp. Hotel Revenue | 7.088% | 1/1/42 | 5,725 | 8,075 |
Dallas TX Independent School District GO | 6.450% | 2/15/35 | 1,500 | 1,794 |
Dartmouth College New Hampshire GO | 4.750% | 6/1/19 | 165 | 183 |
Denver CO City & County School District | ||||
No. 1 COP | 7.017% | 12/15/37 | 1,050 | 1,509 |
Denver CO City & County School District | ||||
No. 1 GO | 5.664% | 12/1/33 | 525 | 698 |
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 450 | 590 |
District of Columbia Income Tax Revenue | 5.582% | 12/1/35 | 650 | 861 |
District of Columbia Water & Sewer Authority | ||||
Public Utility Revenue | 4.814% | 10/1/14 | 8,200 | 9,574 |
136
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
East Baton Rouge LA Sewer Commission | |||||
Revenue | 6.087% | 2/1/45 | 975 | 1,088 | |
East Bay CA Municipal Utility District Water | |||||
System Revenue | 5.874% | 6/1/40 | 1,100 | 1,516 | |
Emory University Georgia GO | 5.625% | 9/1/19 | 1,430 | 1,626 | |
Energy Northwest Washington Electric Revenue | |||||
(Columbia Generating Station) | 2.197% | 7/1/19 | 2,000 | 2,059 | |
Florida Hurricane Catastrophe Fund Finance | |||||
Corp. Revenue | 2.107% | 7/1/18 | 6,650 | 6,756 | |
Florida Hurricane Catastrophe Fund Finance | |||||
Corp. Revenue | 2.995% | 7/1/20 | 11,535 | 12,061 | |
George Washington University District of | |||||
Columbia GO | 3.485% | 9/15/22 | 2,800 | 3,008 | |
George Washington University District of | |||||
Columbia GO | 4.300% | 9/15/44 | 900 | 986 | |
Georgia GO | 4.503% | 11/1/25 | 5,300 | 6,100 | |
Georgia Municipal Electric Power Authority | |||||
Revenue | 6.637% | 4/1/57 | 6,720 | 8,849 | |
Georgia Municipal Electric Power Authority | |||||
Revenue | 6.655% | 4/1/57 | 2,150 | 2,796 | |
Georgia Municipal Electric Power Authority | |||||
Revenue | 7.055% | 4/1/57 | 5,100 | 6,149 | |
Houston TX GO | 6.290% | 3/1/32 | 8,430 | 10,818 | |
Houston TX Utility System Revenue | 3.828% | 5/15/28 | 2,400 | 2,705 | |
Illinois GO | 5.365% | 3/1/17 | 3,000 | 3,075 | |
Illinois GO | 5.665% | 3/1/18 | 4,750 | 5,013 | |
Illinois GO | 4.950% | 6/1/23 | 2,125 | 2,252 | |
Illinois GO | 5.100% | 6/1/33 | 43,740 | 41,988 | |
Illinois GO | 6.630% | 2/1/35 | 5,400 | 5,771 | |
Illinois GO | 6.725% | 4/1/35 | 3,150 | 3,401 | |
Illinois GO | 7.350% | 7/1/35 | 5,800 | 6,493 | |
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 4,120 | 5,546 | |
Illinois Toll Highway Authority Revenue | 5.851% | 12/1/34 | 625 | 835 | |
Indianapolis IN Local Public Improvement Revenue | 6.116% | 1/15/40 | 3,700 | 5,162 | |
13 | Industry CA Sales Tax Revenue | 5.125% | 1/1/51 | 1,400 | 1,538 |
JobsOhio Beverage System Statewide Liquor | |||||
Profits Revenue | 3.985% | 1/1/29 | 3,140 | 3,545 | |
JobsOhio Beverage System Statewide Liquor | |||||
Profits Revenue | 4.532% | 1/1/35 | 2,350 | 2,748 | |
Kansas Department of Transportation Highway | |||||
Revenue | 4.596% | 9/1/35 | 2,700 | 3,256 | |
Kansas Development Finance Authority Revenue | 4.727% | 4/15/37 | 1,900 | 2,107 | |
Kansas Development Finance Authority Revenue | 4.927% | 4/15/45 | 100 | 113 | |
13 | Kansas Development Finance Authority Revenue | ||||
(Public Employees Retirement System) | 5.501% | 5/1/34 | 1,525 | 1,874 | |
Kentucky Asset/Liability Commission General | |||||
Fund Revenue | 3.165% | 4/1/18 | 86 | 87 | |
Los Angeles CA Community College District GO | 6.600% | 8/1/42 | 7,550 | 11,534 | |
Los Angeles CA Community College District GO | 6.750% | 8/1/49 | 4,250 | 6,767 | |
Los Angeles CA Department of Airports | |||||
International Airport Revenue | 6.582% | 5/15/39 | 450 | 627 | |
Los Angeles CA Department of Water | |||||
& Power Revenue | 5.716% | 7/1/39 | 850 | 1,125 | |
Los Angeles CA Department of Water | |||||
& Power Revenue | 6.008% | 7/1/39 | 2,400 | 3,209 |
137
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Los Angeles CA Department of Water | |||||
& Power Revenue | 6.166% | 7/1/40 | 600 | 692 | |
Los Angeles CA Department of Water | |||||
& Power Revenue | 6.574% | 7/1/45 | 6,555 | 9,887 | |
Los Angeles CA Department of Water | |||||
& Power Revenue | 6.603% | 7/1/50 | 500 | 777 | |
Los Angeles CA Unified School District GO | 5.755% | 7/1/29 | 1,800 | 2,326 | |
Los Angeles CA Unified School District GO | 5.750% | 7/1/34 | 6,590 | 8,725 | |
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 1,050 | 1,513 | |
Los Angeles County CA Metropolitan | |||||
Transportation Authority Sales Tax Revenue | 5.735% | 6/1/39 | 5,500 | 7,275 | |
Los Angeles County CA Public Works Financing | |||||
Authority Lease Revenue | 7.488% | 8/1/33 | 1,700 | 2,404 | |
Los Angeles County CA Public Works Financing | |||||
Authority Lease Revenue | 7.618% | 8/1/40 | 850 | 1,309 | |
Maryland Transportation Authority Facilities | |||||
Projects Revenue | 5.888% | 7/1/43 | 800 | 1,085 | |
Massachusetts GO | 4.200% | 12/1/21 | 6,070 | 6,796 | |
Massachusetts GO | 5.456% | 12/1/39 | 5,250 | 7,126 | |
Massachusetts School Building Authority | |||||
Dedicated Sales Tax Revenue | 5.715% | 8/15/39 | 2,700 | 3,554 | |
Massachusetts Transportation Fund Revenue | 5.731% | 6/1/40 | 475 | 649 | |
Massachusetts Water Pollution Abatement | |||||
Trust Revenue | 5.192% | 8/1/40 | 2,415 | 2,995 | |
Metropolitan Government of Nashville & Davidson | |||||
County TN Convention Center Authority Tourism | |||||
Tax Revenue | 6.731% | 7/1/43 | 1,500 | 2,079 | |
Metropolitan Government of Nashville & Davidson | |||||
County TN GO | 5.707% | 7/1/34 | 1,000 | 1,283 | |
Metropolitan Washington DC/VA Airports | |||||
Authority Dulles Toll Road Revenue | 7.462% | 10/1/46 | 4,175 | 6,456 | |
Metropolitan Water District of Southern California | |||||
Revenue | 6.947% | 7/1/40 | 650 | 779 | |
Mississippi GO | 5.245% | 11/1/34 | 1,350 | 1,708 | |
Missouri Highways & Transportation Commission | |||||
Road Revenue | 5.445% | 5/1/33 | 600 | 766 | |
14 | New Jersey Economic Development Authority | ||||
Revenue (State Pension Funding) | 7.425% | 2/15/29 | 9,515 | 11,766 | |
New Jersey Transportation Trust Fund Authority | |||||
Transportation System Revenue | 5.754% | 12/15/28 | 7,080 | 7,658 | |
New Jersey Transportation Trust Fund Authority | |||||
Transportation System Revenue | 6.561% | 12/15/40 | 2,680 | 3,177 | |
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 6,400 | 10,018 | |
New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 13,526 | 20,568 | |
New York City NY GO | 6.646% | 12/1/31 | 100 | 119 | |
New York City NY GO | 6.246% | 6/1/35 | 950 | 1,094 | |
New York City NY GO | 5.968% | 3/1/36 | 1,390 | 1,893 | |
New York City NY GO | 5.985% | 12/1/36 | 600 | 807 | |
New York City NY GO | 5.517% | 10/1/37 | 3,225 | 4,210 | |
New York City NY GO | 6.271% | 12/1/37 | 5,950 | 8,401 | |
New York City NY GO | 5.846% | 6/1/40 | 750 | 1,038 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 5.750% | 6/15/41 | 500 | 691 | |
New York City NY Municipal Water Finance | |||||
Authority Water & Sewer System Revenue | 5.790% | 6/15/41 | 4,000 | 4,489 |
138
Total Bond Market II Index Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.952% | 6/15/42 | 1,000 | 1,430 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 6.011% | 6/15/42 | 350 | 503 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 6.282% | 6/15/42 | 2,275 | 2,643 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.440% | 6/15/43 | 2,300 | 3,123 |
New York City NY Municipal Water Finance | ||||
Authority Water & Sewer System Revenue | 5.882% | 6/15/44 | 12,590 | 18,097 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 6.828% | 7/15/40 | 2,200 | 3,148 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.767% | 8/1/36 | 1,925 | 2,523 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.508% | 8/1/37 | 3,300 | 4,320 |
New York City NY Transitional Finance Authority | ||||
Future Tax Revenue | 5.572% | 11/1/38 | 1,000 | 1,310 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 9,510 | 15,077 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 400 | 549 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 6.548% | 11/15/31 | 300 | 407 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 5.871% | 11/15/39 | 975 | 1,280 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 6.648% | 11/15/39 | 2,540 | 3,612 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 6.668% | 11/15/39 | 5,825 | 8,393 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.500% | 3/15/30 | 3,745 | 4,754 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.289% | 3/15/33 | 1,250 | 1,575 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.628% | 3/15/39 | 400 | 531 |
New York State Dormitory Authority Revenue | ||||
(Personal Income Tax) | 5.389% | 3/15/40 | 750 | 994 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.770% | 3/15/39 | 2,375 | 3,045 |
New York State Urban Development Corp. | ||||
Revenue (Personal Income Tax) | 5.838% | 3/15/40 | 650 | 854 |
New York University Hospitals Center GO | 4.428% | 7/1/42 | 1,350 | 1,480 |
New York University Hospitals Center Revenue | 5.750% | 7/1/43 | 3,050 | 4,018 |
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 4,525 | 6,932 |
Ohio State University General Receipts Revenue | 4.910% | 6/1/40 | 1,575 | 1,995 |
Ohio State University General Receipts Revenue | 3.798% | 12/1/46 | 3,400 | 3,703 |
Ohio State University General Receipts Revenue | 4.048% | 12/1/56 | 1,800 | 2,001 |
Ohio State University General Receipts Revenue | 4.800% | 6/1/11 | 5,456 | 6,107 |
Ohio State University General Receipts Revenue | 5.590% | 12/1/14 | 3,400 | 4,186 |
Ohio Water Development Authority Water | ||||
Pollution Control Loan Fund Revenue | 4.879% | 12/1/34 | 1,050 | 1,267 |
Orange County CA Local Transportation | ||||
Authority Sales Tax Revenue | 6.908% | 2/15/41 | 650 | 947 |
139
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Oregon Department of Transportation | |||||
Highway User Tax Revenue | 5.834% | 11/15/34 | 2,060 | 2,816 | |
Oregon GO | 5.762% | 6/1/23 | 850 | 998 | |
Oregon GO | 5.892% | 6/1/27 | 1,125 | 1,490 | |
15 | Oregon School Boards Association GO | 4.759% | 6/30/28 | 11,450 | 13,411 |
13 | Oregon School Boards Association GO | 5.528% | 6/30/28 | 375 | 463 |
Pennsylvania GO | 4.650% | 2/15/26 | 2,015 | 2,244 | |
Pennsylvania GO | 5.350% | 5/1/30 | 3,000 | 3,350 | |
Pennsylvania Public School Building Authority | |||||
Lease Revenue (School District of Philadelphia) | 5.000% | 9/15/27 | 999 | 1,102 | |
Pennsylvania Turnpike Commission Revenue | 5.511% | 12/1/45 | 2,250 | 2,956 | |
Pennsylvania Turnpike Commission Revenue | 5.561% | 12/1/49 | 550 | 743 | |
Philadelphia PA Industrial Development Authority | |||||
City Service Agreement Revenue | 3.964% | 4/15/26 | 1,500 | 1,548 | |
Port Authority of New York & New Jersey | |||||
Revenue | 6.040% | 12/1/29 | 850 | 1,113 | |
Port Authority of New York & New Jersey | |||||
Revenue | 5.647% | 11/1/40 | 4,800 | 6,310 | |
Port Authority of New York & New Jersey | |||||
Revenue | 5.647% | 11/1/40 | 2,950 | 3,873 | |
Port Authority of New York & New Jersey | |||||
Revenue | 4.960% | 8/1/46 | 4,925 | 6,120 | |
Port Authority of New York & New Jersey | |||||
Revenue | 5.310% | 8/1/46 | 3,350 | 3,675 | |
Port Authority of New York & New Jersey | |||||
Revenue | 4.926% | 10/1/51 | 4,465 | 5,517 | |
Port Authority of New York & New Jersey | |||||
Revenue | 4.458% | 10/1/62 | 13,850 | 15,845 | |
Port Authority of New York & New Jersey | |||||
Revenue | 4.810% | 10/15/65 | 1,650 | 1,996 | |
President & Fellows of Harvard College | |||||
Massachusetts GO | 4.875% | 10/15/40 | 2,755 | 3,665 | |
Princeton University New Jersey GO | 4.950% | 3/1/19 | 3,400 | 3,748 | |
Princeton University New Jersey GO | 5.700% | 3/1/39 | 1,650 | 2,345 | |
Regional Transportation District of Colorado | |||||
Sales Tax Revenue | 5.844% | 11/1/50 | 1,250 | 1,822 | |
Rutgers State University New Jersey Revenue | 5.665% | 5/1/40 | 2,900 | 3,712 | |
Sacramento CA Public Financing Authority Lease | |||||
Revenue | 5.637% | 4/1/50 | 4,500 | 5,417 | |
Salt River Project Arizona Agricultural Improvement | |||||
& Power District Revenue | 4.839% | 1/1/41 | 750 | 964 | |
San Antonio TX Electric & Gas Systems Revenue | 5.985% | 2/1/39 | 1,500 | 2,118 | |
San Antonio TX Electric & Gas Systems Revenue | 5.718% | 2/1/41 | 1,175 | 1,629 | |
San Antonio TX Electric & Gas Systems Revenue | 5.808% | 2/1/41 | 6,700 | 9,355 | |
San Antonio TX Electric & Gas Systems Revenue | 4.427% | 2/1/42 | 1,360 | 1,631 | |
San Diego County CA Regional Airport Authority | |||||
Revenue | 5.594% | 7/1/43 | 2,375 | 2,706 | |
San Diego County CA Regional Transportation | |||||
Commission Sales Tax Revenue | 5.911% | 4/1/48 | 1,470 | 2,097 | |
San Diego County CA Water Authority Revenue | 6.138% | 5/1/49 | 3,265 | 4,712 | |
San Francisco CA City & County Public Utilities | |||||
Commission Water Revenue | 6.000% | 11/1/40 | 1,600 | 2,120 | |
San Francisco CA City & County Public Utilities | |||||
Commission Water Revenue | 6.950% | 11/1/50 | 5,450 | 8,278 |
140
Total Bond Market II Index Fund | |||||
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
Santa Clara Valley CA Transportation Authority | |||||
Sales Tax Revenue | 5.876% | 4/1/32 | 3,355 | 4,335 | |
Sonoma County CA Pension Obligation Revenue | 6.000% | 12/1/29 | 775 | 961 | |
South Carolina Public Service Authority Revenue | 6.454% | 1/1/50 | 6,625 | 9,438 | |
Stanford University California GO | 4.750% | 5/1/19 | 100 | 110 | |
Stanford University California GO | 3.460% | 5/1/47 | 1,475 | 1,611 | |
Texas GO | 5.517% | 4/1/39 | 7,590 | 10,571 | |
Texas Transportation Commission Revenue | 5.028% | 4/1/26 | 750 | 917 | |
Texas Transportation Commission Revenue | 5.178% | 4/1/30 | 3,850 | 4,947 | |
Texas Transportation Commission Revenue | 4.631% | 4/1/33 | 4,000 | 4,967 | |
Texas Transportation Commission Revenue | 4.681% | 4/1/40 | 1,375 | 1,729 | |
Tufts University Massachusetts GO | 5.017% | 4/15/12 | 4,700 | 5,547 | |
University of California Regents General Revenue | 4.601% | 5/15/31 | 12,830 | 15,056 | |
University of California Regents Medical Center | |||||
Revenue | 6.548% | 5/15/48 | 1,675 | 2,418 | |
University of California Regents Medical Center | |||||
Revenue | 6.583% | 5/15/49 | 1,055 | 1,524 | |
University of California Revenue | 1.796% | 7/1/19 | 6,560 | 6,708 | |
University of California Revenue | 5.770% | 5/15/43 | 5,790 | 7,807 | |
University of California Revenue | 5.946% | 5/15/45 | 4,950 | 6,663 | |
University of California Revenue | 4.858% | 5/15/12 | 5,325 | 5,937 | |
University of Massachusetts Building Authority | |||||
Revenue | 5.450% | 11/1/40 | 600 | 774 | |
University of Southern California GO | 5.250% | 10/1/11 | 1,650 | 2,218 | |
University of Texas System Revenue Financing | |||||
System Revenue | 5.262% | 7/1/39 | 5,214 | 7,033 | |
University of Texas System Revenue Financing | |||||
System Revenue | 6.276% | 8/15/41 | 525 | 596 | |
University of Texas System Revenue Financing | |||||
System Revenue | 5.134% | 8/15/42 | 150 | 195 | |
University of Texas System Revenue Financing | |||||
System Revenue | 4.794% | 8/15/46 | 1,665 | 2,103 | |
University of Virginia Revenue | 6.200% | 9/1/39 | 1,000 | 1,488 | |
Utah GO | 4.554% | 7/1/24 | 550 | 639 | |
Utah GO | 3.539% | 7/1/25 | 4,400 | 4,905 | |
Utah Transit Authority Sales Tax Revenue | 5.937% | 6/15/39 | 3,875 | 5,377 | |
Virginia Commonwealth Transportation Board | |||||
Revenue | 5.350% | 5/15/35 | 730 | 909 | |
Washington GO | 5.090% | 8/1/33 | 3,825 | 4,774 | |
Washington GO | 5.481% | 8/1/39 | 270 | 364 | |
Washington GO | 5.140% | 8/1/40 | 1,920 | 2,548 | |
13 | Wisconsin GO | 5.700% | 5/1/26 | 3,020 | 3,710 |
Total Taxable Municipal Bonds (Cost $823,596) | 970,465 | ||||
Shares | |||||
Temporary Cash Investment (2.5%) | |||||
Money Market Fund (2.5%) | |||||
16 | Vanguard Market Liquidity Fund | ||||
(Cost $2,502,799) | 0.538% | 2,502,798,811 | 2,502,799 | ||
Total Investments (101.9%) (Cost $99,304,719) | 103,640,591 |
141
Total Bond Market II Index Fund | |
Amount | |
($000) | |
Other Assets and Liabilities (-1.9%) | |
Other Assets | |
Investment in Vanguard | 8,110 |
Receivables for Investment Securities Sold | 1,565,255 |
Receivables for Accrued Income | 622,994 |
Receivables for Capital Shares Issued | 659,345 |
Total Other Assets | 2,855,704 |
Liabilities | |
Payables for Investment Securities Purchased | (4,622,643) |
Payables for Capital Shares Redeemed | (44,953) |
Payables to Vanguard | (38,796) |
Other Liabilities | (43,161) |
Total Liabilities | (4,749,553) |
Net Assets (100%) | 101,746,742 |
142
Total Bond Market II Index Fund | |
At June 30, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 97,365,993 |
Overdistributed Net Investment Income | (5,420) |
Accumulated Net Realized Gains | 50,297 |
Unrealized Appreciation (Depreciation) | 4,335,872 |
Net Assets | 101,746,742 |
Investor SharesNet Assets | |
Applicable to 5,507,662,207 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 60,872,423 |
Net Asset Value Per ShareInvestor Shares | $11.05 |
Institutional SharesNet Assets | |
Applicable to 3,698,188,299 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 40,874,319 |
Net Asset Value Per ShareInstitutional Shares | $11.05 |
See Note A in Notes to Financial Statements.
1 U.S. government-guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed
by the full faith and credit of the U.S. government.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed
by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth,
in exchange for senior preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments
and prepayments or the possibility of the issue being called.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of
June 30, 2016.
6 Adjustable-rate security.
7 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions
exempt from registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate value of these securities
was $941,182,000, representing 0.9% of net assets.
8 Guaranteed by the Government of Canada.
9 Guaranteed by the Government of Japan.
10 Guaranteed by the Federal Republic of Germany.
11 Guaranteed by the Republic of Austria.
12 Guaranteed by the Republic of the Philippines.
13 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
14 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
15 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
16 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown
is the 7-day yield.
COPCertificate of Participation.
GOGeneral Obligation Bond.
REITReal Estate Investment Trust.
See accompanying Notes, which are an integral part of the Financial Statements.
143
Total Bond Market II Index Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 1,171,286 |
Total Income | 1,171,286 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,249 |
Management and Administrative—Investor Shares | 17,790 |
Management and Administrative—Institutional Shares | 2,579 |
Marketing and Distribution—Investor Shares | 6,401 |
Marketing and Distribution—Institutional Shares | 510 |
Custodian Fees | 460 |
Shareholders’ Reports—Investor Shares | 344 |
Shareholders’ Reports—Institutional Shares | — |
Trustees’ Fees and Expenses | 28 |
Total Expenses | 29,361 |
Net Investment Income | 1,141,925 |
Realized Net Gain (Loss) on Investment Securities Sold | 96,271 |
Change in Unrealized Appreciation (Depreciation) of Investment Securities | 3,905,174 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,143,370 |
1 Interest income from an affiliated company of the fund was $5,352,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
144
Total Bond Market II Index Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 1,141,925 | 2,126,118 |
Realized Net Gain (Loss) | 96,271 | 138,439 |
Change in Unrealized Appreciation (Depreciation) | 3,905,174 | (1,938,900) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,143,370 | 325,657 |
Distributions | ||
Net Investment Income | ||
Investor Shares | (679,576) | (1,258,281) |
Institutional Shares | (463,792) | (871,814) |
Realized Capital Gain1 | ||
Investor Shares | (2,101) | (122,170) |
Institutional Shares | (1,388) | (80,857) |
Total Distributions | (1,146,857) | (2,333,122) |
Capital Share Transactions | ||
Investor Shares | 3,078,993 | 2,323,595 |
Institutional Shares | 2,518,736 | 1,083,733 |
Net Increase (Decrease) from Capital Share Transactions | 5,597,729 | 3,407,328 |
Total Increase (Decrease) | 9,594,242 | 1,399,863 |
Net Assets | ||
Beginning of Period | 92,152,500 | 90,752,637 |
End of Period2 | 101,746,742 | 92,152,500 |
1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $3,489,000 and $53,855,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.
2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($5,420,000) and ($3,977,000).
See accompanying Notes, which are an integral part of the Financial Statements.
145
Total Bond Market II Index Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.60 | $10.84 | $10.49 | $10.97 | $10.87 | $10.50 |
Investment Operations | ||||||
Net Investment Income | .128 | .248 | .242 | .221 | .253 | .315 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | . 451 | (. 216) | . 375 | (. 467) | .168 | . 470 |
Total from Investment Operations | .579 | .032 | .617 | (.246) | .421 | .785 |
Distributions | ||||||
Dividends from Net Investment Income | (.129) | (. 248) | (. 242) | (. 221) | (. 253) | (. 315) |
Distributions from Realized Capital Gains (. 0004) | (. 024) | (. 025) | (. 013) | (. 068) | (.100) | |
Total Distributions | (.129) | (. 272) | (. 267) | (. 234) | (. 321) | (. 415) |
Net Asset Value, End of Period | $11.05 | $10.60 | $10.84 | $10.49 | $10.97 | $10.87 |
Total Return1 | 5.49% | 0.28% | 5.93% | -2.26% | 3.91% | 7.59% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $60,872 | $55,392 | $54,268 | $47,497 | $45,758 | $35,626 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.09% | 0.09% | 0.10% | 0.12% | 0.12% | 0.12% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.39% | 2.30% | 2.26% | 2.07% | 2.29% | 2.94% |
Portfolio Turnover Rate2 | 93% | 116% | 108%3 | 111%3 | 102%3 | 134%3 |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Includes 19%, 46%, 56%, 52%, 53%, and 41% attributable to mortgage-dollar-roll activity.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
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Total Bond Market II Index Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.60 | $10.84 | $10.49 | $10.97 | $10.87 | $10.50 |
Investment Operations | ||||||
Net Investment Income | .132 | .256 | .248 | .228 | .261 | .322 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | . 451 | (. 216) | . 375 | (. 467) | .168 | . 470 |
Total from Investment Operations | .583 | .040 | .623 | (. 239) | .429 | .792 |
Distributions | ||||||
Dividends from Net Investment Income | (.133) | (. 256) | (. 248) | (. 228) | (. 261) | (. 322) |
Distributions from Realized Capital Gains (. 0004) | (. 024) | (. 025) | (. 013) | (. 068) | (.100) | |
Total Distributions | (.133) | (. 280) | (. 273) | (. 241) | (. 329) | (. 422) |
Net Asset Value, End of Period | $11.05 | $10.60 | $10.84 | $10.49 | $10.97 | $10.87 |
Total Return | 5.53% | 0.35% | 5.99% | -2.20% | 3.99% | 7.67% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $40,874 | $36,760 | $36,485 | $25,093 | $18,704 | $14,403 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.02% | 0.02% | 0.05% | 0.05% | 0.05% | 0.05% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 2.46% | 2.37% | 2.31% | 2.14% | 2.36% | 3.01% |
Portfolio Turnover Rate1 | 93% | 116% | 108%2 | 111%2 | 102%2 | 134%2 |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized. 1 Includes 19%, 46%, 56%, 52%, 53%, and 41% attributable to mortgage-dollar-roll activity.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
147
Total Bond Market II Index Fund
Notes to Financial Statements
Vanguard Total Bond Market II Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund has been established by Vanguard as an investment vehicle for Vanguard funds of funds as well as certain similar trusts and accounts (“eligible investors”). The fund is not available to other investors. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers two classes of shares: Investor Shares and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The fund may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the fund is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The fund mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The fund may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements.
At June 30, 2016, counterparties had deposited in segregated accounts securities and cash with a value of $5,898,000 in connection with TBA transactions.
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Total Bond Market II Index Fund
3. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The fund forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The fund continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2012–2015), and for the period ended June 30, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
7. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
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Total Bond Market II Index Fund
expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $8,110,000, representing 0.01% of the fund’s net assets and 3.25% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 63,788,976 | — |
Asset-Backed/Commercial Mortgage-Backed Securities | — | 2,807,958 | 2,550 |
Corporate Bonds | — | 28,328,930 | — |
Sovereign Bonds | — | 5,238,913 | — |
Taxable Municipal Bonds | — | 970,465 | — |
Temporary Cash Investments | 2,502,799 | — | — |
Total | 2,502,799 | 101,135,242 | 2,550 |
D. Capital gain distributions are determined on a tax basis and may differ from realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when gains or losses are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
150
Total Bond Market II Index Fund
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. The fund realized losses of $45,986,000 during the period from November 1, 2015, through December 31, 2015, which are deferred and will be treated as realized for tax purposes in fiscal 2016. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016.
At June 30, 2016, the cost of investment securities for tax purposes was $99,304,719,000. Net unrealized appreciation of investment securities for tax purposes was $4,335,872,000, consisting of unrealized gains of $4,424,576,000 on securities that had risen in value since their purchase and $88,704,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended June 30, 2016, the fund purchased $7,311,843,000 of investment securities and sold $4,011,598,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $42,647,340,000 and $40,172,828,000, respectively.
F. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 9,372,161 | 866,701 | 15,331,328 | 1,426,512 |
Issued in Lieu of Cash Distributions | 681,678 | 62,757 | 1,380,450 | 127,968 |
Redeemed | (6,974,846) | (645,483) | (14,388,183) | (1,337,721) |
Net Increase (Decrease)—Investor Shares | 3,078,993 | 283,975 | 2,323,595 | 216,759 |
Institutional Shares | ||||
Issued | 6,370,084 | 588,731 | 7,767,416 | 722,027 |
Issued in Lieu of Cash Distributions | 465,179 | 42,826 | 952,670 | 88,300 |
Redeemed | (4,316,527) | (399,975) | (7,636,353) | (709,875) |
Net Increase (Decrease)—Institutional Shares | 2,518,736 | 231,582 | 1,083,733 | 100,452 |
At June 30, 2016, several Vanguard funds and trusts managed by Vanguard or its affiliates were each a record or beneficial owner of the fund, and had combined ownership of 60% of the fund’s net assets.
G. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
151
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
152
Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Total Bond Market II Index Fund | 12/31/2015 | 6/30/2016 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,054.91 | $0.46 |
Institutional Shares | 1,000.00 | 1,055.28 | 0.10 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,024.42 | $0.45 |
Institutional Shares | 1,000.00 | 1,024.76 | 0.10 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.09% for Investor Shares and 0.02% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
153
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Total Bond Market II Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard)—through its Fixed Income Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the investment management services provided to the fund since its inception in 2009, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the fund’s performance since its inception in 2009, including any periods of outperformance or underperformance relative to a target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s at-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
154
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Barclays and are from Moody’s, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. “Not Rated” is used to classify securities for which a rating is not available.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
155
Benchmark Information
Spliced Barclays U.S. Aggregate Float Adjusted Index: Barclays U.S. Aggregate Bond Index through December 31, 2009; Barclays U.S. Aggregate Float Adjusted Index thereafter.
156
Vanguard Total Bond Market II Index Fund is not sponsored, endorsed, issued, sold, or promoted by Barclays Capital Inc. or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied, to the owners or purchasers of the fund or any member of the public regarding the advisability of investing in securities generally or in the fund particularly or the ability of the Barclays index to track general bond market performance. Barclays has not passed on the legality or suitability of the fund with respect to any person or entity. Barclays’ only relationship to Vanguard and the fund is the licensing of the Barclays index, which is determined, composed, and calculated by Barclays without regard to Vanguard or the fund or any owners or purchasers of the fund. Barclays has no obligation to take the needs of Vanguard, the fund, or the owners of the fund into consideration in determining, composing, or calculating the Barclays index. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the fund to be issued. Barclays has no obligation or liability in connection with the administration, marketing, or trading of the fund.
Barclays shall have no liability to third parties for the quality, accuracy, and/or completeness of the index or any data included therein or for interruptions in the delivery of the index. Barclays makes no warranty, express or implied, as to results to be obtained by owners of the fund or any other person or entity from the use of the index or any data included therein in connection with the rights licensed hereunder or for any other use. Barclays reserves the right to change the methods of calculation or publication, or to cease the calculation or publication of the Barclays U.S. Aggregate Float Adjusted Index, and Barclays shall not be liable for any miscalculation of or any incorrect, delayed, or interrupted publication with respect to the index. Barclays makes no express or implied warranties, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data included therein. Barclays shall not be liable for any damages, including, without limitation, any indirect or consequential damages resulting from the use of the index or any data included therein.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your funds trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguards board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 198 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 |
F. William McNabb III |
Born 1957. Trustee Since July 2009. Chairman of |
the Board. Principal Occupation(s) During the Past |
Five Years and Other Experience: Chairman of the |
Board of The Vanguard Group, Inc., and of each of |
the investment companies served by The Vanguard |
Group, since January 2010; Director of The Vanguard |
Group since 2008; Chief Executive Officer and |
President of The Vanguard Group, and of each of |
the investment companies served by The Vanguard |
Group, since 2008; Director of Vanguard Marketing |
Corporation; Managing Director of The Vanguard |
Group (19952008). |
IndependentTrustees |
Emerson U. Fullwood |
Born 1948. Trustee Since January 2008. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 20092010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (20062008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: President of the University of |
Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and |
Sciences, and Professor of Communication, Annenberg |
School for Communication, with secondary faculty |
appointments in the Department of Philosophy, School |
of Arts and Sciences, and at the Graduate School of |
Education, University of Pennsylvania; Trustee of the |
National Constitution Center; Chair of the Presidential |
Commission for the Study of Bioethical Issues. |
JoAnn Heffernan Heisen |
Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: Corporate Vice President and |
Chief Global Diversity Officer (retired 2008) and |
Member of the Executive Committee (19972008) |
of Johnson & Johnson (pharmaceuticals/medical |
devices/consumer products); Director of Skytop |
Lodge Corporation (hotels) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Womens Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2009) of Cummins Inc. (industrial machinery); |
Chairman of the Board of Hillenbrand, Inc. (specialized |
consumer services), and of Oxfam America; Director |
of SKF AB (industrial machinery), Hyster-Yale Materials |
Handling, Inc. (forklift trucks), the Lumina Foundation |
for Education, and the V Foundation for Cancer |
Research; Member of the Advisory Council for the |
College of Arts and Letters and of the Advisory Board |
to the Kellogg Institute for International Studies, both |
at the University of Notre Dame. |
Mark Loughridge |
Born 1953. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBMs Retirement Plan |
Committee (20042013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chief Investment Officer and Vice |
President at the University of Notre Dame; Assistant |
Professor of Finance at the Mendoza College of |
Business at Notre Dame; Member of the Notre Dame |
403(b) Investment Committee, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: George Gund Professor of Finance and |
Banking, Emeritus at the Harvard Business School |
(retired 2011); Chief Investment Officer and Managing |
Partner of HighVista Strategies LLC (private investment |
firm); Director of Rand Merchant Bank; Overseer of |
the Museum of Fine Arts Boston. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2010) of Corning Incorporated (communications |
equipment); Trustee of Colby-Sawyer College and |
Chairman of its Finance and Enrollment Committee; |
Member of the Advisory Board of the Norris Cotton |
Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (20102015); Assistant Controller of each of | |
the investment companies served by The Vanguard | |
Group (20012010). | |
Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | |
Years and Other Experience: Principal of The Vanguard | |
Group, Inc.; Chief Financial Officer of each of the | |
investment companies served by The Vanguard Group; | |
Treasurer of each of the investment companies served | |
by The Vanguard Group (19982008). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (20082014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: Managing Director of The Vanguard | |
Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | |
investment companies served by The Vanguard Group; | |
Director and Senior Vice President of Vanguard | |
Marketing Corporation. | |
Vanguard Senior ManagementTeam | |
Mortimer J. Buckley | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 19962009 | |
Chief Executive Officer and President, 19962008 | |
Founder | |
John C. Bogle | |
Chairman and Chief Executive Officer, 19741996 |
1 Mr. McNabb is considered an interested person, as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
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This material may be used in conjunction | |
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the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
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calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
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Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q6352 082016 |
Semiannual Report | June 30, 2016
Vanguard Inflation-Protected Securities Fund
Vanguards Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguards research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
Contents | |
Your Funds Total Returns. | 1 |
Chairmans Letter. | 2 |
Advisors Report. | 7 |
Fund Profile. | 10 |
Performance Summary. | 12 |
Financial Statements. | 13 |
About Your Funds Expenses. | 26 |
Trustees Approve Advisory Arrangement. | 28 |
Glossary. | 29 |
Please note: The opinions expressed in this report are just thatinformed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.
See the Glossary for definitions of investment terms used in this report.
About the cover: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns | ||||
Six Months Ended June 30, 2016 | ||||
30-Day SEC | Income | Capital | Total | |
Yield | Returns | Returns | Returns | |
Vanguard Inflation-Protected Securities Fund | ||||
Investor Shares | -0.19% | 0.80% | 5.60% | 6.40% |
Admiral™ Shares | -0.09 | 0.87 | 5.54 | 6.41 |
Institutional Shares | -0.06 | 0.88 | 5.56 | 6.44 |
Barclays U.S. Treasury Inflation Protected Securities Index | 6.24 | |||
Inflation-Protected Bond Funds Average | 5.21 | |||
Inflation-Protected Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria.
Your Fund’s Performance at a Glance | ||||
December 31, 2015, Through June 30, 2016 | ||||
Distributions Per Share | ||||
Starting | Ending | Income | Capital | |
Share Price | Share Price | Dividends | Gains | |
Vanguard Inflation-Protected Securities Fund | ||||
Investor Shares | $12.84 | $13.66 | $0.002 | $0.000 |
Admiral Shares | 25.21 | 26.82 | 0.005 | 0.000 |
Institutional Shares | 10.27 | 10.93 | 0.002 | 0.000 |
1
Chairmans Letter
Dear Shareholder,
The Investor Shares of Vanguard Inflation-Protected Securities Fund returned 6.40% for the first six months of 2016. Returns for the funds lower-cost share classes were a bit higher: Admiral Shares returned 6.41% and Institutional Shares returned 6.44%.
The funds performance was slightly higher than the 6.24% result of its benchmark, the Barclays U.S. Treasury Inflation Protected Securities Index, and surpassed the 5.21% average return of its peer group.
Prices of Treasury Inflation-Protected Securities (TIPS) rose and their yields fell. (Bond prices and yields move in opposite directions.) Youll note that the yield for the funds shares ended in negative territory. Ill discuss the reasons later in this letter.
Stocks waxed and waned through periods of turbulence
Toward the end of the half year, global stock markets dropped sharply and then rose after the momentous decision by U.K. voters to leave the European Union. The markets already were jittery before the June 23 Brexit vote. But volatility spiked afterward, as investors digested the global economic implications and the likelihood of extended uncertainty while the separation is carried out.
The broad U.S. stock market returned roughly 4% for the six months. U.S. stocks plunged on news of the referendums outcome but quickly reversed. Worries about Brexits effect on trade and global
2
economic growth seemed to diminish as expectations increased that major central banks would respond to any fallout.
International stocks had a rougher time, returning about –1%. European stocks in particular suffered as the lead-up to the Brexit referendum and subsequent uncertainty hit closer to home. Developed Pacific markets also retreated. Emerging-market stocks were a bright spot, returning nearly 8%.
Bonds rolled to strong returns as investors weighed options
The broad U.S. bond market returned 5.31% as investors sought safe-haven assets amid questionable global economic growth, low inflation, and stock market volatility. Exceptionally low or negative yields abroad drew foreign investors to U.S. Treasury debt. The yield of the 10-year Treasury note closed at 1.47% at the end of June, down from 2.30% at the end of December.
The Federal Reserve has held its target for short-term interest rates steady since raising it by a quarter of a percentage point in December. During the period, the 0.25%–0.5% rate remained historically low and continued to curb returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 11.94%. Counter to recent trends, a number of foreign currencies
Market Barometer | |||
Total Returns | |||
Periods Ended June 30, 2016 | |||
Six | One | Five Years | |
Months | Year | (Annualized) | |
Bonds | |||
Barclays U.S. Aggregate Bond Index (Broad taxable | |||
market) | 5.31% | 6.00% | 3.76% |
Barclays Municipal Bond Index (Broad tax-exempt market) | 4.33 | 7.65 | 5.33 |
Citigroup Three-Month U.S. Treasury Bill Index | 0.11 | 0.14 | 0.05 |
Stocks | |||
Russell 1000 Index (Large-caps) | 3.74% | 2.93% | 11.88% |
Russell 2000 Index (Small-caps) | 2.22 | -6.73 | 8.35 |
Russell 3000 Index (Broad U.S. market) | 3.62 | 2.14 | 11.60 |
FTSE All-World ex US Index (International) | -0.92 | -9.75 | 0.49 |
CPI | |||
Consumer Price Index | 1.91% | 1.01% | 1.32% |
3
strengthened against the dollar, but returns were solid even without this currency benefit.
TIPS prices rose during the period as Treasury securities gained favor
The Inflation-Protected Securities Fund’s positive performance for the half year was driven in part by the popularity of all U.S. Treasury securities. Their government backing is often valued during volatile periods, which global markets experienced in recent months.
In the first two months of 2016, TIPS’ yields fell noticeably and prices rose as China’s economic slowdown and falling oil and commodity prices worried investors, spurring a flight to safer assets. While economic optimism returned with the arrival of spring, TIPS remained in demand, in part because even lower negative yields spread across nominal government bonds in some overseas markets.
As interest rates, inflation, and inflation expectations have continued to hover at low levels, low or negative yields have persisted in the TIPS market. The 2-year TIPS yield was just below zero at the start of the year and ended the period at –0.90%. The yield of the 5-year TIPS started at 0.53% and fell to –0.32%. Ten-year TIPS began at 0.85% and declined to 0.16%. The 30-year yield dropped from 1.38% to 0.77%.
Although the yield of Vanguard Inflation-Protected Securities Fund started 2016 at 0.47% for Investor Shares, it drifted lower
Expense Ratios | ||||
Your Fund Compared With Its Peer Group | ||||
Investor | Admiral | Institutional | Peer Group | |
Shares | Shares | Shares | Average | |
Inflation-Protected Securities Fund | 0.20% | 0.10% | 0.07% | 0.75% |
The fund expense ratios shown are from the prospectus dated April 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the fund’s annualized expense ratios were 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2015.
Peer group: Inflation-Protected Bond Funds.
4
and turned negative in late March, ending the period at –0.19%. The TIPS market appears willing to accept a negative yield now in the expectation that future inflation will be high enough to result in positive total returns by the time the bonds mature.
Inflation itself remained tame, although it showed signs of edging closer to the Fed’s preferred range of 2%. Energy prices rose noticeably over the period, but are still lower than they were a year ago.
The annual change in the Consumer Price Index, which stood at 0.7% in December 2015, rose a bit, ending June 30 at 1.0%. The more stable 12-month core CPI, which excludes food and energy items, hardly moved over the past six months: It was at 2.3% for the year ended June 30, 2016.
Inflation expectations can be measured by the break-even inflation (BEI) rate, which is derived by comparing the yield of a nominal Treasury bond with the yield of its inflation-protected counterpart. Based on this metric, expectations for inflation within the next five years rose a bit. Even though yields fell for both short-term nominal Treasuries and TIPS, yields for short-term TIPS dropped more, widening the gap between the two groups. As a result, the 2-year BEI rose from 1.08% at the end of 2015 to 1.48% at the end of June. The 5-year BEI rose from 1.26% to 1.42%.
However, over the longer term, inflation expectations declined as disinflationary trends continued to influence investors’ long-range views. The 10-year break-even inflation rate declined from 1.45% on December 31 to 1.31% on June 30. The 30-year rate drifted lower, from 1.65% to 1.52%.
The fund’s advisor offers a more detailed discussion of the investment environment during the period in the Advisor’s Report that follows this letter.
The impact of low rates on the fund
In response to the current low-interest-rate environment, the fund did not issue a dividend for the first quarter to minimize the risk of overdistributing income for the full year, a potential recordkeeping headache for shareholders. A dividend distribution was made in June. Although it’s not known whether the fund will receive enough income to make a distribution for the third quarter, the fund will distribute whatever income it has kept in reserve in December.
5
A dose of discipline is crucial when markets become volatile
The heightened volatility in capital markets that surrounded the Brexit vote reminds us that nobody can control the direction of the markets or reliably predict where they’ll go in the short term. However, investors can control how they react to unstable and turbulent markets.
During periods of market adversity, it’s more important than ever to keep sight of one of Vanguard’s key principles: Maintain perspective and long-term discipline. Whether you’re investing for yourself or on behalf of clients, your success is affected greatly by how you respond—or don’t respond—during turbulent markets. (You can read Vanguard’s Principles for Investing Success at vanguard.com/research.)
As I’ve written in the past, the best course for long-term investors is generally to ignore daily market moves and not make decisions based on emotion. This is also a good time to evaluate your portfolio and make sure your asset allocation is aligned with your time horizon, goals, and risk tolerance.
The markets are unpredictable and often confounding. Keeping your long-term plans clearly in focus can help you weather these periodic storms.
As always, thank you for investing with Vanguard.
F. William McNabb III
Chairman and Chief Executive Officer
July 19, 2016
6
Advisor’s Report
For the six months ended June 30, 2016, Investor Shares of Vanguard Inflation-Protected Securities Fund returned 6.40%. The fund’s result was slightly greater than the 6.24% return of its benchmark, the Barclays U.S. Treasury Inflation Protected Securities Index, and more than a percentage point greater than the average 5.21% return of peer-group funds.
The investment environment
As in other recent years, the arrival of winter seemed to slow the U.S. economy. Gross domestic product rose only 0.8% (annualized) for the first quarter, before increasing an estimated 1.2% in the second quarter. Year-over-year growth remained modest, with real GDP up 1.2% from the second quarter of 2015. Residential investment and consumer spending were relatively healthy, but a stronger dollar led to rising imports, which reduces net GDP. Falling nonresidential investment and slower inventory accumulation also suppressed GDP growth.
Once again, spring appeared to bring “green shoots” in the form of a modest economic bounce. U.S. employment data continued to show a strengthening labor market and modest wage growth. Housing sales continued to rise, and energy and commodity prices rebounded enough to calm fears of an impending global recession and disinflation.
Inflation measures rose, although the price gains were still generally below the Federal Reserve’s targeted range of about 2%. The annual change in the Consumer Price Index,
Yields of U.S. Treasury Inflation-Protected Securities | |||
(Real Yields) | |||
December 31, | March 31, | June 30, | |
Maturity | 2015 | 2016 | 2016 |
2 years | –0.01% | –0.70% | –0.90% |
3 years | 0.19 | –0.49 | –0.67 |
5 Years | 0.53 | –0.15 | –0.32 |
7 Years | 0.73 | 0.10 | –0.07 |
10 Years | 0.85 | 0.32 | 0.16 |
20 Years | 1.11 | 0.70 | 0.48 |
30 Years | 1.38 | 1.00 | 0.77 |
Source: Vanguard. |
7
which stood at 0.7% in December 2015, rose to 1.0%. The more stable core CPI, which excludes food and energy items, hardly moved over the past six months, ending the period at 2.3%.
The Fed looks closely at another measure, the core personal consumption expenditures index, to help set rate policy. That metric was up 1.6% for the 12 months ended May 31, the latest figure available. The slow progress toward the Fed’s 2.0% target is one reason for its more cautious approach toward rate hikes. The failure of GDP to exceed recent levels and continued global geopolitical uncertainty also caused the Fed to elongate its forecast pace of rate hikes. The bond market’s futures prices likewise lowered the odds of expected rate hikes.
Management of the portfolio
The U.S. Treasury uses the non-seasonally adjusted CPI for Urban Consumers (CPI-U NSA) to govern the inflation adjustments made for TIPS. This measure rose six straight months for the first time in two years, with the final four months in the 0.3% to 0.5% range. The 12-month change in the CPI-U NSA ended the period at 1%, a meager rate for sure, but when volatile food and energy prices were excluded, the measure registered 2.3%, signaling that the broader underlying inflation trends are more favorable for the next 12 months.
In the TIPS market, the real yield curve sank across the board as yields fell along with the nominal Treasury market and in many other international bond markets. Several major central banks increased monetary accommodation, even adopting negative interest rates as disinflation pressures in those economies failed to abate. Growth was simply not robust enough to spur demand or inflation. TIPS’ yields fell more noticeably in the first quarter, but continued the downward drift in the second. Real yields fell to a greater degree at the short end of the curve. The 2-year TIPS fell from –0.01% to –0.90%, a move of –0.89 percentage point. The move downward was a bit less (–0.69 percentage point) for the 10-year TIPS, which dropped from 0.85% to 0.16%.
Based on our views on the direction of the economy and interest rates, we bought additional longer-term TIPS, which proved to benefit the fund’s performance given the increase in long-dated TIPS’ prices. Corresponding to the upward pressure on TIPS prices, the fund’s yield sank from 0.47% to –0.19% for Investor Shares. We withheld a distribution in March to avoid overdistributing income for the full year, a potential accounting headache for our shareholders. Fortunately, income generated from our portfolio’s holdings remained sufficient for us to issue an income distribution in June.
Inflation expectations as measured by the break-even inflation (BEI) rate—the difference between nominal Treasury and TIPS yields—rose on the short end of the maturity curve but fell on the long end, signaling concern over the pace of future long-term inflation. For example, the 2-year BEI rose from 1.08% at the end of 2015 to 1.48%, in part a function of nominal Treasury rates that fell more sharply than TIPS’ rates. The 10-year BEI fell from 1.45% to 1.31%, and the
8
30-year BEI stood at 1.52% on June 30, a remarkably low reading. We attribute these BEI movements to historically low inflation expectations among both U.S. consumers and investors. This is a development typically associated with a normal interest rate-hiking cycle, which we and the Fed find somewhat perplexing given the Fed’s now-elongated rate-hike expectations.
Outlook
While the U.K. decision to leave the European Union has yet to play out, our expectations are for the U.K. economy to suffer a recession and for euro zone GDP to fall in the medium term. We do not expect U.S. GDP to be crimped significantly—perhaps just 0.25 percentage point over the next several quarters.
The U.S. economy looks to remain on relatively solid footing with the labor market achieving the Fed’s full employment target. Employment gains have slowed from last year, but we continue to monitor future wage gains for potential increased demand and inflation. To date, however, lower mortgage rates and low inflation should continue to bolster home buying, mortgage refinancing, and consumer spending. These trends should help the economy to grow at a 2% rate for the rest of the year.
U.S. monetary policy remains cautious. No matter when the Fed next raises short-term rates, we continue to believe it will find it a challenge to raise rates above 1% over the next several years.
Other central banks also are unlikely to raise rates, given their own growth imbalances. In fact, the central banks in the United Kingdom, Europe, and China all appear to lean toward more monetary accommodation for the remainder of 2016. Consequently, a material rise in government bond yields across the curve appears unlikely as the U.S. market’s yields remain very attractive to international investors and the Fed will remain accommodative.
In formulating our inflation outlook, we remain positive on the underlying trends when excluding the highly volatile commodity prices from most measures. Oil market imbalances have depressed energy prices during the past two years but appear to be moving toward balance; they should provide a modest uplift to our headline measure in the coming year. Many economists forecast headline inflation of 2.0%–2.5% in 2017—a level that would be a relief to the Fed. Moreover, the effects of the dollar rally of the past few years will roll off and, if it simply remains range-bound, can boost core inflation measures significantly, according to Fed models. We also need to assess the probability of new federal fiscal stimulus in 2017 after a new administration and Congress take office, helping to ease the central bank’s burden of being the sole provider of support to the U.S. economy. All these factors help us remain mildly upbeat on the inflation trend through the end of 2017, but we remain cognizant that the global backdrop remains a risk to the U.S. inflation outlook.
Gemma Wright-Casparius, Principal Vanguard Fixed Income Group July 29, 2016
9
Inflation-Protected Securities Fund
Fund Profile | |||
As of June 30, 2016 | |||
Share-Class Characteristics | |||
Investor | Admiral | Institutional | |
Shares | Shares | Shares | |
Ticker Symbol | VIPSX | VAIPX | VIPIX |
Expense Ratio1 | 0.20% | 0.10% | 0.07% |
30-Day SEC Yield2 | -0.19% | -0.09% | -0.06% |
Financial Attributes | |||
Barclays | |||
Inflation | Barclays | ||
Protected | Aggregate | ||
Securities | Bond | ||
Fund | Index | Index | |
Number of Bonds | 40 | 37 | 9,796 |
Yield to Maturity | |||
(before expenses) | 1.5% | 1.5% | 1.9% |
Average Coupon | 0.9% | 0.9% | 3.1% |
Average Duration | 8.4 years | 8.2 years | 5.5 years |
Average Effective | |||
Maturity | 8.8 years | 8.7 years | 7.7 years |
Short-Term | |||
Reserves | 0.2% | — | — |
Sector Diversification (% of portfolio) | |||
Treasury/Agency | 99.7% | ||
Other | 0.3 |
The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.
Volatility Measures | ||
Barclays | ||
Inflation | Barclays | |
Protected | Aggregate | |
Securities | Bond | |
Index | Index | |
R-Squared | 0.99 | 0.75 |
Beta | 1.03 | 1.45 |
These measures show the degree and timing of the fund’s | |
fluctuations compared with the indexes over 36 months. | |
Distribution by Effective Maturity | |
(% of portfolio) | |
Under 1 Year | 0.3% |
1 - 3 Years | 14.3 |
3 - 5 Years | 17.4 |
5 - 10 Years | 44.9 |
10 - 20 Years | 12.3 |
20 - 30 Years | 10.8 |
Distribution by Credit Quality (% of portfolio)
U.S. Government | 99.7% |
Aaa | 0.3 |
Credit-quality ratings are obtained from Moody's and S&P, and the higher rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. Not rated securities include a fund's investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts. For more information about these ratings, see the Glossary entry for Credit Quality.
1 The expense ratios shown are from the prospectus dated April 26, 2016, and represent estimated costs for the current fiscal year. For the six months ended June 30, 2016, the annualized expense ratios were 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares.
2 Yields of inflation-protected securities tend to be lower than those of nominal bonds, because the former do not incorporate market expectations about inflation. The principal amounts—and thus the interest payments—of inflation-protected securities are adjusted over time to reflect inflation.
10
Inflation-Protected Securities Fund
11
Inflation-Protected Securities Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): December 31, 2005, Through June 30, 2016 | ||||||
Barclays | ||||||
Inflation | ||||||
Protected | ||||||
Securities | ||||||
Investor Shares | Index | |||||
Fiscal Year | Income Returns | Capital Returns | Total Returns | Total Returns | ||
2006 | 3.40% | -2.97 | 0.43% | 0.41% | ||
2007 | 5.90 | 5.69 | 11.59 | 11.63 | ||
2008 | 4.62 | -7.47 | -2.85 | -2.35 | ||
2009 | 1.86 | 8.94 | 10.80 | 11.41 | ||
2010 | 2.58 | 3.59 | 6.17 | 6.31 | ||
2011 | 4.56 | 8.68 | 13.24 | 13.56 | ||
2012 | 2.62 | 4.16 | 6.78 | 6.98 | ||
2013 | 1.47 | -10.39 | -8.92 | -8.61 | ||
2014 | 2.17 | 1.66 | 3.83 | 3.64 | ||
2015 | 0.74 | -2.57 | -1.83 | -1.44 | ||
2016 | 0.80 | 5.60 | 6.40 | 6.24 | ||
Note: For 2016, performance data reflect the six months ended June 30, 2016. | ||||||
Average Annual Total Returns: Periods Ended June 30, 2016 | ||||||
Ten Years | ||||||
Inception Date | One Year | Five Years | Income | Capital | Total | |
Investor Shares | 6/29/2000 | 4.51% | 2.55% | 2.78% | 1.74% | 4.52% |
Admiral Shares | 6/10/2005 | 4.62 | 2.65 | 2.89 | 1.74 | 4.63 |
Institutional Shares | 12/12/2003 | 4.73 | 2.70 | 2.92 | 1.74 | 4.66 |
See Financial Highlights for dividend and capital gains information.
12
Inflation-Protected Securities Fund
Financial Statements (unaudited)
Statement of Net Assets
As of June 30, 2016
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
Face | Market | ||||
Maturity | Amount | Value• | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (99.6%) | |||||
U.S. Government Securities (99.6%) | |||||
United States Treasury Inflation Indexed Bonds | 1.625% | 1/15/18 | 341,415 | 404,666 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/18 | 1,149,721 | 1,207,667 | |
United States Treasury Inflation Indexed Bonds | 1.375% | 7/15/18 | 325,295 | 378,465 | |
United States Treasury Inflation Indexed Bonds | 2.125% | 1/15/19 | 280,697 | 335,438 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/19 | 1,168,580 | 1,218,211 | |
United States Treasury Inflation Indexed Bonds | 1.875% | 7/15/19 | 342,276 | 415,002 | |
United States Treasury Inflation Indexed Bonds | 1.375% | 1/15/20 | 395,584 | 467,299 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/20 | 1,142,200 | 1,193,780 | |
United States Treasury Inflation Indexed Bonds | 1.250% | 7/15/20 | 641,210 | 756,232 | |
United States Treasury Inflation Indexed Bonds | 1.125% | 1/15/21 | 730,499 | 854,784 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 4/15/21 | 581,278 | 601,382 | |
United States Treasury Inflation Indexed Bonds | 0.625% | 7/15/21 | 796,801 | 890,529 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 1/15/22 | 882,671 | 951,453 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/22 | 919,019 | 978,282 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 1/15/23 | 931,330 | 978,808 | |
United States Treasury Inflation Indexed Bonds | 0.375% | 7/15/23 | 929,236 | 988,804 | |
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/24 | 931,256 | 1,000,440 | |
United States Treasury Inflation Indexed Bonds | 0.125% | 7/15/24 | 928,771 | 945,956 | |
United States Treasury Inflation Indexed Bonds | 0.250% | 1/15/25 | 929,300 | 953,555 | |
United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/25 | 486,651 | 737,874 | |
United States Treasury Inflation Indexed Bonds | 0.375% | 7/15/25 | 1,249,408 | 1,298,382 | |
United States Treasury Inflation Indexed Bonds | 0.625% | 1/15/26 | 903,206 | 958,213 | |
United States Treasury Inflation Indexed Bonds | 2.000% | 1/15/26 | 374,727 | 531,768 | |
United States Treasury Inflation Indexed Bonds | 2.375% | 1/15/27 | 309,647 | 450,894 | |
United States Treasury Inflation Indexed Bonds | 1.750% | 1/15/28 | 320,866 | 428,638 | |
United States Treasury Inflation Indexed Bonds | 3.625% | 4/15/28 | 209,575 | 429,285 | |
United States Treasury Inflation Indexed Bonds | 2.500% | 1/15/29 | 317,170 | 448,223 | |
United States Treasury Inflation Indexed Bonds | 3.875% | 4/15/29 | 256,242 | 537,499 | |
United States Treasury Inflation Indexed Bonds | 3.375% | 4/15/32 | 106,029 | 209,447 | |
1 | United States Treasury Inflation Indexed Bonds | 2.125% | 2/15/40 | 174,056 | 252,222 |
United States Treasury Inflation Indexed Bonds | 2.125% | 2/15/41 | 225,258 | 325,055 | |
United States Treasury Inflation Indexed Bonds | 0.750% | 2/15/42 | 412,145 | 437,835 | |
United States Treasury Inflation Indexed Bonds | 0.625% | 2/15/43 | 304,755 | 309,170 |
13
Inflation-Protected Securities Fund | ||||
Face | Market | |||
Maturity | Amount | Value• | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Inflation Indexed Bonds | 1.375% | 2/15/44 | 495,735 | 589,001 |
United States Treasury Inflation Indexed Bonds | 0.750% | 2/15/45 | 523,900 | 535,471 |
United States Treasury Inflation Indexed Bonds | 1.000% | 2/15/46 | 257,302 | 280,726 |
Total U.S. Government and Agency Obligations (Cost $22,809,028) | 24,280,456 | |||
Shares | ||||
Temporary Cash Investment (0.2%) | ||||
Money Market Fund (0.2%) | ||||
2 Vanguard Market Liquidity Fund (Cost $48,490) | 0.538% | 48,490,483 | 48,490 | |
Total Investments (99.8%) (Cost $22,857,518) | 24,328,946 | |||
Expiration Date | Contracts | |||
Liability for Options Written (0.0%) | ||||
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $131.50 | 7/22/16 | 735 | (1,206) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $134.00 | 7/22/16 | 90 | (27) | |
Call Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $131.50 | 8/26/16 | 365 | (718) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $129.00 | 7/22/16 | 735 | (23) | |
Put Options on 10-year U.S. Treasury Note | ||||
Futures Contracts, Strike Price $129.00 | 8/26/16 | 365 | (46) | |
Total Liability for Options Written (Premiums Received $1,511) | (2,020) | |||
Amount | ||||
($000) | ||||
Other Assets and Liabilities (0.2%) | ||||
Other Assets | ||||
Investment in Vanguard | 1,946 | |||
Receivables for Accrued Income | 77,651 | |||
Receivables for Capital Shares Issued | 22,404 | |||
Other Assets | 705 | |||
Total Other Assets | 102,706 | |||
Liabilities | ||||
Payables for Capital Shares Redeemed | (25,005) | |||
Payables to Vanguard | (28,036) | |||
Other Liabilities | (634) | |||
Total Liabilities | (53,675) | |||
Net Assets (100%) | 24,375,957 |
14
Inflation-Protected Securities Fund | |
At June 30, 2016, net assets consisted of: | |
Amount | |
($000) | |
Paid-in Capital | 22,745,085 |
Undistributed Net Investment Income | 171,207 |
Accumulated Net Realized Gains | 4,774 |
Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,471,428 |
Futures Contracts | (16,028) |
Options on Futures Contracts | (509) |
Net Assets | 24,375,957 |
Investor SharesNet Assets | |
Applicable to 341,969,427 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 4,670,354 |
Net Asset Value Per ShareInvestor Shares | $13.66 |
Admiral SharesNet Assets | |
Applicable to 430,504,642 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 11,545,381 |
Net Asset Value Per ShareAdmiral Shares | $26.82 |
Institutional SharesNet Assets | |
Applicable to 746,894,743 outstanding $.001 par value shares of | |
beneficial interest (unlimited authorization) | 8,160,222 |
Net Asset Value Per ShareInstitutional Shares | $10.93 |
See Note A in Notes to Financial Statements.
1 Securities with a value of $8,738,000 have been segregated as initial margin for open futures contracts.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the
7-day yield.
See accompanying Notes, which are an integral part of the Financial Statements.
15
Inflation-Protected Securities Fund | |
Statement of Operations | |
Six Months Ended | |
June 30, 2016 | |
($000) | |
Investment Income | |
Income | |
Interest1 | 214,940 |
Total Income | 214,940 |
Expenses | |
The Vanguard Group—Note B | |
Investment Advisory Services | 1,228 |
Management and Administrative—Investor Shares | 3,888 |
Management and Administrative—Admiral Shares | 4,258 |
Management and Administrative—Institutional Shares | 2,061 |
Marketing and Distribution—Investor Shares | 454 |
Marketing and Distribution—Admiral Shares | 519 |
Marketing and Distribution—Institutional Shares | 98 |
Custodian Fees | 61 |
Shareholders’ Reports—Investor Shares | 91 |
Shareholders’ Reports—Admiral Shares | 59 |
Shareholders’ Reports—Institutional Shares | 56 |
Trustees’ Fees and Expenses | 8 |
Total Expenses | 12,781 |
Net Investment Income | 202,159 |
Realized Net Gain (Loss) | |
Investment Securities Sold | 34,536 |
Futures Contracts | (13,167) |
Options on Futures Contracts | 473 |
Realized Net Gain (Loss) | 21,842 |
Change in Unrealized Appreciation (Depreciation) | |
Investment Securities | 1,245,599 |
Futures Contracts | (15,732) |
Options on Futures Contracts | (608) |
Change in Unrealized Appreciation (Depreciation) | 1,229,259 |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,453,260 |
1 Interest income from an affiliated company of the fund was $292,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
16
Inflation-Protected Securities Fund | ||
Statement of Changes in Net Assets | ||
Six Months Ended | Year Ended | |
June 30, | December 31, | |
2016 | 2015 | |
($000) | ($000) | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net Investment Income | 202,159 | 199,122 |
Realized Net Gain (Loss) | 21,842 | 42,806 |
Change in Unrealized Appreciation (Depreciation) | 1,229,259 | (649,145) |
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,453,260 | (407,217) |
Distributions | ||
Net Investment Income | ||
Investor Shares | (755) | (36,231) |
Admiral Shares | (2,204) | (91,547) |
Institutional Shares | (1,264) | (67,708) |
Realized Capital Gain | ||
Investor Shares | — | (579) |
Admiral Shares | — | (1,124) |
Institutional Shares | — | (933) |
Total Distributions | (4,223) | (198,122) |
Capital Share Transactions | ||
Investor Shares | (365,728) | (734,224) |
Admiral Shares | 334,944 | 29,952 |
Institutional Shares | 207,534 | (772,077) |
Net Increase (Decrease) from Capital Share Transactions | 176,750 | (1,476,349) |
Total Increase (Decrease) | 1,625,787 | (2,081,688) |
Net Assets | ||
Beginning of Period | 22,750,170 | 24,831,858 |
End of Period1 | 24,375,957 | 22,750,170 |
1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $171,207,000 and ($27,370,000).
See accompanying Notes, which are an integral part of the Financial Statements.
17
Inflation-Protected Securities Fund | ||||||
Financial Highlights | ||||||
Investor Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $12.84 | $13.18 | $12.98 | $14.53 | $14.11 | $13.00 |
Investment Operations | ||||||
Net Investment Income | .108 | .098 | .224 | .210 | .367 | .568 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .714 | (.339) | .273 | (1.499) | .586 | 1.127 |
Total from Investment Operations | .822 | (.241) | .497 | (1.289) | .953 | 1.695 |
Distributions | ||||||
Dividends from Net Investment Income | (. 002) | (. 098) | (. 281) | (. 216) | (. 366) | (. 567) |
Distributions from Realized Capital Gains | — | (. 001) | (. 016) | (. 045) | (.167) | (. 018) |
Total Distributions | (. 002) | (. 099) | (. 297) | (. 261) | (. 533) | (. 585) |
Net Asset Value, End of Period | $13.66 | $12.84 | $13.18 | $12.98 | $14.53 | $14.11 |
Total Return1 | 6.40% | -1.83% | 3.83% | -8.92% | 6.78% | 13.24% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $4,670 | $4,746 | $5,604 | $6,577 | $16,075 | $15,220 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.64% | 0.72% | 2.01% | 1.33% | 2.55% | 4.21% |
Portfolio Turnover Rate | 30%2 | 43% | 39% | 44%2 | 33% | 28% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
18
Inflation-Protected Securities Fund | ||||||
Financial Highlights | ||||||
Admiral Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $25.21 | $25.87 | $25.47 | $28.54 | $27.71 | $25.54 |
Investment Operations | ||||||
Net Investment Income | . 225 | . 221 | . 468 | . 449 | .750 | 1.140 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | 1.390 | (.658) | .544 | (2.965) | 1.155 | 2.202 |
Total from Investment Operations | 1.615 | (.437) | 1.012 | (2.516) | 1.905 | 3.342 |
Distributions | ||||||
Dividends from Net Investment Income | (. 005) | (. 220) | (. 581) | (. 465) | (.747) | (1.137) |
Distributions from Realized Capital Gains — | (. 003) | (. 031) | (. 089) | (. 328) | (. 035) | |
Total Distributions | (. 005) | (. 223) | (. 612) | (. 554) | (1.075) | (1.172) |
Net Asset Value, End of Period | $26.82 | $25.21 | $25.87 | $25.47 | $28.54 | $27.71 |
Total Return | 6.41% | -1.69% | 3.97% | -8.86% | 6.90% | 13.29% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $11,545 | $10,533 | $10,778 | $11,005 | $16,011 | $13,533 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.10% | 0.10% | 0.10% | 0.10% | 0.10% | 0.11% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.74% | 0.82% | 2.11% | 1.43% | 2.65% | 4.30% |
Portfolio Turnover Rate | 30%1 | 43% | 39% | 44%1 | 33% | 28% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Inflation-Protected Securities Fund | ||||||
Financial Highlights | ||||||
Institutional Shares | ||||||
Six Months | ||||||
Ended | ||||||
For a Share Outstanding | June 30, | Year Ended December 31, | ||||
Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
Net Asset Value, Beginning of Period | $10.27 | $10.54 | $10.37 | $11.62 | $11.29 | $10.40 |
Investment Operations | ||||||
Net Investment Income | . 094 | . 093 | .193 | .187 | . 310 | . 468 |
Net Realized and Unrealized Gain (Loss) | ||||||
on Investments | .568 | (.269) | .229 | (1.208) | .463 | .903 |
Total from Investment Operations | .662 | (.176) | .422 | (1.021) | .773 | 1.371 |
Distributions | ||||||
Dividends from Net Investment Income | (. 002) | (. 093) | (. 239) | (.193) | (. 309) | (. 467) |
Distributions from Realized Capital Gains | — | (. 001) | (. 013) | (. 036) | (.134) | (. 014) |
Total Distributions | (. 002) | (. 094) | (. 252) | (. 229) | (. 443) | (. 481) |
Net Asset Value, End of Period | $10.93 | $10.27 | $10.54 | $10.37 | $11.62 | $11.29 |
Total Return | 6.44% | -1.67% | 4.07% | -8.83% | 6.87% | 13.39% |
Ratios/Supplemental Data | ||||||
Net Assets, End of Period (Millions) | $8,160 | $7,471 | $8,449 | $8,919 | $12,491 | $10,367 |
Ratio of Total Expenses to | ||||||
Average Net Assets | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% |
Ratio of Net Investment Income to | ||||||
Average Net Assets | 1.77% | 0.85% | 2.14% | 1.46% | 2.68% | 4.34% |
Portfolio Turnover Rate | 30%1 | 43% | 39% | 44%1 | 33% | 28% |
The expense ratio, net investment income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares.
See accompanying Notes, which are an integral part of the Financial Statements.
20
Inflation-Protected Securities Fund
Notes to Financial Statements
Vanguard Inflation-Protected Securities Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. Investor Shares are available to any investor who meets the fund’s minimum purchase requirements. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures and Options: The fund uses futures contracts and options on futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. The primary risk associated with purchasing options is that interest rates move in such a way that the option is out-of-the-money, the position is worthless at expiration, and the fund loses the premium paid. The primary risk associated with writing options is that interest rates move in such a way that the option is in-the-money, the counterparty exercises the option, and the fund loses an amount equal to the market value of the option written less the premium received. Counterparty risk involving futures and exchange-traded options is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures and options on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses).
During the six months ended June 30, 2016, the fund’s average investments in long and short futures contracts each represented 3% of net assets, based on the average of aggregate settlement values at each quarter-end during the period.
21
Inflation-Protected Securities Fund
Options on futures contracts are also valued at their quoted daily settlement prices. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.
During the six months ended June 30, 2016, the fund’s average value of investments in options purchased and options written each represented less than 1% of net assets, respectively, based on the average market values at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (December 31, 2012–2015), and for the period ended June 30, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $3.1 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.
The fund had no borrowings outstanding at June 30, 2016, or at any time during the period then ended.
6. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities purchased are amortized and accreted, respectively, to interest income over the lives of the respective securities. Inflation adjustments to the face amount of inflation-indexed securities are included in interest income. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board
22
Inflation-Protected Securities Fund
of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At June 30, 2016, the fund had contributed to Vanguard capital in the amount of $1,946,000, representing 0.01% of the fund’s net assets and 0.78% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of June 30, 2016, based on the inputs used to value them:
Level 1 | Level 2 | Level 3 | |
Investments | ($000) | ($000) | ($000) |
U.S. Government and Agency Obligations | — | 24,280,456 | — |
Temporary Cash Investments | 48,490 | — | — |
Liability for Options Written | (2,020) | — | — |
Futures Contracts—Assets1 | 583 | — | — |
Futures Contracts—Liabilities1 | (634) | — | — |
Total | 46,419 | 24,280,456 | — |
1 Represents variation margin on the last day of the reporting period. |
D. At June 30, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
($000) | ||||
Aggregate | ||||
Number of | Settlement | Unrealized | ||
Long (Short) | Value | Appreciation | ||
Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
Ultra 10-Year U.S. Treasury Note | September 2016 | (3,240) | (471,977) | (15,858) |
10-Year U.S. Treasury Note | September 2016 | 1,079 | 143,490 | (238) |
5-Year U.S. Treasury Note | September 2016 | (762) | (93,089) | (291) |
Ultra Long U.S. Treasury Bond | September 2016 | 320 | 59,640 | 359 |
(16,028) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
23
Inflation-Protected Securities Fund
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
Certain of the fund’s U.S. Treasury inflation-indexed securities experienced deflation and amortization adjustments that reduced interest income and the cost of investments for financial statement purposes by an amount greater than the reduction of taxable income; the additional income reduction will be deferred for tax purposes until it is used to offset future inflation adjustments that increase taxable income. The difference becomes permanent if the securities are sold. During the six months ended June 30, 2016, the fund realized gains of $641,000 that were included in ordinary income for tax purposes as a result of deferred deflation and amortization adjustments; accordingly, such gains have been reclassified from accumulated net realized gains to undistributed net investment income. Deferred inflation and amortization adjustments to securities held at June 30, 2016, totaling $48,000 are reflected as a reduction of the amount of tax-basis unrealized appreciation of investment securities.
During the six months ended June 30, 2016, the fund realized $3,896,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at December 31, 2015, the fund had available capital losses totaling $11,344,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending December 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At June 30, 2016, the cost of investment securities for tax purposes was $22,857,566,000. Net unrealized appreciation of investment securities for tax purposes was $1,471,380,000, consisting of unrealized gains of $1,517,023,000 on securities that had risen in value since their purchase and $45,643,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended June 30, 2016, the fund purchased $3,926,166,000 of investment securities and sold $3,577,933,000 of investment securities, other than temporary cash investments. Purchases and sales include $0 and $43,756,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
24
Inflation-Protected Securities Fund
The following table summarizes the fund’s options written during the six months ended June 30, 2016.
Premiums | ||||
Number of | Received | |||
Options Written | Contracts | ($000) | ||
Balance at December 31, 2015 | 2,963 | 937 | ||
Options Written | 19,357 | 7,813 | ||
Options Expired | (3,190) | (1,126) | ||
Options Closed | (16,840) | (6,113) | ||
Options Exercised | — | — | ||
Balance at June 30, 2016 | 2,290 | 1,511 | ||
G. Capital share transactions for each class of shares were: | ||||
Six Months Ended | Year Ended | |||
June 30, 2016 | December 31, 2015 | |||
Amount | Shares | Amount | Shares | |
($000) | (000) | ($000) | (000) | |
Investor Shares | ||||
Issued | 332,529 | 25,073 | 681,832 | 51,628 |
Issued in Lieu of Cash Distributions | 703 | 52 | 34,201 | 2,658 |
Redeemed | (698,960) | (52,709) | (1,450,257) | (110,005) |
Net Increase (Decrease)—Investor Shares | (365,728) | (27,584) | (734,224) | (55,719) |
Admiral Shares | ||||
Issued | 1,568,548 | 60,104 | 2,317,552 | 89,557 |
Issued in Lieu of Cash Distributions | 1,935 | 73 | 82,177 | 3,253 |
Redeemed | (1,235,539) | (47,490) | (2,369,777) | (91,684) |
Net Increase (Decrease)—Admiral Shares | 334,944 | 12,687 | 29,952 | 1,126 |
Institutional Shares | ||||
Issued | 1,092,310 | 102,694 | 1,989,694 | 188,047 |
Issued in Lieu of Cash Distributions | 1,220 | 113 | 66,430 | 6,460 |
Redeemed | (885,996) | (83,507) | (2,828,201) | (268,857) |
Net Increase (Decrease) —Institutional Shares | 207,534 | 19,300 | (772,077) | (74,350) |
H. Management has determined that no material events or transactions occurred subsequent to June 30, 2016, that would require recognition or disclosure in these financial statements.
25
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
26
Six Months Ended June 30, 2016 | |||
Beginning | Ending | Expenses | |
Account Value | Account Value | Paid During | |
Inflation-Protected Securities Fund | 12/31/2015 | 6/30/2016 | Period |
Based on Actual Fund Return | |||
Investor Shares | $1,000.00 | $1,064.04 | $1.03 |
Admiral Shares | 1,000.00 | 1,064.07 | 0.51 |
Institutional Shares | 1,000.00 | 1,064.43 | 0.36 |
Based on Hypothetical 5% Yearly Return | |||
Investor Shares | $1,000.00 | $1,023.87 | $1.01 |
Admiral Shares | 1,000.00 | 1,024.37 | 0.50 |
Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.20% for Investor Shares, 0.10% for Admiral Shares, and 0.07% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
27
Trustees Approve Advisory Arrangement
The board of trustees of Vanguard Inflation-Protected Securities Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard)—through its Fixed Income Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.
The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services over both the short and long term, and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than three decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth.
The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.
Investment performance
The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance relative to a benchmark index and peer group. The board concluded that the performance was such that the advisory arrangement should continue. Information about the fund’s most recent performance can be found in the Performance Summary section of this report.
Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section.
The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique “at-cost” structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees, and produces “profits” only in the form of reduced expenses for fund shareholders.
The benefit of economies of scale
The board concluded that the fund’s at-cost arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.
The board will consider whether to renew the advisory arrangement again after a one-year period.
28
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the fund’s bonds will fluctuate in response to a change in “real” interest rates—meaning rates without inflation expectations built in. Real interest rates are reflected in market yields for inflation-adjusted securities. To see how the fund’s bond values could change, multiply the average duration by the change in real rates. For example, if the average duration were five years, then the value of the fund’s bonds would decline by about 5% if real interest rates rose by 1 percentage point. Conversely, if real rates fell by a percentage point, the value of the bonds would rise about 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Moody’s and S&P, and the higher rating for each issue is shown. ”Not Rated” is used to classify securities for which a rating is not available. Not rated securities include a fund’s investment in Vanguard Market Liquidity Fund or Vanguard Municipal Cash Management Fund, each of which invests in high-quality money market instruments and may serve as a cash management vehicle for the Vanguard funds, trusts, and accounts.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
29
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. This term generally refers to the rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates. For the Inflation-Protected Securities Fund, the calculation is modified by adding in the inflation adjustment made over the past 12 months. This change results in a figure more directly comparable to the yield-to-maturity figures for other types of bond funds. (An unmodified yield to maturity is used in calculating the fund’s 30-Day SEC Yield.)
30
Vanguard Inflation-Protected Securities Fund is not sponsored, endorsed, issued, sold or promoted by Barclays Capital Inc. or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied, to the owners or purchasers of Vanguard Inflation-Protected Securities Fund or any member of the public regarding the advisability of investing in securities generally or in Vanguard Inflation-Protected Securities Fund particularly or the ability of the Barclays Index to track general bond market performance. Barclays has not passed on the legality or suitability of Vanguard Inflation-Protected Securities Fund with respect to any person or entity. Barclays’ only relationship to Vanguard and Vanguard Inflation-Protected Securities Fund is the licensing of the Barclays Index which is determined, composed and calculated by Barclays without regard to Vanguard or Vanguard Inflation-Protected Securities Fund or any owners or purchasers of Vanguard Inflation-Protected Securities Fund. Barclays has no obligation to take the needs of Vanguard, Vanguard Inflation-Protected Securities Fund or the owners of Vanguard Inflation-Protected Securities Fund into consideration in determining, composing or calculating the Barclays Index. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of Vanguard Inflation-Protected Securities Fund to be issued. Barclays has no obligation or liability in connection with the administration, marketing or trading of Vanguard Inflation-Protected Securities Fund.
BARCLAYS SHALL HAVE NO LIABILITY TO THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE INDEX. BARCLAYS MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY OWNERS OF THE VANGUARD INFLATION-PROTECTED SECURITIES FUND OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. BARCLAYS RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BARCLAYS U.S. TREASURY INFLATION PROTECTED SECURITIES INDEX, AND BARCLAYS SHALL NOT BE LIABLE
FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BARCLAYS U.S. TREASURY INFLATION PROTECTED SECURITIES INDEX. BARCLAYS MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. BARCLAYS SHALL NOT BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY INDIRECT OR CONSEQUENTIAL DAMAGES RESULTING FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN.
© 2016 Barclays. Used with Permission.
Source: Barclays Global Family of Indices. Copyright 2016, Barclays. All rights reserved.
31
The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your funds trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
A majority of Vanguards board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 198 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
InterestedTrustee1 |
F. William McNabb III |
Born 1957. Trustee Since July 2009. Chairman of |
the Board. Principal Occupation(s) During the Past |
Five Years and Other Experience: Chairman of the |
Board of The Vanguard Group, Inc., and of each of |
the investment companies served by The Vanguard |
Group, since January 2010; Director of The Vanguard |
Group since 2008; Chief Executive Officer and |
President of The Vanguard Group, and of each of |
the investment companies served by The Vanguard |
Group, since 2008; Director of Vanguard Marketing |
Corporation; Managing Director of The Vanguard |
Group (19952008). |
IndependentTrustees |
Emerson U. Fullwood |
Born 1948. Trustee Since January 2008. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Executive Chief Staff and Marketing |
Officer for North America and Corporate Vice President |
(retired 2008) of Xerox Corporation (document manage- |
ment products and services); Executive in Residence |
and 20092010 Distinguished Minett Professor at |
the Rochester Institute of Technology; Lead Director |
of SPX FLOW, Inc. (multi-industry manufacturing); |
Director of the United Way of Rochester, the University |
of Rochester Medical Center, Monroe Community |
College Foundation, North Carolina A&T University, |
and Roberts Wesleyan College. |
Rajiv L. Gupta |
Born 1945. Trustee Since December 2001.2 Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chairman and Chief Executive Officer |
(retired 2009) and President (20062008) of |
Rohm and Haas Co. (chemicals); Director of Tyco |
International plc (diversified manufacturing and |
services), HP Inc. (printer and personal computer |
manufacturing), and Delphi Automotive plc |
(automotive components); Senior Advisor at |
New Mountain Capital. |
Amy Gutmann |
Born 1949. Trustee Since June 2006. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: President of the University of |
Pennsylvania; Christopher H. Browne Distinguished |
Professor of Political Science, School of Arts and |
Sciences, and Professor of Communication, Annenberg |
School for Communication, with secondary faculty |
appointments in the Department of Philosophy, School |
of Arts and Sciences, and at the Graduate School of |
Education, University of Pennsylvania; Trustee of the |
National Constitution Center; Chair of the Presidential |
Commission for the Study of Bioethical Issues. |
JoAnn Heffernan Heisen |
Born 1950. Trustee Since July 1998. Principal |
Occupation(s) During the Past Five Years and |
Other Experience: Corporate Vice President and |
Chief Global Diversity Officer (retired 2008) and |
Member of the Executive Committee (19972008) |
of Johnson & Johnson (pharmaceuticals/medical |
devices/consumer products); Director of Skytop |
Lodge Corporation (hotels) and the Robert Wood |
Johnson Foundation; Member of the Advisory |
Board of the Institute for Womens Leadership |
at Rutgers University. |
F. Joseph Loughrey |
Born 1949. Trustee Since October 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2009) of Cummins Inc. (industrial machinery); |
Chairman of the Board of Hillenbrand, Inc. (specialized |
consumer services), and of Oxfam America; Director |
of SKF AB (industrial machinery), Hyster-Yale Materials |
Handling, Inc. (forklift trucks), the Lumina Foundation |
for Education, and the V Foundation for Cancer |
Research; Member of the Advisory Council for the |
College of Arts and Letters and of the Advisory Board |
to the Kellogg Institute for International Studies, both |
at the University of Notre Dame. |
Mark Loughridge |
Born 1953. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Senior Vice President and Chief Financial |
Officer (retired 2013) at IBM (information technology |
services); Fiduciary Member of IBM’s Retirement Plan |
Committee (2004–2013); Director of the Dow Chemical |
Company; Member of the Council on Chicago Booth. |
Scott C. Malpass |
Born 1962. Trustee Since March 2012. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: Chief Investment Officer and Vice |
President at the University of Notre Dame; Assistant |
Professor of Finance at the Mendoza College of |
Business at Notre Dame; Member of the Notre Dame |
403(b) Investment Committee, the Board of Advisors |
for Spruceview Capital Partners, and the Investment |
Advisory Committee of Major League Baseball; Board |
Member of TIFF Advisory Services, Inc., and Catholic |
Investment Services, Inc. (investment advisors). |
André F. Perold |
Born 1952. Trustee Since December 2004. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: George Gund Professor of Finance and |
Banking, Emeritus at the Harvard Business School |
(retired 2011); Chief Investment Officer and Managing |
Partner of HighVista Strategies LLC (private investment |
firm); Director of Rand Merchant Bank; Overseer of |
the Museum of Fine Arts Boston. |
Peter F. Volanakis |
Born 1955. Trustee Since July 2009. Principal |
Occupation(s) During the Past Five Years and Other |
Experience: President and Chief Operating Officer |
(retired 2010) of Corning Incorporated (communications |
equipment); Trustee of Colby-Sawyer College and |
Chairman of its Finance and Enrollment Committee; |
Member of the Advisory Board of the Norris Cotton |
Cancer Center. |
Executive Officers | |
Glenn Booraem | |
Born 1967. Treasurer Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Principal of The Vanguard Group, | |
Inc.; Treasurer of each of the investment companies | |
served by The Vanguard Group; Controller of each of | |
the investment companies served by The Vanguard | |
Group (2010–2015); Assistant Controller of each of | |
the investment companies served by The Vanguard | |
Group (2001–2010). | |
Thomas J. Higgins | |
Born 1957. Chief Financial Officer Since September | |
2008. Principal Occupation(s) During the Past Five | |
Years and Other Experience: Principal of The Vanguard | |
Group, Inc.; Chief Financial Officer of each of the | |
investment companies served by The Vanguard Group; | |
Treasurer of each of the investment companies served | |
by The Vanguard Group (1998–2008). | |
Peter Mahoney | |
Born 1974. Controller Since May 2015. Principal | |
Occupation(s) During the Past Five Years and | |
Other Experience: Head of Global Fund Accounting | |
at The Vanguard Group, Inc.; Controller of each of the | |
investment companies served by The Vanguard Group; | |
Head of International Fund Services at The Vanguard | |
Group (2008–2014). | |
Heidi Stam | |
Born 1956. Secretary Since July 2005. Principal | |
Occupation(s) During the Past Five Years and Other | |
Experience: Managing Director of The Vanguard | |
Group, Inc.; General Counsel of The Vanguard Group; | |
Secretary of The Vanguard Group and of each of the | |
investment companies served by The Vanguard Group; | |
Director and Senior Vice President of Vanguard | |
Marketing Corporation. | |
Vanguard Senior ManagementTeam | |
Mortimer J. Buckley | James M. Norris |
Kathleen C. Gubanich | Thomas M. Rampulla |
Martha G. King | Glenn W. Reed |
John T. Marcante | Karin A. Risi |
Chris D. McIsaac | Michael Rollings |
Chairman Emeritus and Senior Advisor | |
John J. Brennan | |
Chairman, 1996–2009 | |
Chief Executive Officer and President, 1996–2008 | |
Founder | |
John C. Bogle | |
Chairman and Chief Executive Officer, 1974–1996 |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
P.O. Box 2600 |
Valley Forge, PA 19482-2600 |
Connect with Vanguard® > vanguard.com
Fund Information > 800-662-7447 | |
Direct Investor Account Services > 800-662-2739 | |
Institutional Investor Services > 800-523-1036 | |
Text Telephone for People | |
Who Are Deaf or Hard of Hearing> 800-749-7273 | |
This material may be used in conjunction | |
with the offering of shares of any Vanguard | |
fund only if preceded or accompanied by | |
the fund’s current prospectus. | |
All comparative mutual fund data are from Lipper, a | |
Thomson Reuters Company, or Morningstar, Inc., unless | |
otherwise noted. | |
You can obtain a free copy of Vanguard’s proxy voting | |
guidelines by visiting vanguard.com/proxyreporting or by | |
calling Vanguard at 800-662-2739. The guidelines are | |
also available from the SEC’s website, sec.gov. In | |
addition, you may obtain a free report on how your fund | |
voted the proxies for securities it owned during the 12 | |
months ended June 30. To get the report, visit either | |
vanguard.com/proxyreporting or sec.gov. | |
You can review and copy information about your fund at | |
the SEC’s Public Reference Room in Washington, D.C. To | |
find out more about this public service, call the SEC at | |
202-551-8090. Information about your fund is also | |
available on the SEC’s website, and you can receive | |
copies of this information, for a fee, by sending a | |
request in either of two ways: via email addressed to | |
publicinfo@sec.gov or via regular mail addressed to the | |
Public Reference Section, Securities and Exchange | |
Commission, Washington, DC 20549-1520. | |
© 2016 The Vanguard Group, Inc. | |
All rights reserved. | |
Vanguard Marketing Corporation, Distributor. | |
Q1192 082016 |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
Vanguard® Short-Term Bond Index Fund
Schedule of Investments
June 30, 2016
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (64.4%) | ||||
U.S. Government Securities (59.6%) | ||||
United States Treasury Note/Bond | 4.500% | 5/15/17 | 68,310 | 70,669 |
United States Treasury Note/Bond | 2.750% | 5/31/17 | 4,644 | 4,738 |
United States Treasury Note/Bond | 0.875% | 6/15/17 | 295,100 | 296,159 |
United States Treasury Note/Bond | 0.625% | 6/30/17 | 52,553 | 52,610 |
United States Treasury Note/Bond | 0.750% | 6/30/17 | 308,210 | 308,931 |
United States Treasury Note/Bond | 2.500% | 6/30/17 | 50,000 | 50,969 |
United States Treasury Note/Bond | 0.875% | 7/15/17 | 120,815 | 121,268 |
United States Treasury Note/Bond | 0.500% | 7/31/17 | 314,520 | 314,422 |
United States Treasury Note/Bond | 0.625% | 7/31/17 | 74,853 | 74,935 |
United States Treasury Note/Bond | 2.375% | 7/31/17 | 86,596 | 88,301 |
United States Treasury Note/Bond | 0.875% | 8/15/17 | 298,815 | 299,936 |
United States Treasury Note/Bond | 4.750% | 8/15/17 | 68,295 | 71,497 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 314,972 | 315,315 |
United States Treasury Note/Bond | 1.875% | 8/31/17 | 67,155 | 68,183 |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 321,935 | 323,645 |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 565,125 | 565,741 |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 69,825 | 70,971 |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 311,355 | 312,619 |
United States Treasury Note/Bond | 0.750% | 10/31/17 | 64,454 | 64,615 |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 249,746 | 254,077 |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 252,417 | 253,482 |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 279,970 | 280,188 |
United States Treasury Note/Bond | 0.875% | 11/30/17 | 227,328 | 228,287 |
United States Treasury Note/Bond | 2.250% | 11/30/17 | 12,620 | 12,918 |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 172,111 | 173,187 |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 189,250 | 189,753 |
United States Treasury Note/Bond | 1.000% | 12/31/17 | 8,839 | 8,896 |
United States Treasury Note/Bond | 2.750% | 12/31/17 | 140,990 | 145,528 |
United States Treasury Note/Bond | 0.875% | 1/15/18 | 36,850 | 37,017 |
United States Treasury Note/Bond | 0.750% | 1/31/18 | 80,000 | 80,225 |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 179,320 | 180,161 |
United States Treasury Note/Bond | 2.625% | 1/31/18 | 86,529 | 89,301 |
United States Treasury Note/Bond | 1.000% | 2/15/18 | 3,542 | 3,566 |
United States Treasury Note/Bond | 3.500% | 2/15/18 | 80,105 | 83,872 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 169,855 | 170,332 |
United States Treasury Note/Bond | 2.750% | 2/28/18 | 56,165 | 58,184 |
United States Treasury Note/Bond | 1.000% | 3/15/18 | 292,509 | 294,521 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 100,380 | 100,662 |
United States Treasury Note/Bond | 0.875% | 3/31/18 | 230 | 231 |
United States Treasury Note/Bond | 2.875% | 3/31/18 | 68,794 | 71,513 |
United States Treasury Note/Bond | 0.750% | 4/15/18 | 183,405 | 183,920 |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 192,675 | 192,825 |
United States Treasury Note/Bond | 0.750% | 4/30/18 | 1,760 | 1,765 |
United States Treasury Note/Bond | 1.000% | 5/15/18 | 254,995 | 256,948 |
United States Treasury Note/Bond | 9.125% | 5/15/18 | 900 | 1,044 |
United States Treasury Note/Bond | 0.875% | 5/31/18 | 122,528 | 123,217 |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 419,115 | 422,388 |
United States Treasury Note/Bond | 2.375% | 5/31/18 | 21,269 | 21,990 |
United States Treasury Note/Bond | 1.125% | 6/15/18 | 145,724 | 147,205 |
United States Treasury Note/Bond | 0.625% | 6/30/18 | 85,000 | 85,053 |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 270,390 | 274,530 |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 55,466 | 57,416 |
United States Treasury Note/Bond | 0.875% | 7/15/18 | 331,960 | 333,776 |
United States Treasury Note/Bond | 1.375% | 7/31/18 | 242,360 | 246,146 |
United States Treasury Note/Bond | 1.000% | 8/15/18 | 548,419 | 552,872 |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 308,780 | 314,665 |
United States Treasury Note/Bond | 1.000% | 9/15/18 | 312,335 | 314,871 |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 376,790 | 383,090 |
United States Treasury Note/Bond | 0.875% | 10/15/18 | 249,430 | 250,794 |
United States Treasury Note/Bond | 1.250% | 10/31/18 | 185,900 | 188,514 |
United States Treasury Note/Bond | 1.250% | 11/15/18 | 23,436 | 23,769 |
1
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 3.750% | 11/15/18 | 5,932 | 6,368 |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 749,264 | 760,038 |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 13,360 | 13,592 |
United States Treasury Note/Bond | 1.250% | 12/15/18 | 43,036 | 43,661 |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 164,859 | 168,258 |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 431,800 | 436,727 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 2,020 | 2,050 |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 347,060 | 354,327 |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 277,354 | 277,917 |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 15,115 | 15,932 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 9,070 | 9,236 |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 402,200 | 410,871 |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 109,715 | 110,657 |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 3,885 | 3,973 |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 268,390 | 275,183 |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 291,295 | 292,705 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 16 | 16 |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 321,394 | 329,680 |
United States Treasury Note/Bond | 0.875% | 5/15/19 | 344,055 | 345,720 |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 1,140 | 1,219 |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 800 | 810 |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 358,765 | 366,895 |
United States Treasury Note/Bond | 0.875% | 6/15/19 | 199,325 | 200,322 |
United States Treasury Note/Bond | 1.000% | 6/30/19 | 11,185 | 11,281 |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 465,386 | 477,896 |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 52,544 | 52,757 |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 294,605 | 302,568 |
United States Treasury Note/Bond | 1.000% | 8/31/19 | 2,660 | 2,681 |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 461,569 | 474,119 |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 368,231 | 379,738 |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 189,151 | 193,585 |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 729,865 | 746,973 |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 8,000 | 8,088 |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 182,799 | 187,855 |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 433,842 | 440,215 |
United States Treasury Note/Bond | 1.375% | 1/31/20 | 3,000 | 3,058 |
United States Treasury Note/Bond | 3.625% | 2/15/20 | 65,000 | 71,540 |
United States Treasury Note/Bond | 1.375% | 2/29/20 | 536,907 | 547,140 |
United States Treasury Note/Bond | 1.125% | 3/31/20 | 15,000 | 15,155 |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 494,988 | 504,422 |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 312,770 | 318,731 |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 418,712 | 428,527 |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 250,465 | 257,626 |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 543,474 | 558,930 |
United States Treasury Note/Bond | 1.375% | 8/31/20 | 648,220 | 660,173 |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 27,598 | 28,952 |
United States Treasury Note/Bond | 1.375% | 9/30/20 | 369,933 | 376,755 |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 9,633 | 10,064 |
United States Treasury Note/Bond | 1.375% | 10/31/20 | 530,380 | 540,075 |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 129,040 | 133,395 |
United States Treasury Note/Bond | 1.625% | 11/30/20 | 656,725 | 676,020 |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 4,000 | 4,180 |
United States Treasury Note/Bond | 1.750% | 12/31/20 | 220,419 | 228,030 |
United States Treasury Note/Bond | 2.375% | 12/31/20 | 4,000 | 4,247 |
United States Treasury Note/Bond | 1.375% | 1/31/21 | 277,010 | 281,944 |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 6,000 | 6,309 |
United States Treasury Note/Bond | 1.125% | 2/28/21 | 433,910 | 437,030 |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 74,000 | 77,423 |
United States Treasury Note/Bond | 1.250% | 3/31/21 | 709,875 | 718,308 |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 224,955 | 228,892 |
United States Treasury Note/Bond | 1.375% | 5/31/21 | 587,145 | 597,784 |
United States Treasury Note/Bond | 1.125% | 6/30/21 | 790,661 | 794,986 |
26,781,832 |
2
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Agency Bonds and Notes (4.8%) | |||||
1 | AID-Jordan | 1.945% | 6/23/19 | 5,600 | 5,798 |
1 | AID-Jordan | 2.503% | 10/30/20 | 7,250 | 7,708 |
1 | AID-Ukraine | 1.844% | 5/16/19 | 3,400 | 3,500 |
1 | AID-Ukraine | 1.847% | 5/29/20 | 6,000 | 6,151 |
2 | Federal Farm Credit Banks | 1.125% | 9/22/17 | 6,000 | 6,037 |
2 | Federal Farm Credit Banks | 1.000% | 9/25/17 | 4,150 | 4,170 |
2 | Federal Farm Credit Banks | 1.125% | 12/18/17 | 15,000 | 15,105 |
2 | Federal Farm Credit Banks | 1.110% | 2/20/18 | 4,150 | 4,181 |
2 | Federal Farm Credit Banks | 0.750% | 4/18/18 | 10,000 | 10,012 |
2 | Federal Farm Credit Banks | 1.100% | 6/1/18 | 2,000 | 2,015 |
2 | Federal Farm Credit Banks | 5.150% | 11/15/19 | 7,621 | 8,691 |
2 | Federal Home Loan Banks | 0.860% | 8/1/17 | 9,500 | 9,528 |
2 | Federal Home Loan Banks | 0.625% | 10/26/17 | 53,500 | 53,501 |
2 | Federal Home Loan Banks | 1.125% | 12/8/17 | 12,500 | 12,586 |
2 | Federal Home Loan Banks | 1.000% | 12/19/17 | 40,000 | 40,208 |
2 | Federal Home Loan Banks | 1.375% | 3/9/18 | 20,000 | 20,235 |
2 | Federal Home Loan Banks | 0.875% | 3/19/18 | 34,710 | 34,829 |
2 | Federal Home Loan Banks | 1.125% | 4/25/18 | 65,185 | 65,704 |
2 | Federal Home Loan Banks | 2.750% | 6/8/18 | 15,675 | 16,294 |
2 | Federal Home Loan Banks | 0.875% | 6/29/18 | 65,000 | 65,233 |
2 | Federal Home Loan Banks | 5.375% | 8/15/18 | 14,025 | 15,406 |
2 | Federal Home Loan Banks | 5.375% | 5/15/19 | 11,920 | 13,460 |
2 | Federal Home Loan Banks | 1.125% | 6/21/19 | 26,000 | 26,230 |
2 | Federal Home Loan Banks | 5.125% | 8/15/19 | 7,350 | 8,315 |
2 | Federal Home Loan Banks | 1.250% | 12/13/19 | 8,875 | 8,976 |
2 | Federal Home Loan Banks | 1.875% | 3/13/20 | 16,525 | 17,065 |
2 | Federal Home Loan Banks | 4.125% | 3/13/20 | 40,670 | 45,316 |
2 | Federal Home Loan Banks | 3.375% | 6/12/20 | 7,025 | 7,665 |
2 | Federal Home Loan Banks | 5.250% | 12/11/20 | 3,400 | 4,008 |
2 | Federal Home Loan Banks | 1.375% | 2/18/21 | 17,600 | 17,808 |
2 | Federal Home Loan Banks | 5.625% | 6/11/21 | 13,465 | 16,330 |
3 | Federal Home Loan Mortgage Corp. | 0.750% | 7/14/17 | 15,000 | 15,026 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 7/28/17 | 53,953 | 54,194 |
3 | Federal Home Loan Mortgage Corp. | 5.500% | 8/23/17 | 51,130 | 53,980 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 33,700 | 33,861 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 12/15/17 | 45,800 | 46,036 |
3 | Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 94,790 | 94,944 |
3 | Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 77,175 | 77,435 |
3 | Federal Home Loan Mortgage Corp. | 0.750% | 4/9/18 | 8,450 | 8,460 |
3 | Federal Home Loan Mortgage Corp. | 4.875% | 6/13/18 | 11,500 | 12,430 |
3 | Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 23,680 | 25,566 |
3 | Federal Home Loan Mortgage Corp. | 1.125% | 4/15/19 | 20,000 | 20,177 |
3 | Federal Home Loan Mortgage Corp. | 1.750% | 5/30/19 | 27,305 | 28,056 |
3 | Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 120,560 | 121,933 |
3 | Federal Home Loan Mortgage Corp. | 1.375% | 5/1/20 | 42,530 | 43,138 |
3 | Federal National Mortgage Assn. | 0.875% | 8/28/17 | 48,325 | 48,476 |
3 | Federal National Mortgage Assn. | 1.000% | 9/27/17 | 18,410 | 18,498 |
3 | Federal National Mortgage Assn. | 0.875% | 10/26/17 | 59,200 | 59,388 |
3 | Federal National Mortgage Assn. | 0.875% | 12/20/17 | 58,750 | 58,949 |
3 | Federal National Mortgage Assn. | 0.875% | 2/8/18 | 58,475 | 58,690 |
3 | Federal National Mortgage Assn. | 0.875% | 3/28/18 | 20,000 | 20,066 |
3 | Federal National Mortgage Assn. | 0.875% | 5/21/18 | 46,360 | 46,526 |
3 | Federal National Mortgage Assn. | 1.125% | 7/20/18 | 25,000 | 25,219 |
3 | Federal National Mortgage Assn. | 1.875% | 9/18/18 | 25,215 | 25,851 |
3 | Federal National Mortgage Assn. | 1.125% | 10/19/18 | 18,500 | 18,665 |
3 | Federal National Mortgage Assn. | 1.625% | 11/27/18 | 64,005 | 65,348 |
3 | Federal National Mortgage Assn. | 1.125% | 12/14/18 | 25,345 | 25,561 |
3 | Federal National Mortgage Assn. | 1.375% | 1/28/19 | 40,400 | 41,008 |
3 | Federal National Mortgage Assn. | 1.875% | 2/19/19 | 9,000 | 9,253 |
3 | Federal National Mortgage Assn. | 1.000% | 2/26/19 | 20,500 | 20,605 |
3 | Federal National Mortgage Assn. | 1.750% | 6/20/19 | 45,000 | 46,220 |
3 | Federal National Mortgage Assn. | 1.750% | 9/12/19 | 35,000 | 35,965 |
3 | Federal National Mortgage Assn. | 0.000% | 10/9/19 | 47,300 | 45,449 |
3
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
3 | Federal National Mortgage Assn. | 1.750% | 11/26/19 | 18,000 | 18,503 |
3 | Federal National Mortgage Assn. | 1.625% | 1/21/20 | 22,500 | 23,043 |
3 | Federal National Mortgage Assn. | 1.500% | 6/22/20 | 45,735 | 46,599 |
3 | Federal National Mortgage Assn. | 1.500% | 11/30/20 | 40,000 | 40,683 |
3 | Federal National Mortgage Assn. | 1.875% | 12/28/20 | 28,650 | 29,605 |
3 | Federal National Mortgage Assn. | 1.375% | 2/26/21 | 21,000 | 21,230 |
2 | Financing Corp. | 9.800% | 4/6/18 | 1,440 | 1,668 |
2 | Financing Corp. | 10.350% | 8/3/18 | 3,755 | 4,499 |
2 | Financing Corp. | 9.650% | 11/2/18 | 12,540 | 15,095 |
2 | Financing Corp. | 8.600% | 9/26/19 | 1,810 | 2,247 |
Private Export Funding Corp. | 2.250% | 12/15/17 | 9,225 | 9,427 | |
Private Export Funding Corp. | 1.875% | 7/15/18 | 4,000 | 4,082 | |
Private Export Funding Corp. | 4.375% | 3/15/19 | 10,650 | 11,634 | |
Private Export Funding Corp. | 1.450% | 8/15/19 | 1,000 | 1,017 | |
Private Export Funding Corp. | 2.300% | 9/15/20 | 1,650 | 1,724 | |
2 | Tennessee Valley Authority | 5.500% | 7/18/17 | 6,200 | 6,514 |
2 | Tennessee Valley Authority | 6.250% | 12/15/17 | 2,630 | 2,840 |
2 | Tennessee Valley Authority | 4.500% | 4/1/18 | 8,300 | 8,833 |
2 | Tennessee Valley Authority | 1.750% | 10/15/18 | 3,040 | 3,107 |
2 | Tennessee Valley Authority | 3.875% | 2/15/21 | 6,100 | 6,819 |
2,136,207 | |||||
Total U.S. Government and Agency Obligations (Cost $28,534,040) | 28,918,039 | ||||
Corporate Bonds (27.5%) | |||||
Finance (11.4%) | |||||
Banking (9.2%) | |||||
American Express Bank FSB | 6.000% | 9/13/17 | 4,800 | 5,062 | |
American Express Centurion Bank | 6.000% | 9/13/17 | 2,250 | 2,375 | |
American Express Co. | 5.500% | 9/12/16 | 2,785 | 2,809 | |
American Express Co. | 6.150% | 8/28/17 | 18,959 | 20,038 | |
American Express Co. | 7.000% | 3/19/18 | 7,521 | 8,194 | |
American Express Co. | 1.550% | 5/22/18 | 5,675 | 5,705 | |
American Express Co. | 8.125% | 5/20/19 | 500 | 587 | |
American Express Credit Corp. | 1.125% | 6/5/17 | 18,239 | 18,233 | |
American Express Credit Corp. | 1.550% | 9/22/17 | 1,209 | 1,214 | |
American Express Credit Corp. | 2.125% | 7/27/18 | 9,075 | 9,230 | |
American Express Credit Corp. | 1.800% | 7/31/18 | 4,535 | 4,577 | |
American Express Credit Corp. | 1.875% | 11/5/18 | 5,300 | 5,360 | |
American Express Credit Corp. | 2.125% | 3/18/19 | 6,650 | 6,782 | |
American Express Credit Corp. | 2.250% | 8/15/19 | 500 | 511 | |
American Express Credit Corp. | 2.375% | 5/26/20 | 14,200 | 14,529 | |
American Express Credit Corp. | 2.600% | 9/14/20 | 5,500 | 5,678 | |
American Express Credit Corp. | 2.250% | 5/5/21 | 12,000 | 12,200 | |
Associates Corp. of North America | 6.950% | 11/1/18 | 500 | 555 | |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 9,300 | 9,385 | |
Australia & New Zealand Banking Group Ltd. | 1.450% | 5/15/18 | 5,000 | 5,019 | |
Australia & New Zealand Banking Group Ltd. | 2.000% | 11/16/18 | 10,300 | 10,444 | |
Australia & New Zealand Banking Group Ltd. | 2.250% | 6/13/19 | 4,650 | 4,747 | |
Australia & New Zealand Banking Group Ltd. | 2.700% | 11/16/20 | 6,375 | 6,617 | |
Australia & New Zealand Banking Group Ltd. | 2.300% | 6/1/21 | 4,250 | 4,317 | |
Banco Bilbao Vizcaya Argentaria SA | 3.000% | 10/20/20 | 9,000 | 9,170 | |
Bancolombia SA | 5.950% | 6/3/21 | 5,850 | 6,391 | |
Bank of America Corp. | 5.700% | 5/2/17 | 10,000 | 10,353 | |
Bank of America Corp. | 1.700% | 8/25/17 | 7,600 | 7,629 | |
Bank of America Corp. | 6.400% | 8/28/17 | 7,350 | 7,756 | |
Bank of America Corp. | 6.000% | 9/1/17 | 10,364 | 10,892 | |
Bank of America Corp. | 5.750% | 12/1/17 | 17,725 | 18,762 | |
Bank of America Corp. | 2.000% | 1/11/18 | 14,971 | 15,074 | |
Bank of America Corp. | 6.875% | 4/25/18 | 39,669 | 43,298 | |
Bank of America Corp. | 5.650% | 5/1/18 | 23,125 | 24,759 | |
Bank of America Corp. | 6.875% | 11/15/18 | 5,125 | 5,719 | |
Bank of America Corp. | 2.600% | 1/15/19 | 30,975 | 31,620 | |
Bank of America Corp. | 5.490% | 3/15/19 | 1,075 | 1,162 |
4
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bank of America Corp. | 2.650% | 4/1/19 | 12,075 | 12,382 |
Bank of America Corp. | 7.625% | 6/1/19 | 32,925 | 38,047 |
Bank of America Corp. | 2.250% | 4/21/20 | 14,300 | 14,354 |
Bank of America Corp. | 5.625% | 7/1/20 | 20,175 | 22,719 |
Bank of America Corp. | 2.625% | 10/19/20 | 20,300 | 20,637 |
Bank of America Corp. | 5.875% | 1/5/21 | 9,600 | 10,998 |
Bank of America Corp. | 2.625% | 4/19/21 | 15,750 | 15,962 |
Bank of America Corp. | 5.000% | 5/13/21 | 12,300 | 13,717 |
Bank of America NA | 1.650% | 3/26/18 | 3,125 | 3,137 |
Bank of America NA | 1.750% | 6/5/18 | 15,100 | 15,205 |
Bank of America NA | 2.050% | 12/7/18 | 20,000 | 20,285 |
Bank of Montreal | 1.300% | 7/14/17 | 4,535 | 4,542 |
Bank of Montreal | 1.400% | 9/11/17 | 1,443 | 1,451 |
Bank of Montreal | 1.450% | 4/9/18 | 9,880 | 9,922 |
Bank of Montreal | 1.400% | 4/10/18 | 5,493 | 5,521 |
Bank of Montreal | 1.800% | 7/31/18 | 14,750 | 14,938 |
Bank of Montreal | 2.375% | 1/25/19 | 5,633 | 5,783 |
Bank of New York Mellon Corp. | 1.969% | 6/20/17 | 2,000 | 2,017 |
Bank of New York Mellon Corp. | 1.300% | 1/25/18 | 2,229 | 2,239 |
Bank of New York Mellon Corp. | 1.350% | 3/6/18 | 12,340 | 12,407 |
Bank of New York Mellon Corp. | 2.200% | 3/4/19 | 6,625 | 6,792 |
Bank of New York Mellon Corp. | 2.200% | 5/15/19 | 10,200 | 10,432 |
Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 2,677 | 2,996 |
Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 9,250 | 9,469 |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 3,600 | 3,972 |
Bank of New York Mellon Corp. | 2.150% | 2/24/20 | 5,200 | 5,316 |
Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 8,000 | 8,299 |
Bank of New York Mellon Corp. | 2.450% | 11/27/20 | 7,360 | 7,565 |
Bank of New York Mellon Corp. | 2.050% | 5/3/21 | 8,000 | 8,131 |
Bank of Nova Scotia | 1.300% | 7/21/17 | 4,806 | 4,817 |
Bank of Nova Scotia | 1.375% | 12/18/17 | 6,522 | 6,546 |
Bank of Nova Scotia | 1.450% | 4/25/18 | 6,470 | 6,493 |
Bank of Nova Scotia | 1.700% | 6/11/18 | 4,600 | 4,646 |
Bank of Nova Scotia | 2.050% | 10/30/18 | 13,277 | 13,490 |
Bank of Nova Scotia | 1.950% | 1/15/19 | 6,700 | 6,795 |
Bank of Nova Scotia | 2.050% | 6/5/19 | 8,575 | 8,720 |
Bank of Nova Scotia | 2.350% | 10/21/20 | 12,500 | 12,755 |
Bank of Nova Scotia | 4.375% | 1/13/21 | 3,050 | 3,395 |
Bank of Nova Scotia | 2.450% | 3/22/21 | 8,500 | 8,740 |
Barclays Bank plc | 2.500% | 2/20/19 | 5,910 | 5,924 |
Barclays Bank plc | 6.750% | 5/22/19 | 4,450 | 5,024 |
Barclays Bank plc | 5.140% | 10/14/20 | 200 | 212 |
Barclays plc | 2.000% | 3/16/18 | 6,300 | 6,276 |
Barclays plc | 2.750% | 11/8/19 | 12,425 | 12,337 |
Barclays plc | 2.875% | 6/8/20 | 5,550 | 5,500 |
Barclays plc | 3.250% | 1/12/21 | 15,000 | 14,936 |
BB&T Corp. | 4.900% | 6/30/17 | 2,000 | 2,069 |
BB&T Corp. | 1.600% | 8/15/17 | 1,326 | 1,335 |
BB&T Corp. | 1.450% | 1/12/18 | 7,225 | 7,254 |
BB&T Corp. | 2.050% | 6/19/18 | 6,860 | 6,972 |
BB&T Corp. | 2.250% | 2/1/19 | 5,596 | 5,732 |
BB&T Corp. | 6.850% | 4/30/19 | 6,800 | 7,809 |
BB&T Corp. | 2.450% | 1/15/20 | 11,068 | 11,414 |
BB&T Corp. | 2.050% | 5/10/21 | 8,325 | 8,426 |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 15,127 | 16,074 |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 25,250 | 27,510 |
Bear Stearns Cos. LLC | 4.650% | 7/2/18 | 4,639 | 4,911 |
BNP Paribas SA | 2.375% | 9/14/17 | 17,600 | 17,855 |
BNP Paribas SA | 2.700% | 8/20/18 | 10,850 | 11,115 |
BNP Paribas SA | 2.400% | 12/12/18 | 9,105 | 9,290 |
BNP Paribas SA | 2.450% | 3/17/19 | 4,575 | 4,671 |
BNP Paribas SA | 2.375% | 5/21/20 | 7,287 | 7,404 |
BNP Paribas SA | 5.000% | 1/15/21 | 17,460 | 19,609 |
BPCE SA | 1.613% | 7/25/17 | 2,075 | 2,071 |
5
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
BPCE SA | 2.500% | 12/10/18 | 12,950 | 13,213 | |
BPCE SA | 2.500% | 7/15/19 | 8,225 | 8,405 | |
BPCE SA | 2.250% | 1/27/20 | 6,200 | 6,304 | |
BPCE SA | 2.650% | 2/3/21 | 5,150 | 5,286 | |
Branch Banking & Trust Co. | 1.350% | 10/1/17 | 2,875 | 2,882 | |
Branch Banking & Trust Co. | 2.300% | 10/15/18 | 4,750 | 4,868 | |
Branch Banking & Trust Co. | 1.450% | 5/10/19 | 6,675 | 6,689 | |
Branch Banking & Trust Co. | 2.850% | 4/1/21 | 1,675 | 1,761 | |
Canadian Imperial Bank of Commerce | 1.550% | 1/23/18 | 8,025 | 8,069 | |
Capital One Bank USA NA | 1.300% | 6/5/17 | 400 | 400 | |
Capital One Bank USA NA | 2.150% | 11/21/18 | 1,200 | 1,211 | |
Capital One Bank USA NA | 2.250% | 2/13/19 | 20,400 | 20,688 | |
Capital One Bank USA NA | 2.300% | 6/5/19 | 1,150 | 1,165 | |
Capital One Bank USA NA | 8.800% | 7/15/19 | 1,925 | 2,256 | |
Capital One Financial Corp. | 6.750% | 9/15/17 | 3,787 | 4,014 | |
Capital One Financial Corp. | 2.450% | 4/24/19 | 100 | 102 | |
Capital One NA | 1.500% | 9/5/17 | 3,350 | 3,350 | |
Capital One NA | 1.650% | 2/5/18 | 13,300 | 13,344 | |
Capital One NA | 1.500% | 3/22/18 | 2,550 | 2,543 | |
Capital One NA | 2.350% | 8/17/18 | 9,000 | 9,127 | |
Capital One NA | 2.400% | 9/5/19 | 3,300 | 3,354 | |
4,5 | Citicorp Lease Pass-Through Trust 1999-1 | 8.040% | 12/15/19 | 450 | 529 |
Citigroup Inc. | 1.550% | 8/14/17 | 5,532 | 5,548 | |
Citigroup Inc. | 6.000% | 8/15/17 | 3,157 | 3,318 | |
Citigroup Inc. | 6.125% | 11/21/17 | 9,161 | 9,743 | |
Citigroup Inc. | 1.850% | 11/24/17 | 3,963 | 3,986 | |
Citigroup Inc. | 1.800% | 2/5/18 | 11,446 | 11,485 | |
Citigroup Inc. | 1.700% | 4/27/18 | 32,725 | 32,766 | |
Citigroup Inc. | 1.750% | 5/1/18 | 12,699 | 12,749 | |
Citigroup Inc. | 6.125% | 5/15/18 | 4,337 | 4,683 | |
Citigroup Inc. | 2.150% | 7/30/18 | 5,450 | 5,511 | |
Citigroup Inc. | 2.500% | 9/26/18 | 17,246 | 17,576 | |
Citigroup Inc. | 2.050% | 12/7/18 | 13,000 | 13,095 | |
Citigroup Inc. | 2.550% | 4/8/19 | 8,601 | 8,780 | |
Citigroup Inc. | 2.050% | 6/7/19 | 10,000 | 10,058 | |
Citigroup Inc. | 2.500% | 7/29/19 | 14,942 | 15,219 | |
Citigroup Inc. | 2.400% | 2/18/20 | 20,700 | 20,896 | |
Citigroup Inc. | 5.375% | 8/9/20 | 1,325 | 1,498 | |
Citigroup Inc. | 2.650% | 10/26/20 | 8,729 | 8,873 | |
Citigroup Inc. | 2.700% | 3/30/21 | 15,000 | 15,263 | |
Citizens Bank NA | 1.600% | 12/4/17 | 3,375 | 3,347 | |
Citizens Bank NA | 2.300% | 12/3/18 | 4,975 | 5,036 | |
Citizens Bank NA | 2.450% | 12/4/19 | 3,465 | 3,511 | |
Citizens Bank NA | 2.550% | 5/13/21 | 8,000 | 8,078 | |
City National Corp. | 5.250% | 9/15/20 | 100 | 113 | |
Comerica Bank | 5.200% | 8/22/17 | 2,900 | 3,018 | |
Comerica Inc. | 2.125% | 5/23/19 | 3,000 | 3,040 | |
Commonwealth Bank of Australia | 1.400% | 9/8/17 | 4,900 | 4,921 | |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 9,055 | 9,142 | |
Commonwealth Bank of Australia | 1.625% | 3/12/18 | 13,600 | 13,697 | |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 6,235 | 6,381 | |
Commonwealth Bank of Australia | 1.750% | 11/2/18 | 6,400 | 6,445 | |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 8,125 | 8,303 | |
Commonwealth Bank of Australia | 2.050% | 3/15/19 | 5,075 | 5,141 | |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 10,500 | 10,669 | |
Commonwealth Bank of Australia | 2.400% | 11/2/20 | 17,375 | 17,725 | |
Commonwealth Bank of Australia | 2.550% | 3/15/21 | 5,900 | 6,092 | |
Compass Bank | 1.850% | 9/29/17 | 3,700 | 3,688 | |
Compass Bank | 2.750% | 9/29/19 | 2,175 | 2,152 | |
Cooperatieve Rabobank UA | 1.700% | 3/19/18 | 26,300 | 26,533 | |
Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 10,550 | 10,757 | |
Cooperatieve Rabobank UA | 2.250% | 1/14/20 | 8,500 | 8,626 | |
Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 22,000 | 22,549 | |
Credit Suisse AG | 1.375% | 5/26/17 | 18,625 | 18,632 |
6
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Credit Suisse AG | 1.750% | 1/29/18 | 2,650 | 2,652 | |
Credit Suisse AG | 6.000% | 2/15/18 | 12,205 | 12,954 | |
Credit Suisse AG | 1.700% | 4/27/18 | 15,975 | 15,995 | |
Credit Suisse AG | 2.300% | 5/28/19 | 18,850 | 19,102 | |
Credit Suisse AG | 5.300% | 8/13/19 | 3,300 | 3,637 | |
Credit Suisse AG | 5.400% | 1/14/20 | 9,092 | 9,859 | |
Credit Suisse AG | 4.375% | 8/5/20 | 4,754 | 5,158 | |
Credit Suisse Group Funding Guernsey Ltd. | 2.750% | 3/26/20 | 17,500 | 17,309 | |
5 | Credit Suisse Group Funding Guernsey Ltd. | 3.125% | 12/10/20 | 10,000 | 9,997 |
5 | Credit Suisse Group Funding Guernsey Ltd. | 3.450% | 4/16/21 | 13,620 | 13,822 |
Deutsche Bank AG | 6.000% | 9/1/17 | 21,131 | 22,068 | |
Deutsche Bank AG | 1.875% | 2/13/18 | 13,200 | 13,144 | |
Deutsche Bank AG | 2.500% | 2/13/19 | 4,250 | 4,260 | |
Deutsche Bank AG | 2.850% | 5/10/19 | 8,000 | 8,008 | |
Deutsche Bank AG | 2.950% | 8/20/20 | 3,000 | 3,000 | |
Deutsche Bank AG | 3.125% | 1/13/21 | 9,725 | 9,633 | |
Deutsche Bank AG | 3.375% | 5/12/21 | 10,000 | 10,050 | |
Discover Bank | 2.000% | 2/21/18 | 15,338 | 15,389 | |
Discover Bank | 2.600% | 11/13/18 | 4,000 | 4,063 | |
Discover Bank | 7.000% | 4/15/20 | 2,485 | 2,827 | |
Discover Bank | 3.100% | 6/4/20 | 4,000 | 4,091 | |
Fifth Third Bancorp | 5.450% | 1/15/17 | 200 | 204 | |
Fifth Third Bancorp | 4.500% | 6/1/18 | 4,175 | 4,394 | |
Fifth Third Bancorp | 2.300% | 3/1/19 | 3,000 | 3,057 | |
Fifth Third Bancorp | 2.875% | 7/27/20 | 5,650 | 5,888 | |
Fifth Third Bank | 1.450% | 2/28/18 | 2,951 | 2,966 | |
Fifth Third Bank | 2.150% | 8/20/18 | 9,500 | 9,647 | |
Fifth Third Bank | 2.375% | 4/25/19 | 3,725 | 3,819 | |
Fifth Third Bank | 2.300% | 3/15/19 | 5,000 | 5,105 | |
Fifth Third Bank | 2.250% | 6/14/21 | 5,000 | 5,078 | |
First Horizon National Corp. | 3.500% | 12/15/20 | 1,875 | 1,891 | |
First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 1,275 | 1,451 | |
First Republic Bank | 2.375% | 6/17/19 | 4,708 | 4,763 | |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 32,700 | 34,924 | |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 15,035 | 15,240 | |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 31,982 | 34,463 | |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 18,360 | 18,840 | |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 23,625 | 24,150 | |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 18,913 | 21,614 | |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 19,002 | 19,423 | |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 17,078 | 18,999 | |
Goldman Sachs Group Inc. | 2.600% | 4/23/20 | 16,925 | 17,216 | |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 6,995 | 7,974 | |
Goldman Sachs Group Inc. | 2.750% | 9/15/20 | 13,627 | 13,905 | |
Goldman Sachs Group Inc. | 2.875% | 2/25/21 | 8,000 | 8,192 | |
Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 18,002 | 18,253 | |
HSBC Bank USA NA | 6.000% | 8/9/17 | 1,050 | 1,098 | |
HSBC Bank USA NA | 4.875% | 8/24/20 | 1,100 | 1,190 | |
HSBC Holdings plc | 3.400% | 3/8/21 | 41,762 | 43,013 | |
HSBC Holdings plc | 5.100% | 4/5/21 | 2,909 | 3,203 | |
HSBC Holdings plc | 2.950% | 5/25/21 | 20,000 | 20,234 | |
HSBC USA Inc. | 1.500% | 11/13/17 | 1,150 | 1,147 | |
HSBC USA Inc. | 1.625% | 1/16/18 | 23,620 | 23,558 | |
HSBC USA Inc. | 1.700% | 3/5/18 | 7,750 | 7,755 | |
HSBC USA Inc. | 2.000% | 8/7/18 | 7,275 | 7,288 | |
HSBC USA Inc. | 2.625% | 9/24/18 | 4,750 | 4,823 | |
HSBC USA Inc. | 2.250% | 6/23/19 | 4,200 | 4,224 | |
HSBC USA Inc. | 2.375% | 11/13/19 | 17,650 | 17,810 | |
HSBC USA Inc. | 2.350% | 3/5/20 | 3,400 | 3,399 | |
HSBC USA Inc. | 2.750% | 8/7/20 | 9,450 | 9,568 | |
HSBC USA Inc. | 5.000% | 9/27/20 | 7,961 | 8,553 | |
Huntington Bancshares Inc. | 2.600% | 8/2/18 | 3,225 | 3,288 | |
Huntington Bancshares Inc. | 7.000% | 12/15/20 | 900 | 1,050 | |
Huntington Bancshares Inc. | 3.150% | 3/14/21 | 5,000 | 5,191 |
7
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Huntington National Bank | 1.375% | 4/24/17 | 3,350 | 3,355 | |
Huntington National Bank | 2.000% | 6/30/18 | 5,000 | 5,056 | |
Huntington National Bank | 2.200% | 11/6/18 | 6,300 | 6,378 | |
Huntington National Bank | 2.200% | 4/1/19 | 3,775 | 3,823 | |
Huntington National Bank | 2.400% | 4/1/20 | 4,275 | 4,340 | |
Huntington National Bank | 2.875% | 8/20/20 | 4,200 | 4,318 | |
Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 5,825 | 5,978 | |
Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 10,175 | 10,476 | |
Itau Corpbanca | 3.125% | 1/15/18 | 5,000 | 5,088 | |
5 | Itau Corpbanca | 3.875% | 9/22/19 | 400 | 419 |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 12,146 | 12,259 | |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 26,709 | 28,569 | |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 2,257 | 2,272 | |
JPMorgan Chase & Co. | 1.700% | 3/1/18 | 13,800 | 13,879 | |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 14,245 | 14,306 | |
JPMorgan Chase & Co. | 2.350% | 1/28/19 | 6,125 | 6,270 | |
JPMorgan Chase & Co. | 1.850% | 3/22/19 | 2,730 | 2,759 | |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 24,000 | 26,986 | |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 12,200 | 12,385 | |
JPMorgan Chase & Co. | 2.250% | 1/23/20 | 35,717 | 36,173 | |
JPMorgan Chase & Co. | 2.750% | 6/23/20 | 32,540 | 33,420 | |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 14,540 | 15,844 | |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 10,200 | 11,098 | |
JPMorgan Chase & Co. | 2.550% | 10/29/20 | 28,900 | 29,474 | |
JPMorgan Chase & Co. | 2.550% | 3/1/21 | 16,000 | 16,277 | |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 8,319 | 9,243 | |
JPMorgan Chase & Co. | 2.400% | 6/7/21 | 10,000 | 10,132 | |
JPMorgan Chase Bank NA | 6.000% | 7/5/17 | 3,200 | 3,342 | |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 18,162 | 19,196 | |
KeyBank NA | 1.650% | 2/1/18 | 13,650 | 13,718 | |
KeyBank NA | 1.700% | 6/1/18 | 3,425 | 3,441 | |
KeyBank NA | 2.350% | 3/8/19 | 5,295 | 5,409 | |
KeyBank NA | 2.500% | 12/15/19 | 2,000 | 2,051 | |
KeyBank NA | 2.250% | 3/16/20 | 500 | 507 | |
KeyCorp | 2.300% | 12/13/18 | 3,000 | 3,050 | |
KeyCorp | 2.900% | 9/15/20 | 10,000 | 10,333 | |
KeyCorp | 5.100% | 3/24/21 | 6,358 | 7,141 | |
Lloyds Bank plc | 4.200% | 3/28/17 | 2,245 | 2,294 | |
Lloyds Bank plc | 1.750% | 3/16/18 | 7,850 | 7,829 | |
Lloyds Bank plc | 1.750% | 5/14/18 | 3,750 | 3,740 | |
Lloyds Bank plc | 2.000% | 8/17/18 | 1,050 | 1,049 | |
Lloyds Bank plc | 2.300% | 11/27/18 | 7,075 | 7,114 | |
Lloyds Bank plc | 2.350% | 9/5/19 | 9,500 | 9,565 | |
Lloyds Bank plc | 2.400% | 3/17/20 | 5,885 | 5,924 | |
Lloyds Bank plc | 2.700% | 8/17/20 | 10,046 | 10,245 | |
Lloyds Bank plc | 6.375% | 1/21/21 | 2,925 | 3,428 | |
Manufacturers & Traders Trust Co. | 1.400% | 7/25/17 | 1,625 | 1,629 | |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 3,550 | 3,795 | |
Manufacturers & Traders Trust Co. | 1.450% | 3/7/18 | 250 | 251 | |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 20,500 | 20,951 | |
Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 11,010 | 11,241 | |
Manufacturers & Traders Trust Co. | 2.100% | 2/6/20 | 1,450 | 1,471 | |
Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 26,000 | 26,960 | |
Morgan Stanley | 6.250% | 8/28/17 | 6,125 | 6,458 | |
Morgan Stanley | 5.950% | 12/28/17 | 13,950 | 14,837 | |
Morgan Stanley | 1.875% | 1/5/18 | 19,150 | 19,262 | |
Morgan Stanley | 6.625% | 4/1/18 | 26,509 | 28,723 | |
Morgan Stanley | 2.125% | 4/25/18 | 20,670 | 20,848 | |
Morgan Stanley | 2.200% | 12/7/18 | 4,000 | 4,049 | |
Morgan Stanley | 2.500% | 1/24/19 | 16,180 | 16,488 | |
Morgan Stanley | 2.450% | 2/1/19 | 7,000 | 7,131 | |
Morgan Stanley | 7.300% | 5/13/19 | 18,530 | 21,271 | |
Morgan Stanley | 2.375% | 7/23/19 | 19,041 | 19,356 | |
Morgan Stanley | 5.625% | 9/23/19 | 11,625 | 12,886 |
8
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Morgan Stanley | 5.500% | 1/26/20 | 8,507 | 9,494 |
Morgan Stanley | 2.650% | 1/27/20 | 32,179 | 32,709 |
Morgan Stanley | 2.800% | 6/16/20 | 21,200 | 21,705 |
Morgan Stanley | 5.500% | 7/24/20 | 10,500 | 11,868 |
Morgan Stanley | 5.750% | 1/25/21 | 14,875 | 16,980 |
Morgan Stanley | 2.500% | 4/21/21 | 14,900 | 15,023 |
MUFG Americas Holdings Corp. | 1.625% | 2/9/18 | 1,788 | 1,791 |
MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 725 | 733 |
MUFG Union Bank NA | 2.625% | 9/26/18 | 23,950 | 24,479 |
MUFG Union Bank NA | 2.250% | 5/6/19 | 5,950 | 6,043 |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 5,225 | 5,319 |
National Australia Bank Ltd. | 2.000% | 1/14/19 | 8,350 | 8,473 |
National Australia Bank Ltd. | 2.625% | 7/23/20 | 6,550 | 6,770 |
National Australia Bank Ltd. | 2.625% | 1/14/21 | 7,885 | 8,176 |
National Bank of Canada | 1.450% | 11/7/17 | 3,350 | 3,361 |
National Bank of Canada | 2.100% | 12/14/18 | 5,750 | 5,828 |
National City Corp. | 6.875% | 5/15/19 | 3,825 | 4,326 |
Northern Trust Co. | 6.500% | 8/15/18 | 775 | 855 |
Northern Trust Corp. | 3.450% | 11/4/20 | 300 | 322 |
PNC Bank NA | 4.875% | 9/21/17 | 4,870 | 5,062 |
PNC Bank NA | 6.000% | 12/7/17 | 6,125 | 6,511 |
PNC Bank NA | 1.500% | 2/23/18 | 8,300 | 8,354 |
PNC Bank NA | 6.875% | 4/1/18 | 1,500 | 1,637 |
PNC Bank NA | 1.600% | 6/1/18 | 4,500 | 4,541 |
PNC Bank NA | 1.850% | 7/20/18 | 4,100 | 4,144 |
PNC Bank NA | 1.800% | 11/5/18 | 5,300 | 5,359 |
PNC Bank NA | 2.200% | 1/28/19 | 9,125 | 9,309 |
PNC Bank NA | 1.950% | 3/4/19 | 6,850 | 6,953 |
PNC Bank NA | 2.250% | 7/2/19 | 10,675 | 10,904 |
PNC Bank NA | 2.400% | 10/18/19 | 13,744 | 14,150 |
PNC Bank NA | 2.300% | 6/1/20 | 10,430 | 10,687 |
PNC Bank NA | 2.600% | 7/21/20 | 5,320 | 5,507 |
PNC Bank NA | 2.450% | 11/5/20 | 3,178 | 3,279 |
PNC Bank NA | 2.150% | 4/29/21 | 14,000 | 14,279 |
PNC Funding Corp. | 6.700% | 6/10/19 | 3,346 | 3,843 |
PNC Funding Corp. | 5.125% | 2/8/20 | 9,549 | 10,681 |
PNC Funding Corp. | 4.375% | 8/11/20 | 400 | 440 |
Regions Bank | 7.500% | 5/15/18 | 790 | 870 |
Regions Bank | 2.250% | 9/14/18 | 3,000 | 3,017 |
Regions Financial Corp. | 2.000% | 5/15/18 | 8,300 | 8,317 |
Regions Financial Corp. | 3.200% | 2/8/21 | 2,500 | 2,575 |
Royal Bank of Canada | 1.000% | 4/27/17 | 8,000 | 7,999 |
Royal Bank of Canada | 1.400% | 10/13/17 | 4,825 | 4,844 |
Royal Bank of Canada | 1.500% | 1/16/18 | 6,425 | 6,453 |
Royal Bank of Canada | 2.200% | 7/27/18 | 10,576 | 10,790 |
Royal Bank of Canada | 1.800% | 7/30/18 | 13,950 | 14,108 |
Royal Bank of Canada | 2.000% | 12/10/18 | 6,815 | 6,933 |
Royal Bank of Canada | 2.150% | 3/15/19 | 9,566 | 9,779 |
Royal Bank of Canada | 1.625% | 4/15/19 | 5,000 | 5,045 |
Royal Bank of Canada | 2.150% | 3/6/20 | 1,750 | 1,790 |
Royal Bank of Canada | 2.350% | 10/30/20 | 9,600 | 9,874 |
Royal Bank of Canada | 2.500% | 1/19/21 | 9,000 | 9,328 |
Santander Bank NA | 2.000% | 1/12/18 | 1,000 | 999 |
Santander Bank NA | 8.750% | 5/30/18 | 2,825 | 3,146 |
Santander Holdings USA Inc. | 3.450% | 8/27/18 | 7,947 | 8,104 |
Santander Holdings USA Inc. | 2.700% | 5/24/19 | 8,425 | 8,457 |
Santander Holdings USA Inc. | 2.650% | 4/17/20 | 2,820 | 2,794 |
Santander UK Group Holdings plc | 2.875% | 10/16/20 | 12,910 | 12,865 |
Santander UK Group Holdings plc | 3.125% | 1/8/21 | 8,000 | 8,017 |
Santander UK plc | 1.650% | 9/29/17 | 250 | 250 |
Santander UK plc | 3.050% | 8/23/18 | 8,000 | 8,187 |
Santander UK plc | 2.000% | 8/24/18 | 8,700 | 8,710 |
Santander UK plc | 2.500% | 3/14/19 | 12,000 | 12,123 |
Santander UK plc | 2.350% | 9/10/19 | 16,800 | 16,880 |
9
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Skandinaviska Enskilda Banken AB | 2.625% | 3/15/21 | 13,025 | 13,469 |
Societe Generale SA | 2.750% | 10/12/17 | 8,125 | 8,257 |
Societe Generale SA | 2.625% | 10/1/18 | 4,435 | 4,540 |
State Street Bank & Trust Co. | 5.250% | 10/15/18 | 775 | 835 |
State Street Corp. | 4.956% | 3/15/18 | 6,626 | 6,947 |
State Street Corp. | 1.350% | 5/15/18 | 4,675 | 4,701 |
State Street Corp. | 2.550% | 8/18/20 | 7,500 | 7,784 |
State Street Corp. | 4.375% | 3/7/21 | 4,250 | 4,753 |
State Street Corp. | 1.950% | 5/19/21 | 4,125 | 4,176 |
Sumitomo Mitsui Banking Corp. | 1.300% | 1/10/17 | 1,200 | 1,201 |
Sumitomo Mitsui Banking Corp. | 1.350% | 7/11/17 | 4,900 | 4,900 |
Sumitomo Mitsui Banking Corp. | 1.800% | 7/18/17 | 5,800 | 5,831 |
Sumitomo Mitsui Banking Corp. | 1.500% | 1/18/18 | 3,575 | 3,579 |
Sumitomo Mitsui Banking Corp. | 2.500% | 7/19/18 | 2,425 | 2,473 |
Sumitomo Mitsui Banking Corp. | 1.950% | 7/23/18 | 3,250 | 3,283 |
Sumitomo Mitsui Banking Corp. | 2.450% | 1/10/19 | 10,200 | 10,419 |
Sumitomo Mitsui Banking Corp. | 2.250% | 7/11/19 | 7,900 | 8,008 |
Sumitomo Mitsui Banking Corp. | 2.450% | 1/16/20 | 15,850 | 16,167 |
Sumitomo Mitsui Banking Corp. | 2.650% | 7/23/20 | 7,575 | 7,753 |
Sumitomo Mitsui Banking Corp. | 2.450% | 10/20/20 | 3,000 | 3,050 |
Sumitomo Mitsui Financial Group Inc. | 2.934% | 3/9/21 | 10,870 | 11,324 |
SunTrust Bank | 1.350% | 2/15/17 | 5,290 | 5,297 |
SunTrust Bank | 7.250% | 3/15/18 | 3,200 | 3,491 |
SunTrust Banks Inc. | 6.000% | 9/11/17 | 2,365 | 2,483 |
SunTrust Banks Inc. | 2.350% | 11/1/18 | 1,106 | 1,123 |
SunTrust Banks Inc. | 2.500% | 5/1/19 | 3,735 | 3,815 |
SunTrust Banks Inc. | 2.900% | 3/3/21 | 3,050 | 3,153 |
Svenska Handelsbanken AB | 1.625% | 3/21/18 | 10,095 | 10,162 |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 9,375 | 9,656 |
Svenska Handelsbanken AB | 2.250% | 6/17/19 | 6,050 | 6,162 |
Svenska Handelsbanken AB | 2.400% | 10/1/20 | 1,550 | 1,590 |
Svenska Handelsbanken AB | 2.450% | 3/30/21 | 10,800 | 11,096 |
Synchrony Financial | 1.875% | 8/15/17 | 2,515 | 2,519 |
Synchrony Financial | 2.600% | 1/15/19 | 5,614 | 5,667 |
Synchrony Financial | 3.000% | 8/15/19 | 12,750 | 12,995 |
Synchrony Financial | 2.700% | 2/3/20 | 6,437 | 6,457 |
Toronto-Dominion Bank | 1.625% | 3/13/18 | 10,500 | 10,595 |
Toronto-Dominion Bank | 1.400% | 4/30/18 | 17,133 | 17,218 |
Toronto-Dominion Bank | 1.750% | 7/23/18 | 11,000 | 11,114 |
Toronto-Dominion Bank | 2.625% | 9/10/18 | 15,000 | 15,434 |
Toronto-Dominion Bank | 2.125% | 7/2/19 | 6,500 | 6,716 |
Toronto-Dominion Bank | 2.250% | 11/5/19 | 8,975 | 9,224 |
Toronto-Dominion Bank | 2.500% | 12/14/20 | 7,300 | 7,554 |
Toronto-Dominion Bank | 2.125% | 4/7/21 | 12,650 | 12,875 |
UBS AG | 1.375% | 6/1/17 | 8,600 | 8,608 |
UBS AG | 1.375% | 8/14/17 | 15,050 | 15,058 |
UBS AG | 5.875% | 12/20/17 | 1,550 | 1,649 |
UBS AG | 1.800% | 3/26/18 | 6,550 | 6,607 |
UBS AG | 5.750% | 4/25/18 | 1,401 | 1,506 |
UBS AG | 2.375% | 8/14/19 | 19,679 | 20,137 |
UBS AG | 2.350% | 3/26/20 | 5,000 | 5,123 |
UBS AG | 4.875% | 8/4/20 | 5,900 | 6,631 |
US Bancorp | 1.950% | 11/15/18 | 5,225 | 5,327 |
US Bancorp | 2.200% | 4/25/19 | 12,720 | 13,047 |
US Bancorp | 2.350% | 1/29/21 | 5,000 | 5,154 |
US Bancorp | 4.125% | 5/24/21 | 2,764 | 3,076 |
US Bank NA | 1.350% | 1/26/18 | 7,300 | 7,344 |
US Bank NA | 1.450% | 1/29/18 | 12,000 | 12,082 |
US Bank NA | 1.400% | 4/26/19 | 10,000 | 10,051 |
US Bank NA | 2.125% | 10/28/19 | 11,000 | 11,252 |
Wachovia Corp. | 5.750% | 2/1/18 | 21,405 | 22,890 |
Wells Fargo & Co. | 1.400% | 9/8/17 | 14,538 | 14,590 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 22,119 | 23,536 |
Wells Fargo & Co. | 1.500% | 1/16/18 | 11,177 | 11,240 |
10
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Wells Fargo & Co. | 2.150% | 1/15/19 | 5,460 | 5,572 | |
Wells Fargo & Co. | 2.125% | 4/22/19 | 14,464 | 14,789 | |
Wells Fargo & Co. | 2.150% | 1/30/20 | 13,372 | 13,604 | |
Wells Fargo & Co. | 2.600% | 7/22/20 | 30,200 | 31,047 | |
Wells Fargo & Co. | 2.550% | 12/7/20 | 18,550 | 19,022 | |
Wells Fargo & Co. | 3.000% | 1/22/21 | 3,475 | 3,638 | |
Wells Fargo & Co. | 2.500% | 3/4/21 | 8,300 | 8,496 | |
Wells Fargo & Co. | 4.600% | 4/1/21 | 17,170 | 19,180 | |
Wells Fargo Bank NA | 6.000% | 11/15/17 | 2,075 | 2,207 | |
Wells Fargo Bank NA | 1.650% | 1/22/18 | 6,750 | 6,807 | |
Wells Fargo Bank NA | 1.750% | 5/24/19 | 17,050 | 17,250 | |
Westpac Banking Corp. | 2.000% | 8/14/17 | 18,850 | 19,037 | |
Westpac Banking Corp. | 1.500% | 12/1/17 | 3,675 | 3,696 | |
Westpac Banking Corp. | 1.600% | 1/12/18 | 6,645 | 6,686 | |
Westpac Banking Corp. | 1.550% | 5/25/18 | 600 | 603 | |
Westpac Banking Corp. | 2.250% | 7/30/18 | 700 | 714 | |
Westpac Banking Corp. | 1.950% | 11/23/18 | 8,000 | 8,104 | |
Westpac Banking Corp. | 2.250% | 1/17/19 | 11,175 | 11,342 | |
Westpac Banking Corp. | 1.650% | 5/13/19 | 7,100 | 7,145 | |
Westpac Banking Corp. | 4.875% | 11/19/19 | 6,865 | 7,599 | |
Westpac Banking Corp. | 2.300% | 5/26/20 | 21,377 | 21,823 | |
Westpac Banking Corp. | 2.600% | 11/23/20 | 10,000 | 10,334 | |
Westpac Banking Corp. | 2.100% | 5/13/21 | 20,000 | 20,219 | |
Brokerage (0.3%) | |||||
Ameriprise Financial Inc. | 7.300% | 6/28/19 | 1,600 | 1,857 | |
Ameriprise Financial Inc. | 5.300% | 3/15/20 | 3,775 | 4,250 | |
BGC Partners Inc. | 5.375% | 12/9/19 | 1,700 | 1,768 | |
5 | BGC Partners Inc. | 5.125% | 5/27/21 | 1,675 | 1,694 |
BlackRock Inc. | 6.250% | 9/15/17 | 2,760 | 2,935 | |
BlackRock Inc. | 5.000% | 12/10/19 | 10,175 | 11,413 | |
BlackRock Inc. | 4.250% | 5/24/21 | 4,175 | 4,673 | |
Charles Schwab Corp. | 1.500% | 3/10/18 | 2,375 | 2,397 | |
Charles Schwab Corp. | 2.200% | 7/25/18 | 5,014 | 5,105 | |
Charles Schwab Corp. | 4.450% | 7/22/20 | 1,350 | 1,496 | |
Eaton Vance Corp. | 6.500% | 10/2/17 | 257 | 271 | |
Franklin Resources Inc. | 1.375% | 9/15/17 | 3,825 | 3,845 | |
Franklin Resources Inc. | 4.625% | 5/20/20 | 700 | 774 | |
Intercontinental Exchange Inc. | 2.500% | 10/15/18 | 3,500 | 3,582 | |
Intercontinental Exchange Inc. | 2.750% | 12/1/20 | 4,975 | 5,209 | |
Jefferies Group LLC | 5.125% | 4/13/18 | 3,800 | 3,975 | |
Jefferies Group LLC | 8.500% | 7/15/19 | 6,325 | 7,264 | |
Jefferies Group LLC | 6.875% | 4/15/21 | 4,527 | 5,141 | |
Lazard Group LLC | 6.850% | 6/15/17 | 572 | 599 | |
Lazard Group LLC | 4.250% | 11/14/20 | 1,625 | 1,738 | |
Legg Mason Inc. | 2.700% | 7/15/19 | 3,800 | 3,880 | |
Nasdaq Inc. | 5.250% | 1/16/18 | 36 | 38 | |
Nasdaq Inc. | 5.550% | 1/15/20 | 4,650 | 5,116 | |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 13,300 | 13,602 | |
Nomura Holdings Inc. | 6.700% | 3/4/20 | 6,560 | 7,612 | |
NYSE Euronext | 2.000% | 10/5/17 | 9,690 | 9,788 | |
Raymond James Financial Inc. | 8.600% | 8/15/19 | 3,320 | 3,936 | |
Stifel Financial Corp. | 3.500% | 12/1/20 | 1,975 | 2,006 | |
TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 1,775 | 1,999 | |
Finance Companies (0.4%) | |||||
Air Lease Corp. | 2.125% | 1/15/18 | 3,625 | 3,598 | |
Air Lease Corp. | 2.625% | 9/4/18 | 2,390 | 2,390 | |
Air Lease Corp. | 3.375% | 1/15/19 | 8,530 | 8,679 | |
Air Lease Corp. | 4.750% | 3/1/20 | 1,300 | 1,381 | |
Air Lease Corp. | 3.875% | 4/1/21 | 1,925 | 1,988 | |
Air Lease Corp. | 3.375% | 6/1/21 | 3,750 | 3,839 | |
Ares Capital Corp. | 4.875% | 11/30/18 | 8,000 | 8,368 | |
Ares Capital Corp. | 3.875% | 1/15/20 | 2,000 | 2,071 | |
FS Investment Corp. | 4.000% | 7/15/19 | 3,850 | 3,878 |
11
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
FS Investment Corp. | 4.250% | 1/15/20 | 775 | 793 | |
GATX Corp. | 2.375% | 7/30/18 | 1,450 | 1,456 | |
GATX Corp. | 2.500% | 7/30/19 | 1,470 | 1,485 | |
GATX Corp. | 2.600% | 3/30/20 | 3,375 | 3,336 | |
5 | GE Capital International Funding Co. | 2.342% | 11/15/20 | 91,175 | 94,221 |
HSBC Finance Corp. | 6.676% | 1/15/21 | 13,060 | 14,627 | |
5 | International Lease Finance Corp. | 7.125% | 9/1/18 | 10,750 | 11,798 |
Prospect Capital Corp. | 5.000% | 7/15/19 | 1,900 | 1,876 | |
Insurance (1.0%) | |||||
AEGON Funding Co. LLC | 5.750% | 12/15/20 | 2,443 | 2,814 | |
Aetna Inc. | 1.500% | 11/15/17 | 7,025 | 7,055 | |
Aetna Inc. | 1.700% | 6/7/18 | 8,500 | 8,561 | |
Aetna Inc. | 2.200% | 3/15/19 | 2,525 | 2,573 | |
Aetna Inc. | 1.900% | 6/7/19 | 11,500 | 11,646 | |
Aetna Inc. | 4.125% | 6/1/21 | 3,125 | 3,401 | |
Aetna Inc. | 2.400% | 6/15/21 | 9,300 | 9,493 | |
Aflac Inc. | 2.400% | 3/16/20 | 3,675 | 3,787 | |
Alleghany Corp. | 5.625% | 9/15/20 | 800 | 896 | |
Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 1,475 | 1,645 | |
4 | Allstate Corp. | 6.125% | 5/15/67 | 5,150 | 4,532 |
Alterra Finance LLC | 6.250% | 9/30/20 | 5,145 | 5,861 | |
American Financial Group Inc. | 9.875% | 6/15/19 | 2,130 | 2,573 | |
American International Group Inc. | 5.850% | 1/16/18 | 9,450 | 10,086 | |
American International Group Inc. | 2.300% | 7/16/19 | 11,500 | 11,698 | |
American International Group Inc. | 3.375% | 8/15/20 | 1,910 | 2,006 | |
American International Group Inc. | 6.400% | 12/15/20 | 4,600 | 5,403 | |
American International Group Inc. | 3.300% | 3/1/21 | 8,175 | 8,528 | |
Anthem Inc. | 1.875% | 1/15/18 | 5,000 | 5,028 | |
Anthem Inc. | 7.000% | 2/15/19 | 1,080 | 1,221 | |
Anthem Inc. | 2.250% | 8/15/19 | 6,275 | 6,334 | |
Anthem Inc. | 4.350% | 8/15/20 | 7,800 | 8,485 | |
Aon Corp. | 5.000% | 9/30/20 | 4,025 | 4,505 | |
Aon plc | 2.800% | 3/15/21 | 2,575 | 2,651 | |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 1,225 | 1,369 | |
Assurant Inc. | 2.500% | 3/15/18 | 700 | 708 | |
AXIS Specialty Finance LLC | 5.875% | 6/1/20 | 10,638 | 11,908 | |
AXIS Specialty Finance plc | 2.650% | 4/1/19 | 4,901 | 4,968 | |
Berkshire Hathaway Finance Corp. | 1.450% | 3/7/18 | 4,350 | 4,392 | |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 10,800 | 11,687 | |
Berkshire Hathaway Finance Corp. | 2.000% | 8/15/18 | 3,160 | 3,237 | |
Berkshire Hathaway Finance Corp. | 1.700% | 3/15/19 | 8,150 | 8,278 | |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 4,369 | 4,867 | |
Berkshire Hathaway Inc. | 1.550% | 2/9/18 | 5,377 | 5,433 | |
Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 10,638 | 10,967 | |
Berkshire Hathaway Inc. | 2.200% | 3/15/21 | 6,950 | 7,168 | |
Chubb Corp. | 5.750% | 5/15/18 | 14,021 | 15,203 | |
Chubb INA Holdings Inc. | 5.800% | 3/15/18 | 1,750 | 1,878 | |
Chubb INA Holdings Inc. | 5.900% | 6/15/19 | 2,450 | 2,755 | |
Chubb INA Holdings Inc. | 2.300% | 11/3/20 | 12,265 | 12,609 | |
Cigna Corp. | 5.125% | 6/15/20 | 425 | 471 | |
Cigna Corp. | 4.375% | 12/15/20 | 1,675 | 1,824 | |
Cigna Corp. | 4.500% | 3/15/21 | 2,425 | 2,657 | |
CNA Financial Corp. | 7.350% | 11/15/19 | 375 | 432 | |
CNA Financial Corp. | 5.875% | 8/15/20 | 2,000 | 2,258 | |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 2,470 | 2,822 | |
Hartford Financial Services Group Inc. | 6.300% | 3/15/18 | 930 | 995 | |
Hartford Financial Services Group Inc. | 6.000% | 1/15/19 | 3,475 | 3,810 | |
Hartford Financial Services Group Inc. | 5.500% | 3/30/20 | 2,429 | 2,738 | |
Humana Inc. | 7.200% | 6/15/18 | 3,125 | 3,453 | |
Humana Inc. | 6.300% | 8/1/18 | 500 | 547 | |
Humana Inc. | 2.625% | 10/1/19 | 1,500 | 1,539 | |
Lincoln National Corp. | 8.750% | 7/1/19 | 4,025 | 4,775 | |
Lincoln National Corp. | 6.250% | 2/15/20 | 2,350 | 2,654 |
12
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Manulife Financial Corp. | 4.900% | 9/17/20 | 3,225 | 3,573 | |
Marsh & McLennan Cos. Inc. | 2.300% | 4/1/17 | 1,100 | 1,110 | |
Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 400 | 407 | |
Marsh & McLennan Cos. Inc. | 2.350% | 9/10/19 | 5,775 | 5,890 | |
Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 2,400 | 2,447 | |
MetLife Inc. | 1.756% | 12/15/17 | 3,104 | 3,132 | |
MetLife Inc. | 1.903% | 12/15/17 | 15,350 | 15,511 | |
MetLife Inc. | 6.817% | 8/15/18 | 7,216 | 8,043 | |
MetLife Inc. | 7.717% | 2/15/19 | 1,804 | 2,084 | |
MetLife Inc. | 4.750% | 2/8/21 | 3,300 | 3,701 | |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 3,100 | 3,458 | |
Principal Financial Group Inc. | 1.850% | 11/15/17 | 1,291 | 1,296 | |
Principal Financial Group Inc. | 8.875% | 5/15/19 | 1,710 | 2,019 | |
4 | Principal Financial Group Inc. | 4.700% | 5/15/55 | 4,000 | 3,901 |
Protective Life Corp. | 7.375% | 10/15/19 | 1,650 | 1,908 | |
Prudential Financial Inc. | 6.000% | 12/1/17 | 887 | 950 | |
Prudential Financial Inc. | 2.300% | 8/15/18 | 2,200 | 2,245 | |
Prudential Financial Inc. | 7.375% | 6/15/19 | 4,945 | 5,738 | |
Prudential Financial Inc. | 2.350% | 8/15/19 | 7,240 | 7,376 | |
Prudential Financial Inc. | 5.375% | 6/21/20 | 4,450 | 5,019 | |
Prudential Financial Inc. | 4.500% | 11/15/20 | 1,800 | 1,986 | |
4 | Prudential Financial Inc. | 8.875% | 6/15/68 | 2,781 | 3,059 |
Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 2,850 | 3,249 | |
Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 2,520 | 2,787 | |
4 | StanCorp Financial Group Inc. | 6.900% | 6/1/67 | 1,000 | 750 |
Torchmark Corp. | 9.250% | 6/15/19 | 1,500 | 1,789 | |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 2,825 | 3,064 | |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 1,756 | 1,981 | |
UnitedHealth Group Inc. | 1.450% | 7/17/17 | 7,513 | 7,549 | |
UnitedHealth Group Inc. | 1.400% | 10/15/17 | 3,388 | 3,407 | |
UnitedHealth Group Inc. | 1.400% | 12/15/17 | 3,425 | 3,447 | |
UnitedHealth Group Inc. | 6.000% | 2/15/18 | 7,650 | 8,249 | |
UnitedHealth Group Inc. | 1.900% | 7/16/18 | 9,007 | 9,146 | |
UnitedHealth Group Inc. | 1.700% | 2/15/19 | 4,050 | 4,096 | |
UnitedHealth Group Inc. | 1.625% | 3/15/19 | 4,000 | 4,037 | |
UnitedHealth Group Inc. | 2.300% | 12/15/19 | 3,125 | 3,226 | |
UnitedHealth Group Inc. | 2.700% | 7/15/20 | 9,650 | 10,048 | |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 2,975 | 3,248 | |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 2,700 | 3,044 | |
UnitedHealth Group Inc. | 2.125% | 3/15/21 | 5,150 | 5,242 | |
Unum Group | 5.625% | 9/15/20 | 1,150 | 1,289 | |
Unum Group | 3.000% | 5/15/21 | 2,700 | 2,767 | |
Voya Financial Inc. | 2.900% | 2/15/18 | 7,055 | 7,191 | |
Willis Towers Watson plc | 5.750% | 3/15/21 | 3,000 | 3,362 | |
WR Berkley Corp. | 7.375% | 9/15/19 | 100 | 116 | |
XLIT Ltd. | 2.300% | 12/15/18 | 1,976 | 1,998 | |
Real Estate Investment Trusts (0.5%) | |||||
Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 2,598 | 2,623 | |
American Campus Communities Operating Partnership | |||||
LP | 3.350% | 10/1/20 | 1,600 | 1,661 | |
AvalonBay Communities Inc. | 3.625% | 10/1/20 | 4,345 | 4,643 | |
Boston Properties LP | 3.700% | 11/15/18 | 7,450 | 7,799 | |
Boston Properties LP | 5.875% | 10/15/19 | 1,475 | 1,670 | |
Boston Properties LP | 5.625% | 11/15/20 | 9,135 | 10,468 | |
Boston Properties LP | 4.125% | 5/15/21 | 5,784 | 6,310 | |
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 5,275 | 5,448 | |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 1,926 | 2,018 | |
Corporate Office Properties LP | 3.700% | 6/15/21 | 2,000 | 2,018 | |
DDR Corp. | 7.875% | 9/1/20 | 1,500 | 1,810 | |
DDR Corp. | 3.500% | 1/15/21 | 3,290 | 3,394 | |
Digital Realty Trust LP | 3.400% | 10/1/20 | 1,700 | 1,771 | |
Digital Realty Trust LP | 5.250% | 3/15/21 | 5,775 | 6,465 | |
Equity CommonWealth | 6.650% | 1/15/18 | 2,860 | 2,990 |
13
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
ERP Operating LP | 5.750% | 6/15/17 | 1,460 | 1,520 |
ERP Operating LP | 2.375% | 7/1/19 | 4,725 | 4,835 |
Federal Realty Investment Trust | 2.550% | 1/15/21 | 4,525 | 4,620 |
HCP Inc. | 6.700% | 1/30/18 | 10,910 | 11,737 |
HCP Inc. | 2.625% | 2/1/20 | 4,353 | 4,390 |
HCP Inc. | 5.375% | 2/1/21 | 4,025 | 4,475 |
Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 3,000 | 3,369 |
Highwoods Realty LP | 3.200% | 6/15/21 | 2,000 | 2,020 |
Hospitality Properties Trust | 6.700% | 1/15/18 | 2,000 | 2,097 |
Hospitality Properties Trust | 4.250% | 2/15/21 | 2,350 | 2,461 |
Kilroy Realty LP | 4.800% | 7/15/18 | 5,400 | 5,676 |
Kimco Realty Corp. | 4.300% | 2/1/18 | 1,250 | 1,294 |
Kimco Realty Corp. | 3.200% | 5/1/21 | 1,000 | 1,040 |
Liberty Property LP | 6.625% | 10/1/17 | 318 | 337 |
Liberty Property LP | 4.750% | 10/1/20 | 1,950 | 2,132 |
Mack-Cali Realty LP | 2.500% | 12/15/17 | 1,800 | 1,816 |
Mack-Cali Realty LP | 7.750% | 8/15/19 | 6,250 | 7,056 |
National Retail Properties Inc. | 6.875% | 10/15/17 | 4,000 | 4,251 |
ProLogis LP | 2.750% | 2/15/19 | 5,000 | 5,135 |
Realty Income Corp. | 2.000% | 1/31/18 | 4,400 | 4,438 |
Realty Income Corp. | 6.750% | 8/15/19 | 3,275 | 3,750 |
Realty Income Corp. | 5.750% | 1/15/21 | 450 | 518 |
Regency Centers LP | 4.800% | 4/15/21 | 725 | 795 |
Select Income REIT | 2.850% | 2/1/18 | 4,650 | 4,686 |
Select Income REIT | 3.600% | 2/1/20 | 234 | 240 |
Senior Housing Properties Trust | 3.250% | 5/1/19 | 9,605 | 9,660 |
Simon Property Group LP | 2.150% | 9/15/17 | 5,435 | 5,492 |
Simon Property Group LP | 2.200% | 2/1/19 | 4,100 | 4,194 |
Simon Property Group LP | 5.650% | 2/1/20 | 4,430 | 5,015 |
Simon Property Group LP | 2.500% | 9/1/20 | 3,700 | 3,827 |
Simon Property Group LP | 4.375% | 3/1/21 | 5,775 | 6,424 |
SL Green Realty Corp. | 7.750% | 3/15/20 | 2,500 | 2,920 |
Tanger Properties LP | 6.125% | 6/1/20 | 2,500 | 2,855 |
UDR Inc. | 4.250% | 6/1/18 | 850 | 893 |
UDR Inc. | 3.700% | 10/1/20 | 5,900 | 6,263 |
Ventas Realty LP / Ventas Capital Corp. | 2.000% | 2/15/18 | 8,105 | 8,151 |
Ventas Realty LP / Ventas Capital Corp. | 4.000% | 4/30/19 | 2,740 | 2,892 |
Ventas Realty LP / Ventas Capital Corp. | 2.700% | 4/1/20 | 302 | 309 |
Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 5,606 | 6,241 |
Vornado Realty LP | 2.500% | 6/30/19 | 4,000 | 4,073 |
Washington Prime Group LP | 3.850% | 4/1/20 | 1,525 | 1,575 |
Washington REIT | 4.950% | 10/1/20 | 1,700 | 1,838 |
Welltower Inc. | 4.700% | 9/15/17 | 1,550 | 1,607 |
Welltower Inc. | 2.250% | 3/15/18 | 8,514 | 8,610 |
Welltower Inc. | 4.125% | 4/1/19 | 1,846 | 1,955 |
Welltower Inc. | 6.125% | 4/15/20 | 2,802 | 3,191 |
Welltower Inc. | 4.950% | 1/15/21 | 4,200 | 4,633 |
5,101,821 | ||||
Industrial (14.6%) | ||||
Basic Industry (0.7%) | ||||
Agrium Inc. | 6.750% | 1/15/19 | 1,750 | 1,929 |
Airgas Inc. | 1.650% | 2/15/18 | 1,940 | 1,948 |
Airgas Inc. | 2.375% | 2/15/20 | 1,300 | 1,325 |
Airgas Inc. | 3.050% | 8/1/20 | 3,500 | 3,619 |
Albemarle Corp. | 3.000% | 12/1/19 | 1,500 | 1,524 |
Albemarle Corp. | 4.500% | 12/15/20 | 1,725 | 1,835 |
Barrick North America Finance LLC | 4.400% | 5/30/21 | 16,154 | 17,536 |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 12,065 | 12,230 |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 8,000 | 9,063 |
Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 2,850 | 3,242 |
CF Industries Inc. | 6.875% | 5/1/18 | 6,487 | 7,030 |
CF Industries Inc. | 7.125% | 5/1/20 | 2,890 | 3,334 |
Dow Chemical Co. | 8.550% | 5/15/19 | 15,246 | 18,145 |
14
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Eastman Chemical Co. | 2.400% | 6/1/17 | 9,551 | 9,639 |
Eastman Chemical Co. | 2.700% | 1/15/20 | 5,680 | 5,840 |
Eastman Chemical Co. | 4.500% | 1/15/21 | 2,270 | 2,477 |
Ecolab Inc. | 1.450% | 12/8/17 | 3,825 | 3,834 |
Ecolab Inc. | 1.550% | 1/12/18 | 1,500 | 1,507 |
Ecolab Inc. | 2.000% | 1/14/19 | 2,250 | 2,280 |
Ecolab Inc. | 2.250% | 1/12/20 | 2,000 | 2,038 |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 8,425 | 9,210 |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 1,000 | 1,099 |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 9,125 | 9,832 |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 2,300 | 2,557 |
Goldcorp Inc. | 2.125% | 3/15/18 | 7,626 | 7,611 |
Goldcorp Inc. | 3.625% | 6/9/21 | 5,600 | 5,769 |
International Paper Co. | 7.950% | 6/15/18 | 6,100 | 6,868 |
International Paper Co. | 9.375% | 5/15/19 | 35 | 42 |
Lubrizol Corp. | 8.875% | 2/1/19 | 575 | 685 |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 15,175 | 16,439 |
Methanex Corp. | 3.250% | 12/15/19 | 2,240 | 2,181 |
Monsanto Co. | 5.125% | 4/15/18 | 925 | 985 |
Monsanto Co. | 1.850% | 11/15/18 | 825 | 832 |
Monsanto Co. | 2.125% | 7/15/19 | 16,150 | 16,374 |
Newmont Mining Corp. | 5.125% | 10/1/19 | 1,925 | 2,087 |
Nucor Corp. | 5.750% | 12/1/17 | 6,190 | 6,524 |
Nucor Corp. | 5.850% | 6/1/18 | 2,848 | 3,068 |
Plum Creek Timberlands LP | 4.700% | 3/15/21 | 4,000 | 4,377 |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 1,225 | 1,258 |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 1,150 | 1,300 |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 1,800 | 1,980 |
PPG Industries Inc. | 2.300% | 11/15/19 | 10,000 | 10,161 |
PPG Industries Inc. | 3.600% | 11/15/20 | 6,350 | 6,700 |
Praxair Inc. | 1.050% | 11/7/17 | 7,160 | 7,175 |
Praxair Inc. | 1.250% | 11/7/18 | 2,500 | 2,519 |
Praxair Inc. | 2.250% | 9/24/20 | 100 | 103 |
Praxair Inc. | 4.050% | 3/15/21 | 1,525 | 1,693 |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 13,193 | 15,872 |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 3,325 | 3,617 |
Rohm & Haas Co. | 6.000% | 9/15/17 | 1,000 | 1,056 |
RPM International Inc. | 6.500% | 2/15/18 | 2,710 | 2,907 |
RPM International Inc. | 6.125% | 10/15/19 | 325 | 362 |
Sherwin-Williams Co. | 1.350% | 12/15/17 | 700 | 702 |
Southern Copper Corp. | 5.375% | 4/16/20 | 2,600 | 2,808 |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 10,025 | 10,326 |
Vale Overseas Ltd. | 4.625% | 9/15/20 | 4,650 | 4,516 |
Vale Overseas Ltd. | 5.875% | 6/10/21 | 8,750 | 8,728 |
Valspar Corp. | 7.250% | 6/15/19 | 863 | 984 |
WestRock RKT Co. | 4.450% | 3/1/19 | 5,000 | 5,297 |
WestRock RKT Co. | 3.500% | 3/1/20 | 2,634 | 2,731 |
Capital Goods (1.4%) | ||||
3M Co. | 1.375% | 8/7/18 | 3,100 | 3,133 |
3M Co. | 2.000% | 8/7/20 | 3,100 | 3,186 |
Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 675 | 757 |
Bemis Co. Inc. | 6.800% | 8/1/19 | 500 | 567 |
Boeing Capital Corp. | 2.900% | 8/15/18 | 11 | 11 |
Boeing Capital Corp. | 4.700% | 10/27/19 | 6,745 | 7,519 |
Boeing Co. | 0.950% | 5/15/18 | 2,524 | 2,526 |
Boeing Co. | 6.000% | 3/15/19 | 3,425 | 3,869 |
Boeing Co. | 4.875% | 2/15/20 | 5,225 | 5,875 |
Boeing Co. | 1.650% | 10/30/20 | 4,250 | 4,299 |
Caterpillar Financial Services Corp. | 1.250% | 8/18/17 | 158 | 159 |
Caterpillar Financial Services Corp. | 1.250% | 11/6/17 | 11,222 | 11,270 |
Caterpillar Financial Services Corp. | 1.500% | 2/23/18 | 2,375 | 2,397 |
Caterpillar Financial Services Corp. | 1.300% | 3/1/18 | 5,750 | 5,759 |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 4,650 | 5,011 |
15
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Caterpillar Financial Services Corp. | 2.450% | 9/6/18 | 2,800 | 2,885 | |
Caterpillar Financial Services Corp. | 1.800% | 11/13/18 | 4,000 | 4,057 | |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 8,358 | 9,586 | |
Caterpillar Financial Services Corp. | 1.350% | 5/18/19 | 4,000 | 4,020 | |
Caterpillar Financial Services Corp. | 2.100% | 6/9/19 | 4,975 | 5,103 | |
Caterpillar Financial Services Corp. | 2.250% | 12/1/19 | 1,995 | 2,049 | |
Caterpillar Financial Services Corp. | 2.000% | 3/5/20 | 4,850 | 4,972 | |
Caterpillar Financial Services Corp. | 2.500% | 11/13/20 | 3,500 | 3,632 | |
Caterpillar Inc. | 1.500% | 6/26/17 | 5,889 | 5,925 | |
Caterpillar Inc. | 7.900% | 12/15/18 | 1,420 | 1,643 | |
Caterpillar Inc. | 3.900% | 5/27/21 | 10,935 | 12,074 | |
Cooper US Inc. | 6.100% | 7/1/17 | 515 | 540 | |
Crane Co. | 2.750% | 12/15/18 | 7,406 | 7,578 | |
CRH America Inc. | 8.125% | 7/15/18 | 1,100 | 1,234 | |
CRH America Inc. | 5.750% | 1/15/21 | 450 | 511 | |
Dover Corp. | 5.450% | 3/15/18 | 1,375 | 1,470 | |
Dover Corp. | 4.300% | 3/1/21 | 4,200 | 4,646 | |
Eaton Corp. | 1.500% | 11/2/17 | 9,570 | 9,615 | |
Eaton Corp. | 5.600% | 5/15/18 | 7,725 | 8,306 | |
Eaton Corp. | 6.950% | 3/20/19 | 928 | 1,053 | |
Eaton Electric Holdings LLC | 3.875% | 12/15/20 | 1,500 | 1,611 | |
Emerson Electric Co. | 4.875% | 10/15/19 | 3,220 | 3,596 | |
Emerson Electric Co. | 4.250% | 11/15/20 | 825 | 921 | |
FLIR Systems Inc. | 3.125% | 6/15/21 | 1,725 | 1,772 | |
5 | Fortive Corp. | 1.800% | 6/15/19 | 1,000 | 1,006 |
5 | Fortive Corp. | 2.350% | 6/15/21 | 4,400 | 4,461 |
Fortune Brands Home & Security Inc. | 3.000% | 6/15/20 | 3,000 | 3,092 | |
General Dynamics Corp. | 1.000% | 11/15/17 | 6,408 | 6,432 | |
General Electric Capital Corp. | 5.625% | 9/15/17 | 4,095 | 4,327 | |
General Electric Capital Corp. | 5.625% | 5/1/18 | 10,910 | 11,844 | |
General Electric Capital Corp. | 6.000% | 8/7/19 | 8,193 | 9,385 | |
General Electric Capital Corp. | 2.100% | 12/11/19 | 2,925 | 3,013 | |
General Electric Capital Corp. | 5.500% | 1/8/20 | 7,476 | 8,508 | |
General Electric Capital Corp. | 2.200% | 1/9/20 | 14,736 | 15,191 | |
General Electric Capital Corp. | 5.550% | 5/4/20 | 7,556 | 8,731 | |
General Electric Capital Corp. | 4.375% | 9/16/20 | 10,048 | 11,220 | |
General Electric Capital Corp. | 4.625% | 1/7/21 | 8,486 | 9,626 | |
General Electric Capital Corp. | 5.300% | 2/11/21 | 7,843 | 9,065 | |
General Electric Co. | 5.250% | 12/6/17 | 34,950 | 37,068 | |
Harris Corp. | 1.999% | 4/27/18 | 7,550 | 7,586 | |
Harris Corp. | 2.700% | 4/27/20 | 9,542 | 9,651 | |
Harris Corp. | 4.400% | 12/15/20 | 2,725 | 2,946 | |
Honeywell International Inc. | 5.300% | 3/1/18 | 5,606 | 6,002 | |
Honeywell International Inc. | 5.000% | 2/15/19 | 11,928 | 13,149 | |
Honeywell International Inc. | 4.250% | 3/1/21 | 5,500 | 6,179 | |
Illinois Tool Works Inc. | 1.950% | 3/1/19 | 2,832 | 2,893 | |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 2,675 | 3,026 | |
Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 12,095 | 13,443 | |
Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 1,150 | 1,191 | |
Ingersoll-Rand Luxembourg Finance SA | 2.625% | 5/1/20 | 1,500 | 1,525 | |
John Deere Capital Corp. | 2.800% | 9/18/17 | 1,319 | 1,350 | |
John Deere Capital Corp. | 1.200% | 10/10/17 | 3,777 | 3,795 | |
John Deere Capital Corp. | 1.550% | 12/15/17 | 6,714 | 6,780 | |
John Deere Capital Corp. | 1.350% | 1/16/18 | 4,950 | 4,985 | |
John Deere Capital Corp. | 1.300% | 3/12/18 | 600 | 604 | |
John Deere Capital Corp. | 5.350% | 4/3/18 | 470 | 505 | |
John Deere Capital Corp. | 1.600% | 7/13/18 | 2,650 | 2,677 | |
John Deere Capital Corp. | 1.750% | 8/10/18 | 3,200 | 3,243 | |
John Deere Capital Corp. | 1.950% | 12/13/18 | 10,583 | 10,809 | |
John Deere Capital Corp. | 1.950% | 1/8/19 | 11,000 | 11,224 | |
John Deere Capital Corp. | 1.950% | 3/4/19 | 13,155 | 13,422 | |
John Deere Capital Corp. | 2.250% | 4/17/19 | 5,685 | 5,852 | |
John Deere Capital Corp. | 2.300% | 9/16/19 | 2,500 | 2,576 | |
John Deere Capital Corp. | 2.050% | 3/10/20 | 4,400 | 4,485 |
16
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
John Deere Capital Corp. | 2.375% | 7/14/20 | 2,500 | 2,578 | |
John Deere Capital Corp. | 2.450% | 9/11/20 | 2,600 | 2,684 | |
John Deere Capital Corp. | 2.550% | 1/8/21 | 2,000 | 2,077 | |
John Deere Capital Corp. | 2.800% | 3/4/21 | 3,000 | 3,148 | |
Kennametal Inc. | 2.650% | 11/1/19 | 3,400 | 3,394 | |
L-3 Communications Corp. | 5.200% | 10/15/19 | 6,925 | 7,549 | |
L-3 Communications Corp. | 4.750% | 7/15/20 | 4,427 | 4,772 | |
L-3 Communications Corp. | 4.950% | 2/15/21 | 4,000 | 4,372 | |
Lockheed Martin Corp. | 1.850% | 11/23/18 | 6,670 | 6,760 | |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 5,285 | 5,789 | |
Lockheed Martin Corp. | 2.500% | 11/23/20 | 12,950 | 13,356 | |
Martin Marietta Materials Inc. | 6.600% | 4/15/18 | 100 | 107 | |
Northrop Grumman Corp. | 1.750% | 6/1/18 | 2,675 | 2,700 | |
Northrop Grumman Corp. | 3.500% | 3/15/21 | 4,325 | 4,652 | |
Parker-Hannifin Corp. | 5.500% | 5/15/18 | 335 | 363 | |
Pentair Finance SA | 1.875% | 9/15/17 | 3,200 | 3,196 | |
Pentair Finance SA | 2.900% | 9/15/18 | 275 | 274 | |
Pentair Finance SA | 3.625% | 9/15/20 | 3,450 | 3,505 | |
Pentair Finance SA | 5.000% | 5/15/21 | 3,000 | 3,242 | |
Precision Castparts Corp. | 1.250% | 1/15/18 | 8,300 | 8,338 | |
Precision Castparts Corp. | 2.250% | 6/15/20 | 3,550 | 3,653 | |
Raytheon Co. | 6.750% | 3/15/18 | 3,000 | 3,290 | |
Raytheon Co. | 6.400% | 12/15/18 | 500 | 562 | |
Raytheon Co. | 4.400% | 2/15/20 | 3,300 | 3,644 | |
Raytheon Co. | 3.125% | 10/15/20 | 5,465 | 5,850 | |
Republic Services Inc. | 3.800% | 5/15/18 | 7,042 | 7,368 | |
Republic Services Inc. | 5.500% | 9/15/19 | 4,175 | 4,654 | |
Republic Services Inc. | 5.000% | 3/1/20 | 5,543 | 6,150 | |
Rockwell Automation Inc. | 2.050% | 3/1/20 | 5,850 | 5,958 | |
Roper Technologies Inc. | 1.850% | 11/15/17 | 7,821 | 7,867 | |
Roper Technologies Inc. | 2.050% | 10/1/18 | 11,050 | 11,185 | |
Roper Technologies Inc. | 6.250% | 9/1/19 | 1,000 | 1,131 | |
Roper Technologies Inc. | 3.000% | 12/15/20 | 4,450 | 4,597 | |
Stanley Black & Decker Inc. | 2.451% | 11/17/18 | 4,250 | 4,343 | |
4 | Stanley Black & Decker Inc. | 5.750% | 12/15/53 | 2,190 | 2,305 |
Textron Inc. | 5.600% | 12/1/17 | 1,000 | 1,052 | |
Textron Inc. | 7.250% | 10/1/19 | 2,070 | 2,372 | |
Textron Inc. | 3.650% | 3/1/21 | 4,250 | 4,463 | |
United Technologies Corp. | 5.375% | 12/15/17 | 4,410 | 4,692 | |
United Technologies Corp. | 6.125% | 2/1/19 | 3,795 | 4,263 | |
United Technologies Corp. | 4.500% | 4/15/20 | 9,675 | 10,780 | |
Valmont Industries Inc. | 6.625% | 4/20/20 | 464 | 523 | |
Vulcan Materials Co. | 7.500% | 6/15/21 | 4,300 | 5,169 | |
Waste Management Inc. | 6.100% | 3/15/18 | 9,410 | 10,209 | |
Waste Management Inc. | 4.750% | 6/30/20 | 3,500 | 3,923 | |
Waste Management Inc. | 4.600% | 3/1/21 | 2,703 | 2,999 | |
Communication (1.8%) | |||||
21st Century Fox America Inc. | 6.900% | 3/1/19 | 6,550 | 7,434 | |
21st Century Fox America Inc. | 5.650% | 8/15/20 | 7,683 | 8,806 | |
21st Century Fox America Inc. | 4.500% | 2/15/21 | 3,675 | 4,099 | |
America Movil SAB de CV | 5.000% | 3/30/20 | 12,603 | 13,931 | |
American Tower Corp. | 4.500% | 1/15/18 | 14,010 | 14,615 | |
American Tower Corp. | 3.400% | 2/15/19 | 6,000 | 6,248 | |
American Tower Corp. | 2.800% | 6/1/20 | 3,025 | 3,095 | |
American Tower Corp. | 5.050% | 9/1/20 | 2,370 | 2,635 | |
American Tower Corp. | 3.300% | 2/15/21 | 4,800 | 5,002 | |
AT&T Inc. | 1.400% | 12/1/17 | 10,175 | 10,189 | |
AT&T Inc. | 1.750% | 1/15/18 | 8,260 | 8,304 | |
AT&T Inc. | 5.500% | 2/1/18 | 20,234 | 21,552 | |
AT&T Inc. | 5.600% | 5/15/18 | 5,400 | 5,809 | |
AT&T Inc. | 2.375% | 11/27/18 | 4,053 | 4,141 | |
AT&T Inc. | 5.800% | 2/15/19 | 100 | 111 | |
AT&T Inc. | 2.300% | 3/11/19 | 10,375 | 10,586 |
17
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
AT&T Inc. | 5.875% | 10/1/19 | 5,800 | 6,566 | |
AT&T Inc. | 5.200% | 3/15/20 | 9,196 | 10,409 | |
AT&T Inc. | 2.450% | 6/30/20 | 22,967 | 23,429 | |
AT&T Inc. | 4.600% | 2/15/21 | 12,912 | 14,166 | |
AT&T Inc. | 2.800% | 2/17/21 | 19,800 | 20,299 | |
AT&T Inc. | 5.000% | 3/1/21 | 7,959 | 8,912 | |
AT&T Inc. | 4.450% | 5/15/21 | 9,527 | 10,467 | |
British Telecommunications plc | 5.950% | 1/15/18 | 5,725 | 6,131 | |
British Telecommunications plc | 2.350% | 2/14/19 | 11,975 | 12,242 | |
CBS Corp. | 1.950% | 7/1/17 | 1,050 | 1,057 | |
CBS Corp. | 2.300% | 8/15/19 | 11,575 | 11,765 | |
CBS Corp. | 5.750% | 4/15/20 | 910 | 1,035 | |
CBS Corp. | 4.300% | 2/15/21 | 1,800 | 1,958 | |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 2.381% | 12/15/17 | 2,555 | 2,587 | |
5 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 3.579% | 7/23/20 | 15,250 | 15,944 | |
Comcast Corp. | 6.300% | 11/15/17 | 5,276 | 5,668 | |
Comcast Corp. | 5.875% | 2/15/18 | 7,659 | 8,251 | |
Comcast Corp. | 5.700% | 5/15/18 | 9,436 | 10,246 | |
Comcast Corp. | 5.700% | 7/1/19 | 125 | 141 | |
Comcast Corp. | 5.150% | 3/1/20 | 6,703 | 7,579 | |
Crown Castle International Corp. | 3.400% | 2/15/21 | 14,400 | 15,048 | |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 7,245 | 8,071 | |
Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 4,150 | 4,681 | |
Discovery Communications LLC | 5.625% | 8/15/19 | 750 | 825 | |
Discovery Communications LLC | 5.050% | 6/1/20 | 6,775 | 7,408 | |
Discovery Communications LLC | 4.375% | 6/15/21 | 650 | 698 | |
Electronic Arts Inc. | 3.700% | 3/1/21 | 5,600 | 5,910 | |
Historic TW Inc. | 6.875% | 6/15/18 | 820 | 905 | |
Interpublic Group of Cos. Inc. | 2.250% | 11/15/17 | 260 | 262 | |
Moody's Corp. | 2.750% | 7/15/19 | 7,101 | 7,338 | |
Moody's Corp. | 5.500% | 9/1/20 | 277 | 314 | |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 16,672 | 18,899 | |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 13,380 | 14,916 | |
Nippon Telegraph & Telephone Corp. | 1.400% | 7/18/17 | 2,487 | 2,494 | |
Omnicom Group Inc. | 6.250% | 7/15/19 | 5,035 | 5,731 | |
Omnicom Group Inc. | 4.450% | 8/15/20 | 8,900 | 9,821 | |
Orange SA | 2.750% | 2/6/19 | 17,675 | 18,226 | |
Orange SA | 5.375% | 7/8/19 | 4,025 | 4,469 | |
Qwest Corp. | 6.500% | 6/1/17 | 5,050 | 5,234 | |
Rogers Communications Inc. | 6.800% | 8/15/18 | 9,294 | 10,295 | |
S&P Global Inc. | 2.500% | 8/15/18 | 3,600 | 3,674 | |
S&P Global Inc. | 3.300% | 8/14/20 | 4,300 | 4,499 | |
Scripps Networks Interactive Inc. | 2.750% | 11/15/19 | 2,850 | 2,908 | |
Scripps Networks Interactive Inc. | 2.800% | 6/15/20 | 3,650 | 3,708 | |
Telefonica Emisiones SAU | 6.221% | 7/3/17 | 4,780 | 4,990 | |
Telefonica Emisiones SAU | 3.192% | 4/27/18 | 22,600 | 22,873 | |
Telefonica Emisiones SAU | 5.877% | 7/15/19 | 700 | 776 | |
Telefonica Emisiones SAU | 5.134% | 4/27/20 | 9,452 | 10,481 | |
Telefonica Emisiones SAU | 5.462% | 2/16/21 | 7,360 | 8,410 | |
Thomson Reuters Corp. | 1.650% | 9/29/17 | 4,014 | 4,031 | |
Thomson Reuters Corp. | 6.500% | 7/15/18 | 2,430 | 2,668 | |
Thomson Reuters Corp. | 4.700% | 10/15/19 | 350 | 381 | |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 22,475 | 24,653 | |
Time Warner Cable Inc. | 8.750% | 2/14/19 | 9,241 | 10,787 | |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 2,055 | 2,386 | |
Time Warner Cable Inc. | 5.000% | 2/1/20 | 5,375 | 5,844 | |
Time Warner Cable Inc. | 4.125% | 2/15/21 | 5,825 | 6,171 | |
Time Warner Inc. | 2.100% | 6/1/19 | 5,475 | 5,567 | |
Time Warner Inc. | 4.875% | 3/15/20 | 8,795 | 9,739 | |
Time Warner Inc. | 4.700% | 1/15/21 | 2,560 | 2,856 | |
Time Warner Inc. | 4.750% | 3/29/21 | 7,775 | 8,727 | |
Verizon Communications Inc. | 5.500% | 2/15/18 | 12,976 | 13,887 | |
Verizon Communications Inc. | 6.100% | 4/15/18 | 4,519 | 4,909 |
18
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Verizon Communications Inc. | 3.650% | 9/14/18 | 37,777 | 39,717 |
Verizon Communications Inc. | 2.625% | 2/21/20 | 23,496 | 24,313 |
Verizon Communications Inc. | 4.500% | 9/15/20 | 21,121 | 23,447 |
Verizon Communications Inc. | 3.450% | 3/15/21 | 5,758 | 6,188 |
Verizon Communications Inc. | 4.600% | 4/1/21 | 9,415 | 10,573 |
Viacom Inc. | 2.500% | 9/1/18 | 6,000 | 6,083 |
Viacom Inc. | 2.200% | 4/1/19 | 12,000 | 12,027 |
Viacom Inc. | 5.625% | 9/15/19 | 1,000 | 1,101 |
Viacom Inc. | 3.875% | 12/15/21 | 2,231 | 2,343 |
Vodafone Group plc | 1.250% | 9/26/17 | 5,270 | 5,270 |
Vodafone Group plc | 1.500% | 2/19/18 | 7,300 | 7,305 |
Vodafone Group plc | 4.625% | 7/15/18 | 5,320 | 5,638 |
Vodafone Group plc | 5.450% | 6/10/19 | 9,681 | 10,709 |
Vodafone Group plc | 4.375% | 3/16/21 | 3,258 | 3,583 |
Walt Disney Co. | 1.100% | 12/1/17 | 11,971 | 12,020 |
Walt Disney Co. | 1.500% | 9/17/18 | 1,050 | 1,065 |
Walt Disney Co. | 1.650% | 1/8/19 | 2,250 | 2,292 |
Walt Disney Co. | 1.850% | 5/30/19 | 6,700 | 6,852 |
Walt Disney Co. | 2.150% | 9/17/20 | 4,600 | 4,757 |
Walt Disney Co. | 2.300% | 2/12/21 | 6,175 | 6,427 |
Walt Disney Co. | 3.750% | 6/1/21 | 4,136 | 4,582 |
Consumer Cyclical (2.2%) | ||||
Advance Auto Parts Inc. | 5.750% | 5/1/20 | 1,190 | 1,322 |
Alibaba Group Holding Ltd. | 1.625% | 11/28/17 | 7,600 | 7,618 |
Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 16,250 | 16,438 |
Amazon.com Inc. | 1.200% | 11/29/17 | 5,700 | 5,723 |
Amazon.com Inc. | 2.600% | 12/5/19 | 9,250 | 9,649 |
American Honda Finance Corp. | 1.200% | 7/14/17 | 2,800 | 2,805 |
American Honda Finance Corp. | 1.550% | 12/11/17 | 11,084 | 11,182 |
American Honda Finance Corp. | 1.500% | 3/13/18 | 3,152 | 3,184 |
American Honda Finance Corp. | 1.600% | 7/13/18 | 6,925 | 7,002 |
American Honda Finance Corp. | 2.125% | 10/10/18 | 7,111 | 7,294 |
American Honda Finance Corp. | 1.700% | 2/22/19 | 1,350 | 1,371 |
American Honda Finance Corp. | 2.250% | 8/15/19 | 11,175 | 11,520 |
American Honda Finance Corp. | 2.450% | 9/24/20 | 6,575 | 6,830 |
Automatic Data Processing Inc. | 2.250% | 9/15/20 | 7,025 | 7,301 |
AutoNation Inc. | 6.750% | 4/15/18 | 2,500 | 2,682 |
AutoNation Inc. | 5.500% | 2/1/20 | 1,620 | 1,771 |
AutoNation Inc. | 3.350% | 1/15/21 | 5,525 | 5,650 |
AutoZone Inc. | 7.125% | 8/1/18 | 4,175 | 4,646 |
AutoZone Inc. | 1.625% | 4/21/19 | 2,000 | 2,013 |
AutoZone Inc. | 4.000% | 11/15/20 | 275 | 296 |
AutoZone Inc. | 2.500% | 4/15/21 | 900 | 917 |
Best Buy Co. Inc. | 5.500% | 3/15/21 | 1,150 | 1,219 |
Block Financial LLC | 4.125% | 10/1/20 | 3,050 | 3,144 |
BorgWarner Inc. | 4.625% | 9/15/20 | 450 | 488 |
Brinker International Inc. | 2.600% | 5/15/18 | 2,125 | 2,148 |
Carnival Corp. | 1.875% | 12/15/17 | 3,200 | 3,230 |
Carnival Corp. | 3.950% | 10/15/20 | 2,400 | 2,595 |
Costco Wholesale Corp. | 1.125% | 12/15/17 | 8,350 | 8,392 |
Costco Wholesale Corp. | 1.700% | 12/15/19 | 2,525 | 2,583 |
Costco Wholesale Corp. | 1.750% | 2/15/20 | 3,475 | 3,542 |
CVS Health Corp. | 1.900% | 7/20/18 | 19,174 | 19,465 |
CVS Health Corp. | 2.250% | 12/5/18 | 10,100 | 10,334 |
CVS Health Corp. | 2.250% | 8/12/19 | 9,030 | 9,275 |
CVS Health Corp. | 2.800% | 7/20/20 | 23,899 | 24,890 |
CVS Health Corp. | 2.125% | 6/1/21 | 9,600 | 9,726 |
Delphi Automotive plc | 3.150% | 11/19/20 | 3,400 | 3,522 |
Dollar General Corp. | 4.125% | 7/15/17 | 5,798 | 5,966 |
eBay Inc. | 1.350% | 7/15/17 | 4,693 | 4,702 |
eBay Inc. | 2.500% | 3/9/18 | 2,500 | 2,552 |
eBay Inc. | 2.200% | 8/1/19 | 8,825 | 9,017 |
eBay Inc. | 3.250% | 10/15/20 | 500 | 523 |
19
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Expedia Inc. | 7.456% | 8/15/18 | 3,250 | 3,603 |
Expedia Inc. | 5.950% | 8/15/20 | 10,722 | 12,001 |
Ford Motor Co. | 6.500% | 8/1/18 | 1,392 | 1,531 |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 8,043 | 8,155 |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 7,800 | 8,234 |
Ford Motor Credit Co. LLC | 1.724% | 12/6/17 | 9,500 | 9,519 |
Ford Motor Credit Co. LLC | 2.145% | 1/9/18 | 12,239 | 12,347 |
Ford Motor Credit Co. LLC | 2.375% | 1/16/18 | 25,234 | 25,547 |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 13,706 | 14,512 |
Ford Motor Credit Co. LLC | 2.240% | 6/15/18 | 7,200 | 7,273 |
Ford Motor Credit Co. LLC | 2.875% | 10/1/18 | 6,305 | 6,470 |
Ford Motor Credit Co. LLC | 2.551% | 10/5/18 | 3,000 | 3,053 |
Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 4,700 | 4,764 |
Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 5,800 | 5,931 |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 8,100 | 9,644 |
Ford Motor Credit Co. LLC | 2.459% | 3/27/20 | 7,290 | 7,345 |
Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 6,060 | 6,262 |
Ford Motor Credit Co. LLC | 3.200% | 1/15/21 | 9,700 | 9,961 |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 5,000 | 5,684 |
Ford Motor Credit Co. LLC | 3.336% | 3/18/21 | 13,000 | 13,493 |
General Motors Co. | 3.500% | 10/2/18 | 5,600 | 5,761 |
General Motors Financial Co. Inc. | 2.625% | 7/10/17 | 3,962 | 3,992 |
General Motors Financial Co. Inc. | 4.750% | 8/15/17 | 6,038 | 6,264 |
General Motors Financial Co. Inc. | 3.000% | 9/25/17 | 6,524 | 6,630 |
General Motors Financial Co. Inc. | 3.250% | 5/15/18 | 4,070 | 4,146 |
General Motors Financial Co. Inc. | 6.750% | 6/1/18 | 7,325 | 7,938 |
General Motors Financial Co. Inc. | 3.100% | 1/15/19 | 15,500 | 15,791 |
General Motors Financial Co. Inc. | 2.400% | 5/9/19 | 6,700 | 6,708 |
General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 7,750 | 7,992 |
General Motors Financial Co. Inc. | 3.150% | 1/15/20 | 5,190 | 5,248 |
General Motors Financial Co. Inc. | 3.200% | 7/13/20 | 19,187 | 19,163 |
General Motors Financial Co. Inc. | 3.700% | 11/24/20 | 10,220 | 10,501 |
General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 8,808 | 9,248 |
Home Depot Inc. | 2.250% | 9/10/18 | 8,455 | 8,704 |
Home Depot Inc. | 2.000% | 6/15/19 | 8,855 | 9,105 |
Home Depot Inc. | 3.950% | 9/15/20 | 1,300 | 1,428 |
Home Depot Inc. | 2.000% | 4/1/21 | 8,450 | 8,669 |
Home Depot Inc. | 4.400% | 4/1/21 | 6,683 | 7,529 |
Johnson Controls Inc. | 1.400% | 11/2/17 | 5,735 | 5,752 |
Johnson Controls Inc. | 5.000% | 3/30/20 | 1,575 | 1,722 |
Johnson Controls Inc. | 4.250% | 3/1/21 | 750 | 810 |
Lowe's Cos. Inc. | 4.625% | 4/15/20 | 4,050 | 4,457 |
Lowe's Cos. Inc. | 3.750% | 4/15/21 | 2,025 | 2,242 |
Macy's Retail Holdings Inc. | 7.450% | 7/15/17 | 1,000 | 1,060 |
Macy's Retail Holdings Inc. | 3.450% | 1/15/21 | 2,300 | 2,366 |
Marriott International Inc. | 6.375% | 6/15/17 | 1,310 | 1,370 |
Marriott International Inc. | 3.000% | 3/1/19 | 1,503 | 1,552 |
Marriott International Inc. | 3.375% | 10/15/20 | 3,875 | 4,084 |
Marriott International Inc. | 2.875% | 3/1/21 | 1,625 | 1,680 |
MasterCard Inc. | 2.000% | 4/1/19 | 4,225 | 4,327 |
McDonald's Corp. | 5.800% | 10/15/17 | 4,421 | 4,685 |
McDonald's Corp. | 5.350% | 3/1/18 | 7,444 | 7,955 |
McDonald's Corp. | 2.100% | 12/7/18 | 5,100 | 5,210 |
McDonald's Corp. | 1.875% | 5/29/19 | 3,445 | 3,499 |
McDonald's Corp. | 3.500% | 7/15/20 | 1,999 | 2,143 |
McDonald's Corp. | 2.750% | 12/9/20 | 12,206 | 12,733 |
McDonald's Corp. | 3.625% | 5/20/21 | 4,878 | 5,277 |
Nordstrom Inc. | 6.250% | 1/15/18 | 4,854 | 5,192 |
Nordstrom Inc. | 4.750% | 5/1/20 | 2,975 | 3,237 |
O'Reilly Automotive Inc. | 4.875% | 1/14/21 | 2,435 | 2,716 |
PACCAR Financial Corp. | 1.400% | 11/17/17 | 1,260 | 1,270 |
PACCAR Financial Corp. | 1.450% | 3/9/18 | 2,450 | 2,469 |
PACCAR Financial Corp. | 1.400% | 5/18/18 | 2,000 | 2,014 |
PACCAR Financial Corp. | 1.750% | 8/14/18 | 1,250 | 1,268 |
20
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
PACCAR Financial Corp. | 1.300% | 5/10/19 | 5,000 | 5,013 |
PACCAR Financial Corp. | 2.500% | 8/14/20 | 2,000 | 2,065 |
PACCAR Financial Corp. | 2.250% | 2/25/21 | 2,725 | 2,764 |
QVC Inc. | 3.125% | 4/1/19 | 2,300 | 2,361 |
Ralph Lauren Corp. | 2.125% | 9/26/18 | 1,700 | 1,735 |
Ralph Lauren Corp. | 2.625% | 8/18/20 | 1,800 | 1,874 |
Staples Inc. | 2.750% | 1/12/18 | 950 | 958 |
Starbucks Corp. | 2.000% | 12/5/18 | 3,175 | 3,246 |
Starbucks Corp. | 2.100% | 2/4/21 | 5,600 | 5,755 |
Starwood Hotels & Resorts Worldwide Inc. | 6.750% | 5/15/18 | 2,108 | 2,285 |
Target Corp. | 6.000% | 1/15/18 | 8,710 | 9,374 |
Target Corp. | 2.300% | 6/26/19 | 8,204 | 8,476 |
TJX Cos. Inc. | 6.950% | 4/15/19 | 9,953 | 11,497 |
TJX Cos. Inc. | 2.750% | 6/15/21 | 5,175 | 5,469 |
Toyota Motor Credit Corp. | 1.250% | 10/5/17 | 2,312 | 2,321 |
Toyota Motor Credit Corp. | 1.375% | 1/10/18 | 2,375 | 2,390 |
Toyota Motor Credit Corp. | 1.450% | 1/12/18 | 9,150 | 9,216 |
Toyota Motor Credit Corp. | 1.200% | 4/6/18 | 15,000 | 15,057 |
Toyota Motor Credit Corp. | 1.550% | 7/13/18 | 7,900 | 7,980 |
Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 9,900 | 10,097 |
Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 3,330 | 3,402 |
Toyota Motor Credit Corp. | 1.700% | 2/19/19 | 7,500 | 7,592 |
Toyota Motor Credit Corp. | 1.400% | 5/20/19 | 7,600 | 7,642 |
Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 9,700 | 9,951 |
Toyota Motor Credit Corp. | 2.150% | 3/12/20 | 15,200 | 15,626 |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 2,000 | 2,233 |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 2,775 | 3,094 |
Toyota Motor Credit Corp. | 1.900% | 4/8/21 | 12,000 | 12,155 |
Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 4,250 | 4,456 |
Visa Inc. | 1.200% | 12/14/17 | 18,875 | 18,967 |
Visa Inc. | 2.200% | 12/14/20 | 21,250 | 21,890 |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 13,877 | 15,001 |
Wal-Mart Stores Inc. | 1.125% | 4/11/18 | 8,701 | 8,742 |
Wal-Mart Stores Inc. | 1.950% | 12/15/18 | 4,988 | 5,123 |
Wal-Mart Stores Inc. | 4.125% | 2/1/19 | 2,305 | 2,498 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 13,857 | 15,160 |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 10,025 | 10,835 |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 8,125 | 9,206 |
Walgreen Co. | 5.250% | 1/15/19 | 927 | 1,005 |
Walgreens Boots Alliance Inc. | 1.750% | 11/17/17 | 6,168 | 6,210 |
Walgreens Boots Alliance Inc. | 1.750% | 5/30/18 | 3,400 | 3,427 |
Walgreens Boots Alliance Inc. | 2.700% | 11/18/19 | 6,615 | 6,836 |
Walgreens Boots Alliance Inc. | 2.600% | 6/1/21 | 13,000 | 13,245 |
Western Union Co. | 2.875% | 12/10/17 | 735 | 748 |
Western Union Co. | 3.650% | 8/22/18 | 3,675 | 3,810 |
Western Union Co. | 5.253% | 4/1/20 | 200 | 222 |
Wyndham Worldwide Corp. | 2.500% | 3/1/18 | 1,110 | 1,124 |
Consumer Noncyclical (3.9%) | ||||
Abbott Laboratories | 5.125% | 4/1/19 | 550 | 604 |
Abbott Laboratories | 2.000% | 3/15/20 | 10,175 | 10,297 |
Abbott Laboratories | 4.125% | 5/27/20 | 4,825 | 5,252 |
AbbVie Inc. | 1.750% | 11/6/17 | 23,349 | 23,499 |
AbbVie Inc. | 1.800% | 5/14/18 | 23,249 | 23,400 |
AbbVie Inc. | 2.000% | 11/6/18 | 3,266 | 3,298 |
AbbVie Inc. | 2.500% | 5/14/20 | 29,996 | 30,670 |
AbbVie Inc. | 2.300% | 5/14/21 | 6,350 | 6,405 |
Actavis Funding SCS | 2.350% | 3/12/18 | 20,328 | 20,592 |
Actavis Funding SCS | 2.450% | 6/15/19 | 5,438 | 5,513 |
Actavis Funding SCS | 3.000% | 3/12/20 | 28,350 | 29,198 |
Actavis Inc. | 1.875% | 10/1/17 | 11,585 | 11,643 |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 3,300 | 3,651 |
Allergan Inc. | 1.350% | 3/15/18 | 2,975 | 2,959 |
Allergan Inc. | 3.375% | 9/15/20 | 2,500 | 2,611 |
21
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Altria Group Inc. | 9.250% | 8/6/19 | 6,124 | 7,546 |
Altria Group Inc. | 2.625% | 1/14/20 | 11,650 | 12,101 |
Altria Group Inc. | 4.750% | 5/5/21 | 8,399 | 9,581 |
AmerisourceBergen Corp. | 4.875% | 11/15/19 | 2,105 | 2,320 |
Amgen Inc. | 6.150% | 6/1/18 | 3,000 | 3,275 |
Amgen Inc. | 2.200% | 5/22/19 | 12,760 | 13,086 |
Amgen Inc. | 2.125% | 5/1/20 | 6,675 | 6,791 |
Amgen Inc. | 3.450% | 10/1/20 | 8,250 | 8,830 |
Amgen Inc. | 4.100% | 6/15/21 | 6,175 | 6,772 |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 9,266 | 9,875 |
Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 750 | 819 |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 7,158 | 7,176 |
Anheuser-Busch InBev Finance Inc. | 1.900% | 2/1/19 | 28,300 | 28,775 |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 14,530 | 14,840 |
Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 61,455 | 63,675 |
Anheuser-Busch InBev Worldwide Inc. | 1.375% | 7/15/17 | 22,762 | 22,832 |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 18,425 | 21,316 |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 14,400 | 16,276 |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 1,855 | 2,076 |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 1,425 | 1,579 |
Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 3,413 | 3,649 |
Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 2,239 | 2,527 |
AstraZeneca plc | 5.900% | 9/15/17 | 6,538 | 6,911 |
AstraZeneca plc | 1.750% | 11/16/18 | 6,600 | 6,691 |
AstraZeneca plc | 1.950% | 9/18/19 | 5,585 | 5,652 |
AstraZeneca plc | 2.375% | 11/16/20 | 14,100 | 14,377 |
Baxalta Inc. | 2.000% | 6/22/18 | 2,300 | 2,306 |
Baxalta Inc. | 2.875% | 6/23/20 | 6,500 | 6,606 |
Beam Suntory Inc. | 1.750% | 6/15/18 | 925 | 930 |
Becton Dickinson & Co. | 1.800% | 12/15/17 | 10,751 | 10,841 |
Becton Dickinson & Co. | 5.000% | 5/15/19 | 325 | 355 |
Becton Dickinson & Co. | 6.375% | 8/1/19 | 5,085 | 5,753 |
Becton Dickinson & Co. | 2.675% | 12/15/19 | 8,435 | 8,671 |
Becton Dickinson & Co. | 3.250% | 11/12/20 | 4,523 | 4,759 |
Bio-Rad Laboratories Inc. | 4.875% | 12/15/20 | 2,300 | 2,524 |
Biogen Inc. | 6.875% | 3/1/18 | 5,550 | 6,043 |
Biogen Inc. | 2.900% | 9/15/20 | 14,510 | 15,120 |
Boston Scientific Corp. | 2.650% | 10/1/18 | 5,700 | 5,832 |
Boston Scientific Corp. | 6.000% | 1/15/20 | 4,300 | 4,878 |
Boston Scientific Corp. | 2.850% | 5/15/20 | 5,050 | 5,233 |
Bottling Group LLC | 5.125% | 1/15/19 | 7,700 | 8,459 |
Bristol-Myers Squibb Co. | 0.875% | 8/1/17 | 5,664 | 5,671 |
Brown-Forman Corp. | 1.000% | 1/15/18 | 2,275 | 2,274 |
Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 6,750 | 7,926 |
Bunge Ltd. Finance Corp. | 3.500% | 11/24/20 | 3,020 | 3,160 |
Campbell Soup Co. | 3.050% | 7/15/17 | 1,000 | 1,021 |
Cardinal Health Inc. | 1.700% | 3/15/18 | 8,650 | 8,706 |
Cardinal Health Inc. | 1.950% | 6/15/18 | 1,910 | 1,929 |
Cardinal Health Inc. | 4.625% | 12/15/20 | 3,725 | 4,182 |
Catholic Health Initiatives Colorado GO | 1.600% | 11/1/17 | 1,700 | 1,707 |
Celgene Corp. | 1.900% | 8/15/17 | 4,104 | 4,136 |
Celgene Corp. | 2.125% | 8/15/18 | 5,711 | 5,797 |
Celgene Corp. | 2.300% | 8/15/18 | 2,188 | 2,228 |
Celgene Corp. | 2.250% | 5/15/19 | 4,850 | 4,941 |
Celgene Corp. | 2.875% | 8/15/20 | 7,253 | 7,507 |
Celgene Corp. | 3.950% | 10/15/20 | 6,004 | 6,481 |
Church & Dwight Co. Inc. | 2.450% | 12/15/19 | 2,550 | 2,612 |
Clorox Co. | 5.950% | 10/15/17 | 4,520 | 4,806 |
Coca-Cola Co. | 1.650% | 3/14/18 | 2,650 | 2,686 |
Coca-Cola Co. | 1.150% | 4/1/18 | 7,979 | 8,025 |
Coca-Cola Co. | 1.650% | 11/1/18 | 15,492 | 15,725 |
Coca-Cola Co. | 1.375% | 5/30/19 | 4,300 | 4,347 |
Coca-Cola Co. | 1.875% | 10/27/20 | 5,000 | 5,124 |
Coca-Cola Co. | 2.450% | 11/1/20 | 7,975 | 8,331 |
22
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Coca-Cola Co. | 3.150% | 11/15/20 | 3,785 | 4,070 |
Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 4,750 | 5,042 |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 11,945 | 12,152 |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 275 | 297 |
Colgate-Palmolive Co. | 0.900% | 5/1/18 | 3,783 | 3,792 |
Colgate-Palmolive Co. | 1.500% | 11/1/18 | 1,575 | 1,598 |
Colgate-Palmolive Co. | 1.750% | 3/15/19 | 4,175 | 4,271 |
ConAgra Foods Inc. | 1.900% | 1/25/18 | 14,425 | 14,528 |
ConAgra Foods Inc. | 7.000% | 4/15/19 | 208 | 237 |
Covidien International Finance SA | 6.000% | 10/15/17 | 10,918 | 11,614 |
Covidien International Finance SA | 4.200% | 6/15/20 | 4,050 | 4,463 |
CR Bard Inc. | 1.375% | 1/15/18 | 3,425 | 3,439 |
CR Bard Inc. | 4.400% | 1/15/21 | 2,245 | 2,480 |
Danaher Corp. | 5.625% | 1/15/18 | 1,950 | 2,091 |
Danaher Corp. | 1.650% | 9/15/18 | 6,402 | 6,500 |
Danaher Corp. | 5.400% | 3/1/19 | 2,305 | 2,564 |
Danaher Corp. | 2.400% | 9/15/20 | 6,000 | 6,258 |
Diageo Capital plc | 5.750% | 10/23/17 | 5,601 | 5,936 |
Diageo Capital plc | 1.125% | 4/29/18 | 2,500 | 2,505 |
Dignity Health California GO | 2.637% | 11/1/19 | 1,950 | 2,005 |
Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 4,962 | 5,464 |
Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 3,550 | 3,638 |
Dr Pepper Snapple Group Inc. | 2.000% | 1/15/20 | 1,775 | 1,795 |
Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 4,025 | 4,137 |
Eli Lilly & Co. | 1.250% | 3/1/18 | 3,800 | 3,829 |
Eli Lilly & Co. | 1.950% | 3/15/19 | 3,100 | 3,160 |
Estee Lauder Cos. Inc. | 1.700% | 5/10/21 | 5,225 | 5,288 |
Express Scripts Holding Co. | 1.250% | 6/2/17 | 18 | 18 |
Express Scripts Holding Co. | 2.250% | 6/15/19 | 400 | 406 |
Express Scripts Holding Co. | 7.250% | 6/15/19 | 2,750 | 3,170 |
Express Scripts Holding Co. | 3.300% | 2/25/21 | 5,275 | 5,557 |
General Mills Inc. | 1.400% | 10/20/17 | 4,200 | 4,226 |
General Mills Inc. | 5.650% | 2/15/19 | 8,993 | 9,997 |
General Mills Inc. | 2.200% | 10/21/19 | 4,000 | 4,098 |
Gilead Sciences Inc. | 1.850% | 9/4/18 | 7,758 | 7,896 |
Gilead Sciences Inc. | 2.050% | 4/1/19 | 13,225 | 13,533 |
Gilead Sciences Inc. | 2.350% | 2/1/20 | 1,000 | 1,031 |
Gilead Sciences Inc. | 2.550% | 9/1/20 | 19,003 | 19,677 |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 2,060 | 2,301 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 13,895 | 15,055 |
Hasbro Inc. | 6.300% | 9/15/17 | 1,375 | 1,455 |
Hasbro Inc. | 3.150% | 5/15/21 | 2,040 | 2,099 |
Hershey Co. | 1.600% | 8/21/18 | 1,600 | 1,623 |
Hershey Co. | 4.125% | 12/1/20 | 1,450 | 1,626 |
Hillshire Brands Co. | 4.100% | 9/15/20 | 1,673 | 1,745 |
Hormel Foods Corp. | 4.125% | 4/15/21 | 875 | 973 |
Ingredion Inc. | 4.625% | 11/1/20 | 2,100 | 2,298 |
JM Smucker Co. | 1.750% | 3/15/18 | 2,100 | 2,118 |
JM Smucker Co. | 2.500% | 3/15/20 | 9,895 | 10,194 |
Johnson & Johnson | 5.550% | 8/15/17 | 5,855 | 6,162 |
Johnson & Johnson | 1.125% | 11/21/17 | 2,756 | 2,770 |
Johnson & Johnson | 5.150% | 7/15/18 | 7,955 | 8,641 |
Johnson & Johnson | 1.650% | 12/5/18 | 3,475 | 3,540 |
Johnson & Johnson | 1.125% | 3/1/19 | 3,300 | 3,320 |
Johnson & Johnson | 1.875% | 12/5/19 | 3,400 | 3,501 |
Johnson & Johnson | 2.950% | 9/1/20 | 2,860 | 3,057 |
Johnson & Johnson | 1.650% | 3/1/21 | 5,580 | 5,667 |
Johnson & Johnson | 3.550% | 5/15/21 | 3,000 | 3,324 |
Kellogg Co. | 3.250% | 5/21/18 | 5,150 | 5,336 |
Kellogg Co. | 4.150% | 11/15/19 | 400 | 434 |
Kellogg Co. | 4.000% | 12/15/20 | 5,068 | 5,550 |
Kimberly-Clark Corp. | 6.125% | 8/1/17 | 6,961 | 7,354 |
Kimberly-Clark Corp. | 6.250% | 7/15/18 | 893 | 987 |
Kimberly-Clark Corp. | 7.500% | 11/1/18 | 2,780 | 3,178 |
23
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Kimberly-Clark Corp. | 1.400% | 2/15/19 | 6,400 | 6,475 | |
Kimberly-Clark Corp. | 1.900% | 5/22/19 | 4,070 | 4,179 | |
Kimberly-Clark Corp. | 1.850% | 3/1/20 | 1,500 | 1,534 | |
Kimberly-Clark Corp. | 2.150% | 8/15/20 | 1,500 | 1,552 | |
Kimberly-Clark Corp. | 3.875% | 3/1/21 | 1,075 | 1,184 | |
Koninklijke Philips NV | 5.750% | 3/11/18 | 6,730 | 7,209 | |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 13,398 | 14,721 | |
5 | Kraft Heinz Foods Co. | 1.600% | 6/30/17 | 7,300 | 7,327 |
5 | Kraft Heinz Foods Co. | 2.000% | 7/2/18 | 10,165 | 10,304 |
5 | Kraft Heinz Foods Co. | 2.800% | 7/2/20 | 7,555 | 7,835 |
Kroger Co. | 2.000% | 1/15/19 | 1,250 | 1,268 | |
Kroger Co. | 2.300% | 1/15/19 | 10,150 | 10,352 | |
Kroger Co. | 6.150% | 1/15/20 | 5,949 | 6,837 | |
Kroger Co. | 3.300% | 1/15/21 | 5,600 | 5,953 | |
Kroger Co. | 2.600% | 2/1/21 | 2,250 | 2,337 | |
Laboratory Corp. of America Holdings | 2.200% | 8/23/17 | 3,139 | 3,163 | |
Laboratory Corp. of America Holdings | 2.500% | 11/1/18 | 1,425 | 1,447 | |
Laboratory Corp. of America Holdings | 2.625% | 2/1/20 | 900 | 920 | |
Life Technologies Corp. | 6.000% | 3/1/20 | 5,300 | 5,977 | |
Life Technologies Corp. | 5.000% | 1/15/21 | 225 | 249 | |
Mattel Inc. | 1.700% | 3/15/18 | 2,606 | 2,611 | |
Mattel Inc. | 2.350% | 5/6/19 | 2,220 | 2,255 | |
McKesson Corp. | 1.400% | 3/15/18 | 325 | 326 | |
McKesson Corp. | 7.500% | 2/15/19 | 1,989 | 2,284 | |
McKesson Corp. | 2.284% | 3/15/19 | 11,446 | 11,702 | |
McKesson Corp. | 4.750% | 3/1/21 | 3,097 | 3,419 | |
Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 825 | 906 | |
Mead Johnson Nutrition Co. | 3.000% | 11/15/20 | 12,850 | 13,421 | |
Medco Health Solutions Inc. | 7.125% | 3/15/18 | 9,035 | 9,861 | |
Medco Health Solutions Inc. | 4.125% | 9/15/20 | 4,876 | 5,255 | |
Medtronic Inc. | 1.500% | 3/15/18 | 2,800 | 2,824 | |
Medtronic Inc. | 1.375% | 4/1/18 | 10,140 | 10,201 | |
Medtronic Inc. | 5.600% | 3/15/19 | 4,001 | 4,463 | |
Medtronic Inc. | 2.500% | 3/15/20 | 26,250 | 27,225 | |
Medtronic Inc. | 4.125% | 3/15/21 | 2,500 | 2,755 | |
Merck & Co. Inc. | 1.100% | 1/31/18 | 13,550 | 13,606 | |
Merck & Co. Inc. | 1.300% | 5/18/18 | 2,710 | 2,736 | |
Merck & Co. Inc. | 1.850% | 2/10/20 | 5,345 | 5,466 | |
Merck & Co. Inc. | 3.875% | 1/15/21 | 9,550 | 10,476 | |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 6,325 | 7,032 | |
Molson Coors Brewing Co. | 1.450% | 7/15/19 | 2,250 | 2,255 | |
Mondelez International Inc. | 6.500% | 8/11/17 | 4,075 | 4,311 | |
Mondelez International Inc. | 6.125% | 2/1/18 | 4,349 | 4,681 | |
Mondelez International Inc. | 6.125% | 8/23/18 | 2,800 | 3,076 | |
Mondelez International Inc. | 2.250% | 2/1/19 | 5,625 | 5,762 | |
Mondelez International Inc. | 5.375% | 2/10/20 | 5,560 | 6,317 | |
Mylan Inc. | 2.600% | 6/24/18 | 4,305 | 4,360 | |
Mylan Inc. | 2.550% | 3/28/19 | 12,713 | 12,869 | |
5 | Mylan NV | 2.500% | 6/7/19 | 4,200 | 4,235 |
5 | Mylan NV | 3.150% | 6/15/21 | 6,375 | 6,438 |
Newell Brands Inc. | 2.050% | 12/1/17 | 2,275 | 2,293 | |
Newell Brands Inc. | 6.250% | 4/15/18 | 100 | 108 | |
Newell Brands Inc. | 2.150% | 10/15/18 | 2,350 | 2,383 | |
Newell Brands Inc. | 2.600% | 3/29/19 | 6,815 | 6,994 | |
Newell Brands Inc. | 2.875% | 12/1/19 | 6,500 | 6,696 | |
Newell Brands Inc. | 3.150% | 4/1/21 | 10,015 | 10,435 | |
Novartis Capital Corp. | 4.400% | 4/24/20 | 6,250 | 6,964 | |
Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 7,811 | 8,618 | |
PepsiCo Inc. | 1.125% | 7/17/17 | 4,268 | 4,279 | |
PepsiCo Inc. | 1.250% | 8/13/17 | 10,278 | 10,324 | |
PepsiCo Inc. | 1.000% | 10/13/17 | 4,100 | 4,114 | |
PepsiCo Inc. | 1.250% | 4/30/18 | 4,825 | 4,852 | |
PepsiCo Inc. | 5.000% | 6/1/18 | 17,798 | 19,149 | |
PepsiCo Inc. | 7.900% | 11/1/18 | 7,606 | 8,790 |
24
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
PepsiCo Inc. | 2.250% | 1/7/19 | 8,728 | 8,987 | |
PepsiCo Inc. | 4.500% | 1/15/20 | 1,100 | 1,218 | |
PepsiCo Inc. | 1.850% | 4/30/20 | 7,750 | 7,864 | |
PepsiCo Inc. | 2.150% | 10/14/20 | 15,550 | 15,971 | |
PepsiCo Inc. | 3.125% | 11/1/20 | 3,750 | 4,012 | |
Perrigo Co. plc | 2.300% | 11/8/18 | 5,550 | 5,601 | |
Perrigo Finance Unlimited Co. | 3.500% | 3/15/21 | 3,400 | 3,534 | |
Pfizer Inc. | 1.200% | 6/1/18 | 7,875 | 7,913 | |
Pfizer Inc. | 1.500% | 6/15/18 | 1,763 | 1,781 | |
Pfizer Inc. | 6.200% | 3/15/19 | 17,648 | 19,936 | |
Pfizer Inc. | 2.100% | 5/15/19 | 9,900 | 10,129 | |
Pfizer Inc. | 1.450% | 6/3/19 | 8,250 | 8,320 | |
Pfizer Inc. | 1.950% | 6/3/21 | 8,250 | 8,365 | |
Philip Morris International Inc. | 1.250% | 8/11/17 | 2,175 | 2,184 | |
Philip Morris International Inc. | 1.125% | 8/21/17 | 12,226 | 12,256 | |
Philip Morris International Inc. | 1.250% | 11/9/17 | 2,218 | 2,227 | |
Philip Morris International Inc. | 5.650% | 5/16/18 | 12,475 | 13,543 | |
Philip Morris International Inc. | 1.875% | 1/15/19 | 6,348 | 6,466 | |
Philip Morris International Inc. | 4.500% | 3/26/20 | 3,411 | 3,803 | |
Philip Morris International Inc. | 1.875% | 2/25/21 | 4,400 | 4,449 | |
Philip Morris International Inc. | 4.125% | 5/17/21 | 1,920 | 2,138 | |
4 | Procter & Gamble - Esop | 9.360% | 1/1/21 | 2,292 | 2,770 |
Procter & Gamble Co. | 1.600% | 11/15/18 | 374 | 382 | |
Procter & Gamble Co. | 4.700% | 2/15/19 | 10,051 | 11,008 | |
Procter & Gamble Co. | 1.900% | 11/1/19 | 4,095 | 4,216 | |
Procter & Gamble Co. | 1.850% | 2/2/21 | 1,575 | 1,613 | |
Quest Diagnostics Inc. | 2.700% | 4/1/19 | 2,900 | 2,982 | |
Quest Diagnostics Inc. | 2.500% | 3/30/20 | 2,700 | 2,722 | |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 340 | 375 | |
Reynolds American Inc. | 2.300% | 6/12/18 | 3,275 | 3,328 | |
Reynolds American Inc. | 8.125% | 6/23/19 | 3,425 | 4,063 | |
Reynolds American Inc. | 6.875% | 5/1/20 | 1,775 | 2,094 | |
Reynolds American Inc. | 3.250% | 6/12/20 | 16,355 | 17,288 | |
Sanofi | 1.250% | 4/10/18 | 11,663 | 11,738 | |
Sanofi | 4.000% | 3/29/21 | 13,716 | 15,142 | |
St. Jude Medical Inc. | 2.000% | 9/15/18 | 3,300 | 3,346 | |
St. Jude Medical Inc. | 2.800% | 9/15/20 | 3,300 | 3,409 | |
Stryker Corp. | 1.300% | 4/1/18 | 705 | 705 | |
Stryker Corp. | 2.000% | 3/8/19 | 5,900 | 5,987 | |
Stryker Corp. | 4.375% | 1/15/20 | 3,735 | 4,072 | |
Stryker Corp. | 2.625% | 3/15/21 | 10,300 | 10,651 | |
Sysco Corp. | 5.250% | 2/12/18 | 3,200 | 3,396 | |
Sysco Corp. | 1.900% | 4/1/19 | 6,000 | 6,072 | |
Sysco Corp. | 2.600% | 10/1/20 | 700 | 720 | |
Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 5,790 | 5,842 | |
Thermo Fisher Scientific Inc. | 1.850% | 1/15/18 | 7,600 | 7,652 | |
Thermo Fisher Scientific Inc. | 2.150% | 12/14/18 | 4,000 | 4,046 | |
Thermo Fisher Scientific Inc. | 2.400% | 2/1/19 | 1,550 | 1,579 | |
Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 1,375 | 1,510 | |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 6,330 | 6,976 | |
Tupperware Brands Corp. | 4.750% | 6/1/21 | 3,600 | 3,875 | |
Tyson Foods Inc. | 2.650% | 8/15/19 | 15,128 | 15,564 | |
Unilever Capital Corp. | 0.850% | 8/2/17 | 7,475 | 7,472 | |
Unilever Capital Corp. | 4.800% | 2/15/19 | 4,813 | 5,271 | |
Unilever Capital Corp. | 2.200% | 3/6/19 | 4,250 | 4,374 | |
Unilever Capital Corp. | 2.100% | 7/30/20 | 1,200 | 1,235 | |
Unilever Capital Corp. | 4.250% | 2/10/21 | 3,562 | 3,978 | |
Whirlpool Corp. | 1.650% | 11/1/17 | 1,000 | 1,006 | |
Whirlpool Corp. | 2.400% | 3/1/19 | 7,845 | 8,021 | |
Whirlpool Corp. | 4.850% | 6/15/21 | 2,000 | 2,246 | |
Zimmer Biomet Holdings Inc. | 2.000% | 4/1/18 | 8,900 | 8,974 | |
Zimmer Biomet Holdings Inc. | 4.625% | 11/30/19 | 1,075 | 1,169 | |
Zimmer Biomet Holdings Inc. | 2.700% | 4/1/20 | 9,368 | 9,463 | |
Zoetis Inc. | 1.875% | 2/1/18 | 3,675 | 3,687 |
25
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Zoetis Inc. | 3.450% | 11/13/20 | 3,225 | 3,360 |
Energy (2.2%) | ||||
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 11,294 | 11,887 |
Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 4,465 | 5,093 |
Anadarko Petroleum Corp. | 6.950% | 6/15/19 | 4,123 | 4,572 |
Anadarko Petroleum Corp. | 4.850% | 3/15/21 | 4,000 | 4,245 |
Apache Corp. | 6.900% | 9/15/18 | 6,750 | 7,426 |
Apache Corp. | 3.625% | 2/1/21 | 4,000 | 4,173 |
Boardwalk Pipelines LP | 5.500% | 2/1/17 | 2,025 | 2,052 |
BP Capital Markets plc | 1.375% | 11/6/17 | 5,914 | 5,933 |
BP Capital Markets plc | 1.674% | 2/13/18 | 5,938 | 5,984 |
BP Capital Markets plc | 1.375% | 5/10/18 | 16,625 | 16,654 |
BP Capital Markets plc | 2.241% | 9/26/18 | 5,025 | 5,126 |
BP Capital Markets plc | 4.750% | 3/10/19 | 5,800 | 6,284 |
BP Capital Markets plc | 2.237% | 5/10/19 | 22,578 | 23,145 |
BP Capital Markets plc | 2.315% | 2/13/20 | 8,750 | 8,954 |
BP Capital Markets plc | 4.500% | 10/1/20 | 7,950 | 8,795 |
BP Capital Markets plc | 4.742% | 3/11/21 | 8,000 | 8,993 |
Buckeye Partners LP | 6.050% | 1/15/18 | 650 | 686 |
Buckeye Partners LP | 2.650% | 11/15/18 | 1,125 | 1,133 |
Buckeye Partners LP | 4.875% | 2/1/21 | 1,410 | 1,484 |
Canadian Natural Resources Ltd. | 1.750% | 1/15/18 | 3,175 | 3,137 |
Canadian Natural Resources Ltd. | 5.900% | 2/1/18 | 1,630 | 1,714 |
Chevron Corp. | 1.344% | 11/9/17 | 16,500 | 16,568 |
Chevron Corp. | 1.345% | 11/15/17 | 10,604 | 10,657 |
Chevron Corp. | 1.104% | 12/5/17 | 12,294 | 12,315 |
Chevron Corp. | 1.365% | 3/2/18 | 9,700 | 9,753 |
Chevron Corp. | 1.718% | 6/24/18 | 17,800 | 17,967 |
Chevron Corp. | 1.790% | 11/16/18 | 6,800 | 6,891 |
Chevron Corp. | 4.950% | 3/3/19 | 3,383 | 3,706 |
Chevron Corp. | 1.561% | 5/16/19 | 2,500 | 2,526 |
Chevron Corp. | 2.193% | 11/15/19 | 13,893 | 14,270 |
Chevron Corp. | 1.961% | 3/3/20 | 10,110 | 10,242 |
Chevron Corp. | 2.427% | 6/24/20 | 4,600 | 4,752 |
Chevron Corp. | 2.419% | 11/17/20 | 7,100 | 7,319 |
Chevron Corp. | 2.100% | 5/16/21 | 5,500 | 5,602 |
Columbia Pipeline Group Inc. | 2.450% | 6/1/18 | 15,500 | 15,565 |
Columbia Pipeline Group Inc. | 3.300% | 6/1/20 | 1,000 | 1,035 |
ConocoPhillips | 6.650% | 7/15/18 | 2,280 | 2,485 |
ConocoPhillips | 5.750% | 2/1/19 | 9,475 | 10,412 |
ConocoPhillips | 6.000% | 1/15/20 | 300 | 341 |
ConocoPhillips Co. | 1.050% | 12/15/17 | 15,055 | 14,981 |
ConocoPhillips Co. | 1.500% | 5/15/18 | 9,700 | 9,728 |
ConocoPhillips Co. | 2.200% | 5/15/20 | 3,100 | 3,127 |
ConocoPhillips Co. | 4.200% | 3/15/21 | 5,000 | 5,403 |
Copano Energy LLC / Copano Energy Finance Corp. | 7.125% | 4/1/21 | 745 | 771 |
Devon Energy Corp. | 2.250% | 12/15/18 | 4,145 | 4,109 |
Devon Energy Corp. | 6.300% | 1/15/19 | 5,280 | 5,702 |
Dominion Gas Holdings LLC | 2.500% | 12/15/19 | 6,815 | 6,952 |
Dominion Gas Holdings LLC | 2.800% | 11/15/20 | 5,595 | 5,790 |
Enable Midstream Partners LP | 2.400% | 5/15/19 | 1,200 | 1,125 |
Enbridge Energy Partners LP | 6.500% | 4/15/18 | 7,075 | 7,510 |
Enbridge Energy Partners LP | 9.875% | 3/1/19 | 2,500 | 2,875 |
Enbridge Energy Partners LP | 4.375% | 10/15/20 | 2,150 | 2,217 |
Encana Corp. | 6.500% | 5/15/19 | 3,385 | 3,605 |
Energy Transfer Partners LP | 2.500% | 6/15/18 | 3,350 | 3,338 |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 13,035 | 13,869 |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 7,318 | 8,217 |
Energy Transfer Partners LP | 4.150% | 10/1/20 | 8,415 | 8,541 |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 1,625 | 1,682 |
EnLink Midstream Partners LP | 2.700% | 4/1/19 | 1,000 | 965 |
Enterprise Products Operating LLC | 6.300% | 9/15/17 | 2,166 | 2,288 |
Enterprise Products Operating LLC | 6.650% | 4/15/18 | 4,465 | 4,850 |
26
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Enterprise Products Operating LLC | 1.650% | 5/7/18 | 10,305 | 10,340 | |
Enterprise Products Operating LLC | 6.500% | 1/31/19 | 3,675 | 4,109 | |
Enterprise Products Operating LLC | 2.550% | 10/15/19 | 3,725 | 3,826 | |
Enterprise Products Operating LLC | 5.250% | 1/31/20 | 3,500 | 3,888 | |
Enterprise Products Operating LLC | 5.200% | 9/1/20 | 2,825 | 3,176 | |
Enterprise Products Operating LLC | 2.850% | 4/15/21 | 10,000 | 10,310 | |
4 | Enterprise Products Operating LLC | 7.034% | 1/15/68 | 7,822 | 8,194 |
EOG Resources Inc. | 5.875% | 9/15/17 | 10 | 11 | |
EOG Resources Inc. | 6.875% | 10/1/18 | 3,336 | 3,706 | |
EOG Resources Inc. | 5.625% | 6/1/19 | 4,350 | 4,805 | |
EOG Resources Inc. | 2.450% | 4/1/20 | 2,700 | 2,739 | |
EOG Resources Inc. | 4.100% | 2/1/21 | 9,840 | 10,679 | |
EQT Corp. | 6.500% | 4/1/18 | 838 | 873 | |
EQT Corp. | 8.125% | 6/1/19 | 6,830 | 7,525 | |
Exxon Mobil Corp. | 1.439% | 3/1/18 | 15,700 | 15,843 | |
Exxon Mobil Corp. | 1.305% | 3/6/18 | 8,275 | 8,333 | |
Exxon Mobil Corp. | 1.819% | 3/15/19 | 2,790 | 2,842 | |
Exxon Mobil Corp. | 1.912% | 3/6/20 | 22,560 | 23,002 | |
Exxon Mobil Corp. | 2.222% | 3/1/21 | 20,000 | 20,617 | |
FMC Technologies Inc. | 2.000% | 10/1/17 | 1,650 | 1,634 | |
Halliburton Co. | 1.000% | 8/1/16 | 2,150 | 2,150 | |
Halliburton Co. | 2.000% | 8/1/18 | 1,750 | 1,763 | |
Halliburton Co. | 5.900% | 9/15/18 | 4,675 | 5,076 | |
Halliburton Co. | 6.150% | 9/15/19 | 1,525 | 1,731 | |
Hess Corp. | 8.125% | 2/15/19 | 5,215 | 5,824 | |
Husky Energy Inc. | 7.250% | 12/15/19 | 400 | 450 | |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 10,903 | 11,509 | |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 12,352 | 12,348 | |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 3,850 | 4,311 | |
Kinder Morgan Energy Partners LP | 6.500% | 4/1/20 | 9,665 | 10,663 | |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/21 | 2,500 | 2,509 | |
Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 2,300 | 2,525 | |
Kinder Morgan Inc. | 2.000% | 12/1/17 | 3,000 | 2,985 | |
Kinder Morgan Inc. | 7.250% | 6/1/18 | 5,789 | 6,261 | |
Kinder Morgan Inc. | 6.500% | 9/15/20 | 2,225 | 2,456 | |
Magellan Midstream Partners LP | 6.550% | 7/15/19 | 685 | 773 | |
Marathon Oil Corp. | 6.000% | 10/1/17 | 12 | 12 | |
Marathon Oil Corp. | 5.900% | 3/15/18 | 7,100 | 7,384 | |
Marathon Oil Corp. | 2.700% | 6/1/20 | 9,900 | 9,306 | |
Marathon Petroleum Corp. | 2.700% | 12/14/18 | 500 | 511 | |
Marathon Petroleum Corp. | 3.400% | 12/15/20 | 2,500 | 2,584 | |
Marathon Petroleum Corp. | 5.125% | 3/1/21 | 7,410 | 8,149 | |
Nabors Industries Inc. | 6.150% | 2/15/18 | 7,075 | 7,217 | |
Nabors Industries Inc. | 9.250% | 1/15/19 | 925 | 983 | |
National Fuel Gas Co. | 8.750% | 5/1/19 | 2,000 | 2,268 | |
National Oilwell Varco Inc. | 1.350% | 12/1/17 | 4,150 | 4,121 | |
Noble Energy Inc. | 8.250% | 3/1/19 | 5,518 | 6,319 | |
Noble Energy Inc. | 5.625% | 5/1/21 | 500 | 522 | |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 2,150 | 2,158 | |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 15,134 | 16,597 | |
ONEOK Partners LP | 2.000% | 10/1/17 | 6,125 | 6,122 | |
ONEOK Partners LP | 3.200% | 9/15/18 | 500 | 506 | |
ONEOK Partners LP | 8.625% | 3/1/19 | 2,400 | 2,722 | |
Panhandle Eastern Pipe Line Co. LP | 6.200% | 11/1/17 | 3,000 | 3,121 | |
Panhandle Eastern Pipe Line Co. LP | 7.000% | 6/15/18 | 800 | 858 | |
Petro-Canada | 6.050% | 5/15/18 | 4,480 | 4,818 | |
Phillips 66 Partners LP | 2.646% | 2/15/20 | 1,600 | 1,608 | |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 2,920 | 3,158 | |
Pioneer Natural Resources Co. | 7.500% | 1/15/20 | 4,000 | 4,662 | |
Pioneer Natural Resources Co. | 3.450% | 1/15/21 | 3,700 | 3,815 | |
Plains All American Pipeline LP / PAA Finance Corp. | 6.500% | 5/1/18 | 1,930 | 2,047 | |
Plains All American Pipeline LP / PAA Finance Corp. | 8.750% | 5/1/19 | 2,000 | 2,283 | |
Plains All American Pipeline LP / PAA Finance Corp. | 2.600% | 12/15/19 | 2,100 | 2,042 | |
Plains All American Pipeline LP / PAA Finance Corp. | 5.750% | 1/15/20 | 7,110 | 7,606 |
27
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Plains All American Pipeline LP / PAA Finance Corp. | 5.000% | 2/1/21 | 4,975 | 5,240 |
Repsol Oil & Gas Canada Inc. | 7.750% | 6/1/19 | 4,425 | 4,790 |
Repsol Oil & Gas Canada Inc. | 3.750% | 2/1/21 | 2,150 | 1,959 |
Shell International Finance BV | 1.125% | 8/21/17 | 12,695 | 12,715 |
Shell International Finance BV | 1.250% | 11/10/17 | 2,000 | 2,006 |
Shell International Finance BV | 1.900% | 8/10/18 | 13,675 | 13,888 |
Shell International Finance BV | 1.625% | 11/10/18 | 6,300 | 6,360 |
Shell International Finance BV | 2.000% | 11/15/18 | 10,000 | 10,168 |
Shell International Finance BV | 1.375% | 5/10/19 | 12,000 | 12,040 |
Shell International Finance BV | 4.300% | 9/22/19 | 13,750 | 14,951 |
Shell International Finance BV | 2.125% | 5/11/20 | 14,000 | 14,261 |
Shell International Finance BV | 2.250% | 11/10/20 | 9,000 | 9,213 |
Shell International Finance BV | 1.875% | 5/10/21 | 8,000 | 8,030 |
Spectra Energy Capital LLC | 6.200% | 4/15/18 | 6,200 | 6,590 |
Spectra Energy Capital LLC | 8.000% | 10/1/19 | 675 | 773 |
Spectra Energy Partners LP | 2.950% | 9/25/18 | 1,728 | 1,763 |
Spectra Energy Partners LP | 4.600% | 6/15/21 | 1,850 | 2,010 |
Suncor Energy Inc. | 6.100% | 6/1/18 | 16,572 | 17,804 |
Sunoco Logistics Partners Operations LP | 4.400% | 4/1/21 | 3,000 | 3,144 |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 11,175 | 11,250 |
Total Capital International SA | 2.125% | 1/10/19 | 11,175 | 11,393 |
Total Capital International SA | 2.100% | 6/19/19 | 11,650 | 11,935 |
Total Capital International SA | 2.750% | 6/19/21 | 1,775 | 1,846 |
Total Capital SA | 2.125% | 8/10/18 | 5,771 | 5,890 |
Total Capital SA | 4.450% | 6/24/20 | 8,000 | 8,859 |
Total Capital SA | 4.125% | 1/28/21 | 2,975 | 3,268 |
TransCanada PipeLines Ltd. | 1.625% | 11/9/17 | 14,000 | 14,052 |
TransCanada PipeLines Ltd. | 1.875% | 1/12/18 | 6,850 | 6,884 |
TransCanada PipeLines Ltd. | 6.500% | 8/15/18 | 5,500 | 6,022 |
TransCanada PipeLines Ltd. | 3.125% | 1/15/19 | 5,500 | 5,685 |
TransCanada PipeLines Ltd. | 7.125% | 1/15/19 | 2,575 | 2,904 |
Valero Energy Corp. | 9.375% | 3/15/19 | 3,100 | 3,696 |
Western Gas Partners LP | 2.600% | 8/15/18 | 4,500 | 4,478 |
Western Gas Partners LP | 5.375% | 6/1/21 | 1,300 | 1,375 |
Williams Partners LP | 5.250% | 3/15/20 | 18,185 | 18,662 |
XTO Energy Inc. | 6.250% | 8/1/17 | 1,557 | 1,646 |
XTO Energy Inc. | 5.500% | 6/15/18 | 2,910 | 3,147 |
Other Industrial (0.0%) | ||||
Yale University Connecticut GO | 2.086% | 4/15/19 | 3,550 | 3,664 |
Technology (2.1%) | ||||
Adobe Systems Inc. | 4.750% | 2/1/20 | 1,900 | 2,103 |
Alphabet Inc. | 3.625% | 5/19/21 | 4,442 | 4,903 |
Altera Corp. | 2.500% | 11/15/18 | 15,555 | 16,059 |
Amphenol Corp. | 1.550% | 9/15/17 | 3,320 | 3,320 |
Amphenol Corp. | 2.550% | 1/30/19 | 8,435 | 8,594 |
Apple Inc. | 1.300% | 2/23/18 | 500 | 504 |
Apple Inc. | 1.000% | 5/3/18 | 28,013 | 28,072 |
Apple Inc. | 1.700% | 2/22/19 | 1,000 | 1,018 |
Apple Inc. | 2.100% | 5/6/19 | 11,793 | 12,133 |
Apple Inc. | 1.550% | 2/7/20 | 18,500 | 18,576 |
Apple Inc. | 2.000% | 5/6/20 | 22,350 | 22,906 |
Apple Inc. | 2.250% | 2/23/21 | 19,900 | 20,482 |
Apple Inc. | 2.850% | 5/6/21 | 14,592 | 15,421 |
Applied Materials Inc. | 2.625% | 10/1/20 | 5,700 | 5,923 |
Applied Materials Inc. | 4.300% | 6/15/21 | 3,450 | 3,847 |
Arrow Electronics Inc. | 3.000% | 3/1/18 | 2,000 | 2,020 |
Arrow Electronics Inc. | 6.000% | 4/1/20 | 1,299 | 1,447 |
Arrow Electronics Inc. | 5.125% | 3/1/21 | 1,125 | 1,224 |
Autodesk Inc. | 1.950% | 12/15/17 | 4,435 | 4,447 |
Autodesk Inc. | 3.125% | 6/15/20 | 1,975 | 2,029 |
Baidu Inc. | 2.250% | 11/28/17 | 5,719 | 5,773 |
Baidu Inc. | 3.250% | 8/6/18 | 5,955 | 6,106 |
28
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Baidu Inc. | 2.750% | 6/9/19 | 7,300 | 7,414 | |
Baidu Inc. | 3.000% | 6/30/20 | 4,600 | 4,703 | |
CA Inc. | 5.375% | 12/1/19 | 825 | 908 | |
CA Inc. | 3.600% | 8/1/20 | 4,325 | 4,513 | |
CDK Global Inc. | 3.300% | 10/15/19 | 1,500 | 1,502 | |
Cisco Systems Inc. | 1.400% | 2/28/18 | 7,100 | 7,164 | |
Cisco Systems Inc. | 1.650% | 6/15/18 | 8,650 | 8,762 | |
Cisco Systems Inc. | 4.950% | 2/15/19 | 9,876 | 10,847 | |
Cisco Systems Inc. | 1.600% | 2/28/19 | 4,700 | 4,772 | |
Cisco Systems Inc. | 2.125% | 3/1/19 | 18,000 | 18,493 | |
Cisco Systems Inc. | 4.450% | 1/15/20 | 13,344 | 14,733 | |
Cisco Systems Inc. | 2.450% | 6/15/20 | 22,770 | 23,708 | |
Cisco Systems Inc. | 2.200% | 2/28/21 | 14,000 | 14,430 | |
Cisco Systems Inc. | 2.900% | 3/4/21 | 2,350 | 2,496 | |
Corning Inc. | 1.450% | 11/15/17 | 1,750 | 1,749 | |
Corning Inc. | 6.625% | 5/15/19 | 5,000 | 5,633 | |
Corning Inc. | 4.250% | 8/15/20 | 832 | 900 | |
5 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 3.480% | 6/1/19 | 25,300 | 25,879 |
5 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 4.420% | 6/15/21 | 23,520 | 24,174 |
Dun & Bradstreet Corp. | 3.250% | 12/1/17 | 2,100 | 2,116 | |
EMC Corp. | 1.875% | 6/1/18 | 19,475 | 19,163 | |
EMC Corp. | 2.650% | 6/1/20 | 4,072 | 3,887 | |
Fidelity National Information Services Inc. | 1.450% | 6/5/17 | 4,265 | 4,261 | |
Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 1,882 | 1,900 | |
Fidelity National Information Services Inc. | 2.850% | 10/15/18 | 3,775 | 3,875 | |
Fidelity National Information Services Inc. | 3.625% | 10/15/20 | 13,595 | 14,374 | |
Fiserv Inc. | 2.700% | 6/1/20 | 2,800 | 2,910 | |
Fiserv Inc. | 4.625% | 10/1/20 | 3,047 | 3,357 | |
Flextronics International Ltd. | 4.625% | 2/15/20 | 3,150 | 3,260 | |
5 | Hewlett Packard Enterprise Co. | 2.450% | 10/5/17 | 14,425 | 14,605 |
5 | Hewlett Packard Enterprise Co. | 2.850% | 10/5/18 | 19,325 | 19,764 |
5 | Hewlett Packard Enterprise Co. | 3.600% | 10/15/20 | 29,850 | 31,170 |
HP Inc. | 3.750% | 12/1/20 | 400 | 423 | |
HP Inc. | 4.650% | 12/9/21 | 3,041 | 3,285 | |
Intel Corp. | 1.350% | 12/15/17 | 34,755 | 34,962 | |
Intel Corp. | 2.450% | 7/29/20 | 3,350 | 3,480 | |
International Business Machines Corp. | 5.700% | 9/14/17 | 10,753 | 11,357 | |
International Business Machines Corp. | 1.125% | 2/6/18 | 3,425 | 3,439 | |
International Business Machines Corp. | 1.250% | 2/8/18 | 8,625 | 8,679 | |
International Business Machines Corp. | 7.625% | 10/15/18 | 7,045 | 8,040 | |
International Business Machines Corp. | 1.950% | 2/12/19 | 13,275 | 13,610 | |
International Business Machines Corp. | 1.800% | 5/17/19 | 21,360 | 21,741 | |
International Business Machines Corp. | 1.625% | 5/15/20 | 1,696 | 1,713 | |
International Business Machines Corp. | 2.250% | 2/19/21 | 7,000 | 7,214 | |
Jabil Circuit Inc. | 8.250% | 3/15/18 | 1,350 | 1,475 | |
Jabil Circuit Inc. | 5.625% | 12/15/20 | 2,613 | 2,786 | |
Juniper Networks Inc. | 3.125% | 2/26/19 | 2,800 | 2,880 | |
Juniper Networks Inc. | 3.300% | 6/15/20 | 1,550 | 1,604 | |
Juniper Networks Inc. | 4.600% | 3/15/21 | 1,575 | 1,691 | |
Keysight Technologies Inc. | 3.300% | 10/30/19 | 3,200 | 3,241 | |
KLA-Tencor Corp. | 2.375% | 11/1/17 | 1,275 | 1,287 | |
KLA-Tencor Corp. | 3.375% | 11/1/19 | 1,600 | 1,659 | |
Lam Research Corp. | 2.750% | 3/15/20 | 3,610 | 3,695 | |
Lam Research Corp. | 2.800% | 6/15/21 | 5,100 | 5,249 | |
Lexmark International Inc. | 6.650% | 6/1/18 | 2,800 | 2,941 | |
Maxim Integrated Products Inc. | 2.500% | 11/15/18 | 3,003 | 3,053 | |
Microsoft Corp. | 0.875% | 11/15/17 | 1,118 | 1,120 | |
Microsoft Corp. | 1.000% | 5/1/18 | 350 | 350 | |
Microsoft Corp. | 1.300% | 11/3/18 | 24,842 | 25,068 | |
Microsoft Corp. | 4.200% | 6/1/19 | 7,075 | 7,731 | |
Microsoft Corp. | 1.850% | 2/12/20 | 10,000 | 10,185 | |
Microsoft Corp. | 3.000% | 10/1/20 | 900 | 960 | |
Microsoft Corp. | 2.000% | 11/3/20 | 18,075 | 18,542 | |
Microsoft Corp. | 4.000% | 2/8/21 | 200 | 223 |
29
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
National Semiconductor Corp. | 6.600% | 6/15/17 | 3,325 | 3,500 | |
NetApp Inc. | 2.000% | 12/15/17 | 4,850 | 4,874 | |
NetApp Inc. | 3.375% | 6/15/21 | 1,975 | 2,011 | |
Oracle Corp. | 1.200% | 10/15/17 | 25,456 | 25,538 | |
Oracle Corp. | 5.750% | 4/15/18 | 6,455 | 6,988 | |
Oracle Corp. | 2.375% | 1/15/19 | 9,856 | 10,147 | |
Oracle Corp. | 5.000% | 7/8/19 | 13,950 | 15,474 | |
Oracle Corp. | 2.250% | 10/8/19 | 19,975 | 20,595 | |
Oracle Corp. | 3.875% | 7/15/20 | 9,625 | 10,529 | |
Oracle Corp. | 1.900% | 9/15/21 | 13,450 | 13,494 | |
Pitney Bowes Inc. | 5.750% | 9/15/17 | 2,200 | 2,298 | |
Pitney Bowes Inc. | 5.600% | 3/15/18 | 1,825 | 1,939 | |
Pitney Bowes Inc. | 6.250% | 3/15/19 | 4,549 | 5,021 | |
QUALCOMM Inc. | 1.400% | 5/18/18 | 9,500 | 9,585 | |
QUALCOMM Inc. | 2.250% | 5/20/20 | 10,072 | 10,358 | |
Seagate HDD Cayman | 3.750% | 11/15/18 | 5,667 | 5,667 | |
Symantec Corp. | 4.200% | 9/15/20 | 2,555 | 2,664 | |
Tech Data Corp. | 3.750% | 9/21/17 | 2,500 | 2,561 | |
Texas Instruments Inc. | 1.650% | 8/3/19 | 3,695 | 3,746 | |
Texas Instruments Inc. | 1.750% | 5/1/20 | 100 | 102 | |
Total System Services Inc. | 2.375% | 6/1/18 | 3,428 | 3,454 | |
Total System Services Inc. | 3.800% | 4/1/21 | 12,275 | 12,997 | |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 8,099 | 8,614 | |
Tyco Electronics Group SA | 2.350% | 8/1/19 | 3,450 | 3,505 | |
Tyco Electronics Group SA | 4.875% | 1/15/21 | 5,602 | 6,170 | |
Xerox Corp. | 6.350% | 5/15/18 | 1,029 | 1,094 | |
Xerox Corp. | 2.750% | 3/15/19 | 13,500 | 13,422 | |
Xerox Corp. | 5.625% | 12/15/19 | 1,075 | 1,150 | |
Xerox Corp. | 2.800% | 5/15/20 | 2,725 | 2,625 | |
Xerox Corp. | 4.500% | 5/15/21 | 2,450 | 2,471 | |
Xilinx Inc. | 2.125% | 3/15/19 | 4,825 | 4,891 | |
Xilinx Inc. | 3.000% | 3/15/21 | 1,570 | 1,645 | |
Transportation (0.3%) | |||||
Burlington Northern Santa Fe LLC | 5.650% | 5/1/17 | 1,025 | 1,065 | |
Burlington Northern Santa Fe LLC | 5.750% | 3/15/18 | 5,821 | 6,276 | |
Burlington Northern Santa Fe LLC | 4.700% | 10/1/19 | 100 | 111 | |
Burlington Northern Santa Fe LLC | 3.600% | 9/1/20 | 175 | 188 | |
Canadian National Railway Co. | 5.850% | 11/15/17 | 175 | 186 | |
Canadian National Railway Co. | 5.550% | 5/15/18 | 300 | 324 | |
Canadian National Railway Co. | 5.550% | 3/1/19 | 625 | 694 | |
Canadian Pacific Railway Co. | 6.500% | 5/15/18 | 494 | 534 | |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 6,705 | 7,754 | |
4 | Continental Airlines 2009-2 Class A Pass Through Trust | 7.250% | 5/10/21 | 2,406 | 2,740 |
4 | Continental Airlines 2010-1 Class A Pass Through Trust | 4.750% | 7/12/22 | 1,709 | 1,816 |
CSX Corp. | 6.250% | 3/15/18 | 9,400 | 10,177 | |
CSX Corp. | 7.375% | 2/1/19 | 2,388 | 2,748 | |
CSX Corp. | 4.250% | 6/1/21 | 1,275 | 1,399 | |
4 | Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 1,920 | 2,170 |
4 | Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 11/23/20 | 1,453 | 1,529 |
4 | Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 1,007 | 1,070 |
FedEx Corp. | 8.000% | 1/15/19 | 1,940 | 2,257 | |
JB Hunt Transport Services Inc. | 2.400% | 3/15/19 | 2,400 | 2,432 | |
5 | Kansas City Southern | 2.350% | 5/15/20 | 2,150 | 2,057 |
Norfolk Southern Corp. | 5.750% | 4/1/18 | 3,278 | 3,530 | |
Norfolk Southern Corp. | 5.900% | 6/15/19 | 2,625 | 2,947 | |
4 | Northwest Airlines 2007-1 Class A Pass Through Trust | 7.027% | 5/1/21 | 978 | 1,103 |
Ryder System Inc. | 2.500% | 3/1/18 | 2,650 | 2,692 | |
Ryder System Inc. | 2.450% | 11/15/18 | 7,925 | 8,059 | |
Ryder System Inc. | 2.350% | 2/26/19 | 4,135 | 4,179 | |
Ryder System Inc. | 2.550% | 6/1/19 | 350 | 356 | |
Ryder System Inc. | 2.450% | 9/3/19 | 6,200 | 6,307 | |
Ryder System Inc. | 2.500% | 5/11/20 | 3,800 | 3,872 | |
Ryder System Inc. | 2.875% | 9/1/20 | 1,800 | 1,838 |
30
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Southwest Airlines Co. | 2.750% | 11/6/19 | 4,600 | 4,760 |
Southwest Airlines Co. | 2.650% | 11/5/20 | 1,670 | 1,722 |
Union Pacific Corp. | 5.750% | 11/15/17 | 2,000 | 2,124 |
Union Pacific Corp. | 5.700% | 8/15/18 | 2,650 | 2,902 |
Union Pacific Corp. | 2.250% | 2/15/19 | 3,452 | 3,541 |
Union Pacific Corp. | 1.800% | 2/1/20 | 3,800 | 3,859 |
Union Pacific Corp. | 2.250% | 6/19/20 | 6,650 | 6,840 |
Union Pacific Corp. | 4.000% | 2/1/21 | 2,700 | 2,978 |
United Parcel Service Inc. | 1.125% | 10/1/17 | 500 | 502 |
United Parcel Service Inc. | 5.500% | 1/15/18 | 8,210 | 8,776 |
United Parcel Service Inc. | 5.125% | 4/1/19 | 11,061 | 12,237 |
United Parcel Service Inc. | 3.125% | 1/15/21 | 5,482 | 5,874 |
6,558,140 | ||||
Utilities (1.5%) | ||||
Electric (1.4%) | ||||
Alabama Power Co. | 5.500% | 10/15/17 | 700 | 739 |
Ameren Corp. | 2.700% | 11/15/20 | 6,750 | 6,948 |
Ameren Illinois Co. | 6.125% | 11/15/17 | 2,000 | 2,138 |
American Electric Power Co. Inc. | 1.650% | 12/15/17 | 6,250 | 6,262 |
Appalachian Power Co. | 4.600% | 3/30/21 | 4,092 | 4,513 |
Arizona Public Service Co. | 8.750% | 3/1/19 | 2,535 | 3,006 |
Arizona Public Service Co. | 2.200% | 1/15/20 | 4,847 | 4,966 |
Atlantic City Electric Co. | 7.750% | 11/15/18 | 1,550 | 1,779 |
Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 4,525 | 4,881 |
Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 1,825 | 1,855 |
Berkshire Hathaway Energy Co. | 2.400% | 2/1/20 | 3,650 | 3,751 |
Black Hills Corp. | 2.500% | 1/11/19 | 1,650 | 1,684 |
CenterPoint Energy Houston Electric LLC | 1.850% | 6/1/21 | 2,000 | 2,021 |
CenterPoint Energy Inc. | 6.500% | 5/1/18 | 2,550 | 2,764 |
Cleveland Electric Illuminating Co. | 5.700% | 4/1/17 | 519 | 533 |
Cleveland Electric Illuminating Co. | 8.875% | 11/15/18 | 900 | 1,053 |
CMS Energy Corp. | 6.550% | 7/17/17 | 2,500 | 2,636 |
CMS Energy Corp. | 5.050% | 2/15/18 | 2,800 | 2,964 |
CMS Energy Corp. | 8.750% | 6/15/19 | 4,925 | 5,937 |
CMS Energy Corp. | 6.250% | 2/1/20 | 1,000 | 1,152 |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 2,525 | 2,680 |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 832 | 899 |
Commonwealth Edison Co. | 2.150% | 1/15/19 | 4,375 | 4,462 |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 3,651 | 3,984 |
Connecticut Light & Power Co. | 5.650% | 5/1/18 | 780 | 843 |
Connecticut Light & Power Co. | 5.500% | 2/1/19 | 100 | 111 |
Consolidated Edison Co. of New York Inc. | 5.850% | 4/1/18 | 6,095 | 6,593 |
Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 2,025 | 2,310 |
Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 3,550 | 4,053 |
Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 425 | 472 |
Consolidated Edison Inc. | 2.000% | 5/15/21 | 3,175 | 3,210 |
Constellation Energy Group Inc. | 5.150% | 12/1/20 | 3,035 | 3,395 |
Consumers Energy Co. | 5.650% | 9/15/18 | 2,625 | 2,876 |
Consumers Energy Co. | 6.125% | 3/15/19 | 8,600 | 9,752 |
Consumers Energy Co. | 6.700% | 9/15/19 | 400 | 467 |
Dominion Resources Inc. | 1.400% | 9/15/17 | 3,700 | 3,697 |
Dominion Resources Inc. | 6.400% | 6/15/18 | 864 | 943 |
Dominion Resources Inc. | 2.962% | 7/1/19 | 4,700 | 4,789 |
Dominion Resources Inc. | 5.200% | 8/15/19 | 1,650 | 1,828 |
Dominion Resources Inc. | 2.500% | 12/1/19 | 4,900 | 5,007 |
Dominion Resources Inc. | 4.450% | 3/15/21 | 6,439 | 7,117 |
DTE Electric Co. | 5.600% | 6/15/18 | 35 | 38 |
DTE Electric Co. | 3.450% | 10/1/20 | 1,855 | 1,996 |
DTE Electric Co. | 3.900% | 6/1/21 | 925 | 1,017 |
DTE Energy Co. | 2.400% | 12/1/19 | 3,150 | 3,212 |
Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 6,702 | 7,173 |
Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 840 | 952 |
Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 2,800 | 3,112 |
31
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 2,600 | 2,870 | |
Duke Energy Corp. | 1.625% | 8/15/17 | 7,647 | 7,687 | |
Duke Energy Corp. | 2.100% | 6/15/18 | 4,100 | 4,137 | |
Duke Energy Corp. | 6.250% | 6/15/18 | 695 | 757 | |
Duke Energy Corp. | 5.050% | 9/15/19 | 3,250 | 3,582 | |
Duke Energy Florida LLC | 5.650% | 6/15/18 | 4,850 | 5,273 | |
Duke Energy Indiana LLC | 3.750% | 7/15/20 | 3,874 | 4,207 | |
Duke Energy Ohio Inc. | 5.450% | 4/1/19 | 2,743 | 3,045 | |
Duke Energy Progress LLC | 5.300% | 1/15/19 | 4,075 | 4,487 | |
Edison International | 3.750% | 9/15/17 | 932 | 960 | |
5 | Emera US Finance LP | 2.150% | 6/15/19 | 2,600 | 2,632 |
5 | Emera US Finance LP | 2.700% | 6/15/21 | 4,200 | 4,281 |
Entergy Corp. | 5.125% | 9/15/20 | 5,725 | 6,324 | |
Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 7,000 | 7,597 | |
Entergy Gulf States Louisiana LLC | 3.950% | 10/1/20 | 500 | 544 | |
Entergy Texas Inc. | 7.125% | 2/1/19 | 4,435 | 5,009 | |
Eversource Energy | 1.450% | 5/1/18 | 4,015 | 4,021 | |
Eversource Energy | 4.500% | 11/15/19 | 2,425 | 2,658 | |
Eversource Energy | 2.500% | 3/15/21 | 2,300 | 2,368 | |
Exelon Corp. | 2.850% | 6/15/20 | 3,500 | 3,617 | |
Exelon Corp. | 2.450% | 4/15/21 | 4,150 | 4,213 | |
Exelon Generation Co. LLC | 6.200% | 10/1/17 | 6,091 | 6,438 | |
Exelon Generation Co. LLC | 5.200% | 10/1/19 | 2,150 | 2,379 | |
Exelon Generation Co. LLC | 2.950% | 1/15/20 | 9,500 | 9,766 | |
Exelon Generation Co. LLC | 4.000% | 10/1/20 | 625 | 667 | |
Florida Power & Light Co. | 5.550% | 11/1/17 | 1,850 | 1,958 | |
Georgia Power Co. | 5.400% | 6/1/18 | 3,510 | 3,783 | |
Georgia Power Co. | 1.950% | 12/1/18 | 8,725 | 8,869 | |
Georgia Power Co. | 2.400% | 4/1/21 | 5,700 | 5,891 | |
Great Plains Energy Inc. | 4.850% | 6/1/21 | 4,700 | 5,167 | |
Indiana Michigan Power Co. | 7.000% | 3/15/19 | 4,772 | 5,422 | |
Integrys Holding Inc. | 4.170% | 11/1/20 | 600 | 660 | |
Jersey Central Power & Light Co. | 5.650% | 6/1/17 | 1,550 | 1,605 | |
Kansas City Power & Light Co. | 5.850% | 6/15/17 | 200 | 207 | |
Kansas City Power & Light Co. | 7.150% | 4/1/19 | 5,200 | 5,976 | |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 6,470 | 6,951 | |
Metropolitan Edison Co. | 7.700% | 1/15/19 | 2,423 | 2,739 | |
MidAmerican Energy Co. | 5.950% | 7/15/17 | 925 | 970 | |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 2/1/18 | 10,535 | 11,241 | |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 225 | 272 | |
National Rural Utilities Cooperative Finance Corp. | 2.150% | 2/1/19 | 9,250 | 9,459 | |
National Rural Utilities Cooperative Finance Corp. | 1.650% | 2/8/19 | 500 | 506 | |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/15/19 | 400 | 412 | |
National Rural Utilities Cooperative Finance Corp. | 2.000% | 1/27/20 | 7,524 | 7,657 | |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/1/20 | 3,435 | 3,554 | |
Nevada Power Co. | 6.500% | 5/15/18 | 4,225 | 4,638 | |
Nevada Power Co. | 6.500% | 8/1/18 | 6,774 | 7,499 | |
Nevada Power Co. | 7.125% | 3/15/19 | 2,200 | 2,541 | |
NextEra Energy Capital Holdings Inc. | 2.056% | 9/1/17 | 557 | 561 | |
NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 2,850 | 3,158 | |
NextEra Energy Capital Holdings Inc. | 2.300% | 4/1/19 | 2,500 | 2,547 | |
NextEra Energy Capital Holdings Inc. | 2.400% | 9/15/19 | 3,150 | 3,214 | |
NextEra Energy Capital Holdings Inc. | 2.700% | 9/15/19 | 3,000 | 3,082 | |
NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 3,525 | 3,848 | |
4 | NextEra Energy Capital Holdings Inc. | 6.650% | 6/15/67 | 5,050 | 4,116 |
Northern States Power Co. | 5.250% | 3/1/18 | 2,337 | 2,500 | |
Northern States Power Co. | 2.200% | 8/15/20 | 2,300 | 2,378 | |
NorthWestern Corp. | 6.340% | 4/1/19 | 2,000 | 2,247 | |
NSTAR Electric Co. | 5.625% | 11/15/17 | 3,025 | 3,205 | |
Ohio Power Co. | 6.050% | 5/1/18 | 4,990 | 5,389 | |
Oncor Electric Delivery Co. LLC | 5.000% | 9/30/17 | 2,000 | 2,090 | |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 1,215 | 1,353 | |
Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 4,560 | 4,634 | |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 11,834 | 12,558 |
32
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 2,625 | 3,028 | |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 6,910 | 7,439 | |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 2,940 | 3,257 | |
PacifiCorp | 5.650% | 7/15/18 | 6,053 | 6,618 | |
PacifiCorp | 5.500% | 1/15/19 | 5,740 | 6,327 | |
PacifiCorp | 3.850% | 6/15/21 | 2,600 | 2,865 | |
PECO Energy Co. | 5.350% | 3/1/18 | 3,787 | 4,048 | |
Pennsylvania Electric Co. | 6.050% | 9/1/17 | 2,600 | 2,732 | |
Pennsylvania Electric Co. | 5.200% | 4/1/20 | 1,550 | 1,635 | |
PG&E Corp. | 2.400% | 3/1/19 | 6,100 | 6,216 | |
Portland General Electric Co. | 6.100% | 4/15/19 | 2,855 | 3,205 | |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 10,495 | 10,549 | |
Progress Energy Inc. | 7.050% | 3/15/19 | 1,950 | 2,226 | |
Progress Energy Inc. | 4.875% | 12/1/19 | 2,736 | 3,012 | |
Progress Energy Inc. | 4.400% | 1/15/21 | 4,472 | 4,895 | |
PSEG Power LLC | 5.125% | 4/15/20 | 4,037 | 4,419 | |
PSEG Power LLC | 3.000% | 6/15/21 | 4,000 | 4,069 | |
Public Service Co. of Colorado | 5.125% | 6/1/19 | 2,925 | 3,263 | |
Public Service Co. of Colorado | 3.200% | 11/15/20 | 1,800 | 1,927 | |
Public Service Co. of New Mexico | 7.950% | 5/15/18 | 3,531 | 3,909 | |
Public Service Co. of Oklahoma | 5.150% | 12/1/19 | 1,725 | 1,920 | |
Public Service Co. of Oklahoma | 4.400% | 2/1/21 | 796 | 872 | |
Public Service Electric & Gas Co. | 2.300% | 9/15/18 | 11,725 | 11,992 | |
Public Service Electric & Gas Co. | 2.000% | 8/15/19 | 3,000 | 3,074 | |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 1,375 | 1,478 | |
Public Service Electric & Gas Co. | 1.900% | 3/15/21 | 2,100 | 2,141 | |
Puget Energy Inc. | 6.500% | 12/15/20 | 4,100 | 4,779 | |
SCANA Corp. | 4.750% | 5/15/21 | 3,875 | 4,139 | |
South Carolina Electric & Gas Co. | 5.250% | 11/1/18 | 5,433 | 5,917 | |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 813 | 908 | |
Southern California Edison Co. | 5.500% | 8/15/18 | 5,565 | 6,088 | |
Southern California Edison Co. | 3.875% | 6/1/21 | 3,500 | 3,858 | |
Southern Co. | 1.300% | 8/15/17 | 2,350 | 2,349 | |
Southern Co. | 1.550% | 7/1/18 | 3,775 | 3,800 | |
Southern Co. | 1.850% | 7/1/19 | 5,500 | 5,570 | |
Southern Co. | 2.150% | 9/1/19 | 2,675 | 2,723 | |
Southern Co. | 2.750% | 6/15/20 | 4,850 | 5,030 | |
Southern Co. | 2.350% | 7/1/21 | 2,200 | 2,243 | |
Southern Power Co. | 1.850% | 12/1/17 | 8,000 | 8,069 | |
Southern Power Co. | 1.500% | 6/1/18 | 2,400 | 2,412 | |
Southern Power Co. | 2.375% | 6/1/20 | 2,000 | 2,032 | |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 250 | 267 | |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 3,772 | 4,209 | |
Tampa Electric Co. | 6.100% | 5/15/18 | 2,845 | 3,079 | |
Tampa Electric Co. | 5.400% | 5/15/21 | 1,900 | 2,176 | |
TECO Finance Inc. | 5.150% | 3/15/20 | 5,100 | 5,668 | |
TransAlta Corp. | 6.900% | 5/15/18 | 2,350 | 2,431 | |
Union Electric Co. | 6.700% | 2/1/19 | 2,025 | 2,302 | |
Virginia Electric & Power Co. | 5.950% | 9/15/17 | 2,837 | 3,003 | |
Virginia Electric & Power Co. | 1.200% | 1/15/18 | 6,330 | 6,338 | |
Virginia Electric & Power Co. | 5.400% | 4/30/18 | 379 | 407 | |
WEC Energy Group Inc. | 1.650% | 6/15/18 | 1,800 | 1,814 | |
WEC Energy Group Inc. | 2.450% | 6/15/20 | 2,000 | 2,052 | |
4 | WEC Energy Group Inc. | 6.250% | 5/15/67 | 2,400 | 1,878 |
Wisconsin Electric Power Co. | 1.700% | 6/15/18 | 500 | 504 | |
Wisconsin Electric Power Co. | 4.250% | 12/15/19 | 350 | 382 | |
Wisconsin Power & Light Co. | 5.000% | 7/15/19 | 2,260 | 2,477 | |
Wisconsin Public Service Corp. | 1.650% | 12/4/18 | 6,525 | 6,617 | |
Xcel Energy Inc. | 4.700% | 5/15/20 | 5,235 | 5,790 | |
Xcel Energy Inc. | 2.400% | 3/15/21 | 3,800 | 3,909 | |
Natural Gas (0.1%) | |||||
AGL Capital Corp. | 5.250% | 8/15/19 | 225 | 246 | |
Atmos Energy Corp. | 6.350% | 6/15/17 | 45 | 47 |
33
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
British Transco Finance Inc. | 6.625% | 6/1/18 | 350 | 385 | |
CenterPoint Energy Resources Corp. | 6.125% | 11/1/17 | 3,587 | 3,801 | |
CenterPoint Energy Resources Corp. | 6.000% | 5/15/18 | 5,310 | 5,725 | |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 3,150 | 3,420 | |
NiSource Finance Corp. | 6.400% | 3/15/18 | 7,840 | 8,486 | |
NiSource Finance Corp. | 6.800% | 1/15/19 | 1,888 | 2,123 | |
NiSource Finance Corp. | 5.450% | 9/15/20 | 200 | 227 | |
ONE Gas Inc. | 2.070% | 2/1/19 | 5,675 | 5,760 | |
Sempra Energy | 6.150% | 6/15/18 | 11,105 | 12,080 | |
Sempra Energy | 9.800% | 2/15/19 | 3,445 | 4,148 | |
Sempra Energy | 2.400% | 3/15/20 | 3,118 | 3,154 | |
Sempra Energy | 2.850% | 11/15/20 | 3,350 | 3,475 | |
Other Utility (0.0%) | |||||
American Water Capital Corp. | 6.085% | 10/15/17 | 200 | 212 | |
678,571 | |||||
Total Corporate Bonds (Cost $12,154,916) | 12,338,532 | ||||
Sovereign Bonds (U.S. Dollar-Denominated) (7.6%) | |||||
African Development Bank | 1.125% | 3/15/17 | 9,085 | 9,110 | |
African Development Bank | 0.875% | 5/15/17 | 7,000 | 7,016 | |
African Development Bank | 0.875% | 3/15/18 | 30,500 | 30,568 | |
African Development Bank | 1.625% | 10/2/18 | 6,100 | 6,212 | |
African Development Bank | 1.125% | 3/4/19 | 2,525 | 2,537 | |
African Development Bank | 1.375% | 2/12/20 | 3,650 | 3,692 | |
Agricultural Bank Of China | 2.000% | 5/21/18 | 2,250 | 2,265 | |
Agricultural Bank Of China | 2.750% | 5/21/20 | 2,100 | 2,157 | |
Asian Development Bank | 5.250% | 6/12/17 | 3,300 | 3,441 | |
Asian Development Bank | 0.750% | 7/28/17 | 24,070 | 24,087 | |
Asian Development Bank | 0.875% | 4/26/18 | 18,000 | 18,042 | |
Asian Development Bank | 1.125% | 6/5/18 | 22,000 | 22,117 | |
Asian Development Bank | 5.593% | 7/16/18 | 6,380 | 6,987 | |
Asian Development Bank | 1.750% | 9/11/18 | 7,550 | 7,707 | |
Asian Development Bank | 1.500% | 9/28/18 | 600 | 609 | |
Asian Development Bank | 1.875% | 10/23/18 | 4,260 | 4,365 | |
Asian Development Bank | 1.375% | 1/15/19 | 17,500 | 17,683 | |
Asian Development Bank | 1.750% | 3/21/19 | 13,200 | 13,520 | |
Asian Development Bank | 1.875% | 4/12/19 | 3,900 | 4,005 | |
Asian Development Bank | 1.500% | 1/22/20 | 15,400 | 15,623 | |
Asian Development Bank | 1.375% | 3/23/20 | 4,000 | 4,047 | |
Asian Development Bank | 1.625% | 8/26/20 | 12,170 | 12,397 | |
Asian Development Bank | 1.625% | 3/16/21 | 21,850 | 22,280 | |
5 | Bank of England | 1.250% | 3/14/19 | 5,500 | 5,549 |
Canada | 1.125% | 3/19/18 | 21,500 | 21,649 | |
Canada | 1.625% | 2/27/19 | 13,670 | 13,938 | |
CNOOC Finance 2013 Ltd. | 1.750% | 5/9/18 | 9,475 | 9,483 | |
CNOOC Finance 2015 Australia Pty Ltd. | 2.625% | 5/5/20 | 2,825 | 2,836 | |
CNOOC Nexen Finance 2014 ULC | 1.625% | 4/30/17 | 7,300 | 7,309 | |
Corp. Andina de Fomento | 5.750% | 1/12/17 | 1,415 | 1,448 | |
Corp. Andina de Fomento | 1.500% | 8/8/17 | 15,500 | 15,523 | |
Corp. Andina de Fomento | 2.000% | 5/10/19 | 5,000 | 5,027 | |
Corp. Andina de Fomento | 8.125% | 6/4/19 | 4,705 | 5,551 | |
Council Of Europe Development Bank | 1.500% | 6/19/17 | 10,275 | 10,351 | |
Council Of Europe Development Bank | 1.000% | 3/7/18 | 6,075 | 6,093 | |
Council Of Europe Development Bank | 1.125% | 5/31/18 | 6,775 | 6,808 | |
Council Of Europe Development Bank | 1.750% | 11/14/19 | 2,000 | 2,040 | |
Council Of Europe Development Bank | 1.625% | 3/10/20 | 10,105 | 10,291 | |
Council Of Europe Development Bank | 1.625% | 3/16/21 | 5,600 | 5,679 | |
6 | Development Bank of Japan Inc. | 5.125% | 2/1/17 | 3,650 | 3,737 |
Ecopetrol SA | 4.250% | 9/18/18 | 4,500 | 4,646 | |
Ecopetrol SA | 7.625% | 7/23/19 | 10,050 | 11,556 | |
European Bank for Reconstruction & Development | 1.000% | 2/16/17 | 12,350 | 12,373 | |
European Bank for Reconstruction & Development | 0.750% | 9/1/17 | 10,125 | 10,132 |
34
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
European Bank for Reconstruction & Development | 1.000% | 6/15/18 | 8,100 | 8,143 | |
European Bank for Reconstruction & Development | 1.000% | 9/17/18 | 18,850 | 18,918 | |
European Bank for Reconstruction & Development | 1.625% | 11/15/18 | 9,475 | 9,650 | |
European Bank for Reconstruction & Development | 1.750% | 6/14/19 | 8,300 | 8,472 | |
European Bank for Reconstruction & Development | 1.750% | 11/26/19 | 4,250 | 4,351 | |
European Bank for Reconstruction & Development | 1.500% | 3/16/20 | 7,650 | 7,757 | |
European Investment Bank | 1.625% | 6/15/17 | 19,000 | 19,171 | |
European Investment Bank | 1.000% | 8/17/17 | 30,950 | 31,045 | |
European Investment Bank | 1.125% | 9/15/17 | 32,350 | 32,500 | |
European Investment Bank | 1.000% | 12/15/17 | 19,700 | 19,747 | |
European Investment Bank | 1.000% | 3/15/18 | 17,900 | 17,941 | |
European Investment Bank | 1.250% | 5/15/18 | 16,500 | 16,642 | |
European Investment Bank | 1.000% | 6/15/18 | 29,050 | 29,176 | |
European Investment Bank | 1.125% | 8/15/18 | 21,975 | 22,076 | |
European Investment Bank | 1.625% | 12/18/18 | 13,500 | 13,749 | |
European Investment Bank | 1.875% | 3/15/19 | 43,220 | 44,264 | |
European Investment Bank | 1.250% | 5/15/19 | 14,500 | 14,588 | |
European Investment Bank | 1.750% | 6/17/19 | 46,700 | 47,627 | |
European Investment Bank | 1.125% | 8/15/19 | 55,000 | 55,288 | |
European Investment Bank | 1.625% | 3/16/20 | 12,150 | 12,375 | |
European Investment Bank | 1.375% | 6/15/20 | 32,200 | 32,500 | |
European Investment Bank | 2.875% | 9/15/20 | 2,500 | 2,668 | |
European Investment Bank | 1.625% | 12/15/20 | 12,615 | 12,806 | |
European Investment Bank | 4.000% | 2/16/21 | 13,270 | 14,861 | |
European Investment Bank | 2.000% | 3/15/21 | 30,400 | 31,390 | |
European Investment Bank | 2.500% | 4/15/21 | 23,225 | 24,486 | |
European Investment Bank | 1.625% | 6/15/21 | 37,000 | 37,427 | |
Export Development Canada | 0.750% | 12/15/17 | 2,950 | 2,949 | |
Export Development Canada | 1.000% | 6/15/18 | 9,075 | 9,118 | |
Export Development Canada | 1.500% | 10/3/18 | 3,800 | 3,854 | |
Export Development Canada | 1.000% | 11/1/18 | 6,000 | 6,033 | |
Export Development Canada | 1.250% | 2/4/19 | 5,200 | 5,260 | |
7 | Export Development Canada | 1.750% | 8/19/19 | 3,800 | 3,885 |
7 | Export Development Canada | 1.625% | 12/3/19 | 12,200 | 12,424 |
Export Development Canada | 1.500% | 5/26/21 | 17,500 | 17,771 | |
Export-Import Bank of Korea | 1.750% | 2/27/18 | 3,250 | 3,262 | |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 9,900 | 10,171 | |
Export-Import Bank of Korea | 2.375% | 8/12/19 | 1,650 | 1,687 | |
Export-Import Bank of Korea | 2.250% | 1/21/20 | 500 | 507 | |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 6,400 | 7,198 | |
Export-Import Bank of Korea | 2.625% | 12/30/20 | 5,700 | 5,861 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 11,484 | 12,474 | |
Export-Import Bank of Korea | 2.125% | 2/11/21 | 4,800 | 4,859 | |
Export-Import Bank of Korea | 2.500% | 5/10/21 | 2,000 | 2,040 | |
FMS Wertmanagement AoeR | 1.125% | 9/5/17 | 5,600 | 5,626 | |
FMS Wertmanagement AoeR | 1.000% | 11/21/17 | 9,725 | 9,756 | |
FMS Wertmanagement AoeR | 1.250% | 7/30/18 | 9,700 | 9,767 | |
FMS Wertmanagement AoeR | 1.625% | 11/20/18 | 14,450 | 14,701 | |
FMS Wertmanagement AoeR | 1.750% | 3/17/20 | 8,500 | 8,711 | |
Hydro-Quebec | 1.375% | 6/19/17 | 6,100 | 6,105 | |
Hydro-Quebec | 9.400% | 2/1/21 | 2,025 | 2,679 | |
Industrial & Commercial Bank of China Ltd. | 2.351% | 11/13/17 | 8,900 | 8,977 | |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 6,250 | 6,477 | |
Industrial & Commercial Bank of China Ltd. | 2.635% | 5/26/21 | 5,000 | 5,063 | |
Inter-American Development Bank | 1.375% | 10/18/16 | 200 | 200 | |
Inter-American Development Bank | 1.125% | 3/15/17 | 20,985 | 21,038 | |
Inter-American Development Bank | 1.000% | 7/14/17 | 16,300 | 16,359 | |
Inter-American Development Bank | 2.375% | 8/15/17 | 9,300 | 9,466 | |
Inter-American Development Bank | 0.875% | 3/15/18 | 13,225 | 13,232 | |
Inter-American Development Bank | 1.750% | 8/24/18 | 15,075 | 15,354 | |
Inter-American Development Bank | 1.125% | 8/28/18 | 14,275 | 14,348 | |
Inter-American Development Bank | 4.250% | 9/10/18 | 2,200 | 2,364 | |
Inter-American Development Bank | 1.000% | 5/13/19 | 15,300 | 15,328 | |
Inter-American Development Bank | 1.125% | 9/12/19 | 8,200 | 8,244 |
35
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Inter-American Development Bank | 3.875% | 9/17/19 | 10,500 | 11,447 | |
Inter-American Development Bank | 1.750% | 10/15/19 | 18,200 | 18,589 | |
Inter-American Development Bank | 3.875% | 2/14/20 | 6,675 | 7,335 | |
Inter-American Development Bank | 1.875% | 6/16/20 | 31,720 | 32,651 | |
Inter-American Development Bank | 2.125% | 11/9/20 | 13,500 | 14,019 | |
Inter-American Development Bank | 1.875% | 3/15/21 | 23,000 | 23,629 | |
International Bank for Reconstruction & Development | 0.750% | 12/15/16 | 10,950 | 10,955 | |
International Bank for Reconstruction & Development | 0.875% | 4/17/17 | 27,650 | 27,687 | |
International Bank for Reconstruction & Development | 1.125% | 7/18/17 | 11,700 | 11,747 | |
International Bank for Reconstruction & Development | 1.000% | 11/15/17 | 14,300 | 14,355 | |
International Bank for Reconstruction & Development | 1.375% | 4/10/18 | 22,400 | 22,615 | |
International Bank for Reconstruction & Development | 1.000% | 6/15/18 | 40,000 | 40,090 | |
International Bank for Reconstruction & Development | 0.875% | 7/19/18 | 40,000 | 40,058 | |
International Bank for Reconstruction & Development | 1.000% | 10/5/18 | 23,000 | 23,111 | |
International Bank for Reconstruction & Development | 1.875% | 3/15/19 | 29,500 | 30,229 | |
International Bank for Reconstruction & Development | 1.250% | 7/26/19 | 30,000 | 30,358 | |
International Bank for Reconstruction & Development | 1.875% | 10/7/19 | 23,175 | 23,767 | |
International Bank for Reconstruction & Development | 1.375% | 3/30/20 | 18,000 | 18,258 | |
International Bank for Reconstruction & Development | 2.125% | 11/1/20 | 16,000 | 16,661 | |
International Bank for Reconstruction & Development | 1.625% | 3/9/21 | 17,000 | 17,271 | |
International Bank for Reconstruction & Development | 1.375% | 5/24/21 | 23,000 | 23,209 | |
International Finance Corp. | 1.000% | 4/24/17 | 19,100 | 19,131 | |
International Finance Corp. | 2.125% | 11/17/17 | 1,050 | 1,066 | |
International Finance Corp. | 0.875% | 6/15/18 | 22,500 | 22,477 | |
International Finance Corp. | 1.250% | 7/16/18 | 3,300 | 3,319 | |
International Finance Corp. | 1.750% | 9/4/18 | 22,700 | 23,068 | |
International Finance Corp. | 1.750% | 9/16/19 | 12,625 | 12,924 | |
International Finance Corp. | 1.625% | 7/16/20 | 15,200 | 15,552 | |
6 | Japan Bank for International Cooperation | 1.125% | 7/19/17 | 12,325 | 12,320 |
6 | Japan Bank for International Cooperation | 1.750% | 7/31/18 | 15,650 | 15,798 |
6 | Japan Bank for International Cooperation | 1.750% | 11/13/18 | 12,500 | 12,632 |
6 | Japan Bank for International Cooperation | 2.125% | 2/7/19 | 6,800 | 6,942 |
6 | Japan Bank for International Cooperation | 1.750% | 5/29/19 | 11,950 | 12,074 |
6 | Japan Bank for International Cooperation | 1.750% | 5/28/20 | 8,500 | 8,582 |
6 | Japan Bank for International Cooperation | 1.875% | 4/20/21 | 4,500 | 4,523 |
6 | Japan Finance Organization for Municipalities | 5.000% | 5/16/17 | 4,000 | 4,132 |
6 | Japan Finance Organization for Municipalities | 4.000% | 1/13/21 | 6,000 | 6,589 |
8 | KFW | 0.875% | 9/5/17 | 26,525 | 26,581 |
8 | KFW | 0.875% | 12/15/17 | 19,000 | 19,039 |
8 | KFW | 1.000% | 1/26/18 | 48,450 | 48,620 |
8 | KFW | 4.375% | 3/15/18 | 19,050 | 20,197 |
8 | KFW | 0.875% | 4/19/18 | 39,500 | 39,571 |
8 | KFW | 1.000% | 6/11/18 | 35,200 | 35,332 |
8 | KFW | 4.500% | 7/16/18 | 13,075 | 14,042 |
8 | KFW | 1.125% | 8/6/18 | 36,600 | 36,835 |
8 | KFW | 1.125% | 11/16/18 | 15,000 | 15,098 |
8 | KFW | 1.500% | 2/6/19 | 33,500 | 34,043 |
8 | KFW | 1.875% | 4/1/19 | 11,400 | 11,711 |
8 | KFW | 4.875% | 6/17/19 | 18,120 | 20,163 |
8 | KFW | 1.750% | 10/15/19 | 11,000 | 11,253 |
8 | KFW | 4.000% | 1/27/20 | 23,475 | 25,851 |
8 | KFW | 1.500% | 4/20/20 | 48,050 | 48,811 |
8 | KFW | 1.875% | 6/30/20 | 25,450 | 26,214 |
8 | KFW | 2.750% | 9/8/20 | 23,475 | 24,988 |
8 | KFW | 2.750% | 10/1/20 | 11,200 | 11,914 |
8 | KFW | 1.625% | 3/15/21 | 21,300 | 21,719 |
8 | KFW | 1.500% | 6/15/21 | 37,900 | 38,384 |
Korea Development Bank | 2.250% | 8/7/17 | 2,650 | 2,682 | |
Korea Development Bank | 3.500% | 8/22/17 | 6,650 | 6,821 | |
Korea Development Bank | 1.500% | 1/22/18 | 4,500 | 4,508 | |
Korea Development Bank | 2.875% | 8/22/18 | 500 | 514 | |
Korea Development Bank | 3.000% | 3/17/19 | 9,800 | 10,133 | |
Korea Development Bank | 2.500% | 1/13/21 | 9,500 | 9,699 | |
8 | Landwirtschaftliche Rentenbank | 5.125% | 2/1/17 | 6,690 | 6,854 |
36
Vanguard® Short-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
8 | Landwirtschaftliche Rentenbank | 0.875% | 9/12/17 | 6,125 | 6,128 |
8 | Landwirtschaftliche Rentenbank | 1.000% | 4/4/18 | 19,125 | 19,111 |
8 | Landwirtschaftliche Rentenbank | 1.875% | 9/17/18 | 11,200 | 11,377 |
8 | Landwirtschaftliche Rentenbank | 1.750% | 4/15/19 | 5,925 | 6,013 |
8 | Landwirtschaftliche Rentenbank | 1.375% | 10/23/19 | 5,225 | 5,227 |
Nexen Energy ULC | 6.200% | 7/30/19 | 3,510 | 3,921 | |
Nordic Investment Bank | 5.000% | 2/1/17 | 8,650 | 8,860 | |
Nordic Investment Bank | 1.000% | 3/7/17 | 6,150 | 6,160 | |
Nordic Investment Bank | 1.125% | 2/25/19 | 9,000 | 9,059 | |
Nordic Investment Bank | 1.875% | 6/14/19 | 4,050 | 4,157 | |
Nordic Investment Bank | 1.500% | 9/29/20 | 8,000 | 8,148 | |
North American Development Bank | 2.300% | 10/10/18 | 2,700 | 2,757 | |
North American Development Bank | 4.375% | 2/11/20 | 675 | 737 | |
9 | Oesterreichische Kontrollbank AG | 1.125% | 5/29/18 | 11,550 | 11,572 |
9 | Oesterreichische Kontrollbank AG | 1.625% | 3/12/19 | 6,500 | 6,572 |
9 | Oesterreichische Kontrollbank AG | 1.125% | 4/26/19 | 17,800 | 17,761 |
9 | Oesterreichische Kontrollbank AG | 1.375% | 2/10/20 | 8,550 | 8,524 |
9 | Oesterreichische Kontrollbank AG | 1.500% | 10/21/20 | 15,200 | 15,306 |
9 | Oesterreichische Kontrollbank AG | 1.875% | 1/20/21 | 10,300 | 10,536 |
Petroleos Mexicanos | 5.750% | 3/1/18 | 24,485 | 25,698 | |
Petroleos Mexicanos | 3.500% | 7/18/18 | 20,875 | 21,065 | |
Petroleos Mexicanos | 3.125% | 1/23/19 | 2,400 | 2,405 | |
5 | Petroleos Mexicanos | 5.500% | 2/4/19 | 10,000 | 10,538 |
Petroleos Mexicanos | 8.000% | 5/3/19 | 5,650 | 6,319 | |
Petroleos Mexicanos | 6.000% | 3/5/20 | 5,050 | 5,438 | |
Petroleos Mexicanos | 3.500% | 7/23/20 | 9,200 | 9,141 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 21,810 | 23,033 | |
5 | Petroleos Mexicanos | 6.375% | 2/4/21 | 11,500 | 12,480 |
Province of British Columbia | 1.200% | 4/25/17 | 4,300 | 4,312 | |
Province of Manitoba | 4.900% | 12/6/16 | 5,450 | 5,541 | |
Province of Manitoba | 1.300% | 4/3/17 | 1,100 | 1,104 | |
Province of Manitoba | 1.125% | 6/1/18 | 2,330 | 2,344 | |
Province of Manitoba | 1.750% | 5/30/19 | 5,725 | 5,817 | |
Province of Manitoba | 9.250% | 4/1/20 | 1,500 | 1,918 | |
Province of Manitoba | 2.050% | 11/30/20 | 9,700 | 9,980 | |
Province of New Brunswick | 2.750% | 6/15/18 | 6,750 | 6,948 | |
Province of Ontario | 1.100% | 10/25/17 | 16,300 | 16,352 | |
Province of Ontario | 3.150% | 12/15/17 | 1,150 | 1,188 | |
Province of Ontario | 1.200% | 2/14/18 | 18,500 | 18,570 | |
Province of Ontario | 2.000% | 9/27/18 | 6,900 | 7,037 | |
Province of Ontario | 1.625% | 1/18/19 | 35,000 | 35,455 | |
Province of Ontario | 2.000% | 1/30/19 | 17,700 | 18,091 | |
Province of Ontario | 1.250% | 6/17/19 | 11,000 | 11,075 | |
Province of Ontario | 1.650% | 9/27/19 | 11,825 | 11,980 | |
Province of Ontario | 4.000% | 10/7/19 | 11,550 | 12,558 | |
Province of Ontario | 4.400% | 4/14/20 | 2,675 | 2,973 | |
Province of Ontario | 1.875% | 5/21/20 | 8,000 | 8,157 | |
Quebec | 4.625% | 5/14/18 | 400 | 427 | |
Quebec | 3.500% | 7/29/20 | 3,413 | 3,699 | |
Republic of Chile | 3.875% | 8/5/20 | 2,123 | 2,294 | |
Republic of Colombia | 7.375% | 3/18/19 | 22,585 | 25,747 | |
Republic of Colombia | 11.750% | 2/25/20 | 2,025 | 2,669 | |
Republic of Italy | 5.375% | 6/12/17 | 6,500 | 6,730 | |
Republic of Korea | 7.125% | 4/16/19 | 15,350 | 17,794 | |
Republic of Panama | 5.200% | 1/30/20 | 8,895 | 9,829 | |
Republic of Peru | 7.125% | 3/30/19 | 8,100 | 9,338 | |
Republic of Poland | 6.375% | 7/15/19 | 24,788 | 28,084 | |
Republic of Poland | 5.125% | 4/21/21 | 12,165 | 13,651 | |
Republic of South Africa | 6.875% | 5/27/19 | 11,875 | 13,210 | |
Republic of South Africa | 5.500% | 3/9/20 | 4,830 | 5,181 | |
Republic of the Philippines | 9.875% | 1/15/19 | 6,650 | 8,024 | |
Republic of the Philippines | 8.375% | 6/17/19 | 12,475 | 14,879 | |
Republic of the Philippines | 4.000% | 1/15/21 | 1,850 | 2,026 |
37
Vanguard® Short-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Republic of Turkey | 7.500% | 7/14/17 | 12,775 | 13,531 |
Republic of Turkey | 6.750% | 4/3/18 | 20,530 | 22,047 |
Republic of Turkey | 7.000% | 3/11/19 | 16,075 | 17,779 |
Republic of Turkey | 7.500% | 11/7/19 | 2,650 | 3,024 |
Republic of Turkey | 7.000% | 6/5/20 | 13,973 | 15,836 |
Republic of Turkey | 5.625% | 3/30/21 | 17,200 | 18,724 |
State of Israel | 5.125% | 3/26/19 | 13,605 | 14,964 |
Statoil ASA | 3.125% | 8/17/17 | 10,829 | 11,075 |
Statoil ASA | 1.250% | 11/9/17 | 6,100 | 6,118 |
Statoil ASA | 6.700% | 1/15/18 | 4,765 | 5,148 |
Statoil ASA | 1.200% | 1/17/18 | 1,475 | 1,474 |
Statoil ASA | 1.150% | 5/15/18 | 5,570 | 5,552 |
Statoil ASA | 1.950% | 11/8/18 | 1,625 | 1,646 |
Statoil ASA | 5.250% | 4/15/19 | 9,810 | 10,799 |
Statoil ASA | 2.250% | 11/8/19 | 8,897 | 9,106 |
Statoil ASA | 2.900% | 11/8/20 | 6,175 | 6,446 |
Svensk Exportkredit AB | 1.750% | 5/30/17 | 3,335 | 3,362 |
Svensk Exportkredit AB | 1.125% | 4/5/18 | 6,000 | 6,021 |
Svensk Exportkredit AB | 1.250% | 4/12/19 | 13,000 | 13,076 |
Svensk Exportkredit AB | 1.875% | 6/17/19 | 7,600 | 7,767 |
Svensk Exportkredit AB | 1.875% | 6/23/20 | 8,500 | 8,664 |
Svensk Exportkredit AB | 1.750% | 3/10/21 | 8,500 | 8,649 |
United Mexican States | 11.375% | 9/15/16 | 12,375 | 12,612 |
United Mexican States | 5.950% | 3/19/19 | 10,000 | 11,173 |
United Mexican States | 5.125% | 1/15/20 | 15,221 | 16,897 |
United Mexican States | 3.500% | 1/21/21 | 10,550 | 11,162 |
Total Sovereign Bonds (Cost $3,357,726) | 3,401,676 | |||
Taxable Municipal Bonds (0.1%) | ||||
California GO | 6.200% | 3/1/19 | 500 | 564 |
California GO | 6.200% | 10/1/19 | 3,725 | 4,297 |
Cornell University New York GO | 5.450% | 2/1/19 | 925 | 1,026 |
Dartmouth College New Hampshire GO | 4.750% | 6/1/19 | 544 | 602 |
Emory University Georgia GO | 5.625% | 9/1/19 | 1,605 | 1,825 |
Energy Northwest Washington Electric Revenue | ||||
(Columbia Generating Station) | 2.197% | 7/1/19 | 1,650 | 1,699 |
Florida Board of Administration Finance Corp Revenue ` | 2.163% | 7/1/19 | 7,000 | 7,186 |
Florida Hurricane Catastrophe Fund Finance Corp. | ||||
Revenue | 2.995% | 7/1/20 | 6,995 | 7,314 |
Illinois GO | 5.365% | 3/1/17 | 5,000 | 5,125 |
Illinois GO | 5.665% | 3/1/18 | 9,450 | 9,974 |
Illinois GO | 5.877% | 3/1/19 | 3,980 | 4,307 |
10 New Jersey Economic Development Authority | ||||
Revenue | 0.000% | 2/15/20 | 1,350 | 1,235 |
Princeton University New Jersey GO | 4.950% | 3/1/19 | 720 | 794 |
Stanford University California GO | 4.750% | 5/1/19 | 1,150 | 1,264 |
University of California Revenue | 1.796% | 7/1/19 | 5,220 | 5,338 |
Total Taxable Municipal Bonds (Cost $51,488) | 52,550 |
38
Vanguard® Short-Term Bond Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Coupon | Shares | ($000) | |
Temporary Cash Investment (0.9%) | |||
Money Market Fund (0.9%) | |||
11 Vanguard Market Liquidity Fund | |||
(Cost $418,887) | 0.538% | 418,886,758 | 418,887 |
Total Investments (100.5%) (Cost $44,517,057) | 45,129,684 | ||
Other Assets and Liabilities—Net (-0.5%) | (228,197) | ||
Net Assets (100%) | 44,901,487 |
1 U.S. government-guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal
Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior
preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
5 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate value of these securities was $343,159,000, representing
0.8% of net assets.
6 Guaranteed by the Government of Japan.
7 Guaranteed by the Government of Canada.
8 Guaranteed by the Federal Republic of Germany.
9 Guaranteed by the Republic of Austria.
10 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
11 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
39
Vanguard® Intermediate-Term Bond Index Fund
Schedule of Investments
June 30, 2016
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (52.6%) | |||||
U.S. Government Securities (51.3%) | |||||
United States Treasury Note/Bond | 2.625% | 11/15/20 | 41,072 | 44,011 | |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 90,615 | 101,433 | |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 216,573 | 238,297 | |
United States Treasury Note/Bond | 8.125% | 5/15/21 | 10,000 | 13,394 | |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 100,100 | 104,839 | |
United States Treasury Note/Bond | 1.125% | 6/30/21 | 40 | 40 | |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 239,520 | 252,320 | |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 169,555 | 179,676 | |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 286,378 | 301,860 | |
United States Treasury Note/Bond | 8.125% | 8/15/21 | 17,300 | 23,425 | |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 251,510 | 263,457 | |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 210,831 | 222,228 | |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 233,960 | 245,110 | |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 251,645 | 263,872 | |
United States Treasury Note/Bond | 8.000% | 11/15/21 | 36,300 | 49,430 | |
United States Treasury Note/Bond | 1.875% | 11/30/21 | 271,828 | 283,125 | |
United States Treasury Note/Bond | 2.125% | 12/31/21 | 173,284 | 182,733 | |
United States Treasury Note/Bond | 1.500% | 1/31/22 | 168,100 | 171,541 | |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 108,058 | 113,224 | |
United States Treasury Note/Bond | 1.750% | 2/28/22 | 200,611 | 207,382 | |
United States Treasury Note/Bond | 1.750% | 3/31/22 | 207,992 | 214,947 | |
United States Treasury Note/Bond | 1.750% | 4/30/22 | 291,545 | 301,294 | |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 196,535 | 203,107 | |
United States Treasury Note/Bond | 1.875% | 5/31/22 | 157,170 | 163,505 | |
United States Treasury Note/Bond | 2.125% | 6/30/22 | 70,130 | 73,965 | |
United States Treasury Note/Bond | 2.000% | 7/31/22 | 181,200 | 189,751 | |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 171,817 | 176,219 | |
United States Treasury Note/Bond | 7.250% | 8/15/22 | 2,500 | 3,404 | |
United States Treasury Note/Bond | 1.875% | 8/31/22 | 264,564 | 275,065 | |
United States Treasury Note/Bond | 1.750% | 9/30/22 | 87,965 | 90,769 | |
United States Treasury Note/Bond | 1.875% | 10/31/22 | 76,915 | 79,944 | |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 293,185 | 300,148 | |
United States Treasury Note/Bond | 2.000% | 11/30/22 | 354,950 | 371,533 | |
United States Treasury Note/Bond | 2.125% | 12/31/22 | 95,274 | 100,455 | |
United States Treasury Note/Bond | 1.750% | 1/31/23 | 243,490 | 250,985 | |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 197,020 | 206,410 | |
United States Treasury Note/Bond | 7.125% | 2/15/23 | 35,000 | 48,180 | |
United States Treasury Note/Bond | 1.500% | 2/28/23 | 155,120 | 157,447 | |
United States Treasury Note/Bond | 1.500% | 3/31/23 | 128,010 | 129,870 | |
United States Treasury Note/Bond | 1.625% | 4/30/23 | 34,135 | 34,914 | |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 733,805 | 757,199 | |
United States Treasury Note/Bond | 1.625% | 5/31/23 | 275,300 | 281,580 | |
United States Treasury Note/Bond | 1.375% | 6/30/23 | 22,600 | 22,724 | |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 750,860 | 813,512 | |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 76,500 | 102,557 | |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 575,382 | 634,359 | |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 302,773 | 334,328 | |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 456,869 | 496,347 | |
United States Treasury Note/Bond | 2.375% | 8/15/24 | 419,451 | 451,631 | |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 414,024 | 441,776 | |
United States Treasury Note/Bond | 2.000% | 2/15/25 | 421,836 | 441,476 | |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 573,405 | 605,837 | |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 449,882 | 470,477 | |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 482,252 | 514,727 | |
United States Treasury Note/Bond | 1.625% | 2/15/26 | 646,664 | 654,243 | |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 513,872 | 520,455 | |
14,176,537 | |||||
Agency Bonds and Notes (1.3%) | |||||
1 | AID-Israel | 5.500% | 9/18/23 | 4,300 | 5,438 |
1 | AID-Israel | 5.500% | 12/4/23 | 8,000 | 10,075 |
1 | AID-Israel | 5.500% | 4/26/24 | 12,058 | 15,280 |
40
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
1 | AID-Jordan | 2.578% | 6/30/22 | 3,200 | 3,421 |
1 | AID-Tunisia | 2.452% | 7/24/21 | 2,175 | 2,310 |
2 | Federal Farm Credit Banks | 3.500% | 12/20/23 | 4,250 | 4,821 |
2 | Federal Home Loan Banks | 2.125% | 3/10/23 | 8,950 | 9,303 |
2 | Federal Home Loan Banks | 2.875% | 6/14/24 | 20,000 | 21,827 |
2 | Federal Home Loan Banks | 5.375% | 8/15/24 | 100 | 128 |
2 | Federal Home Loan Banks | 2.875% | 9/13/24 | 20,000 | 21,831 |
3 | Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 95,450 | 101,056 |
3 | Federal National Mortgage Assn. | 2.625% | 9/6/24 | 69,895 | 75,062 |
3 | Federal National Mortgage Assn. | 2.125% | 4/24/26 | 23,500 | 24,195 |
Private Export Funding Corp. | 4.300% | 12/15/21 | 9,940 | 11,438 | |
Private Export Funding Corp. | 2.800% | 5/15/22 | 3,725 | 3,988 | |
Private Export Funding Corp. | 2.050% | 11/15/22 | 10,276 | 10,564 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 3,500 | 3,928 | |
Private Export Funding Corp. | 2.450% | 7/15/24 | 3,350 | 3,493 | |
Private Export Funding Corp. | 3.250% | 6/15/25 | 1,675 | 1,858 | |
Resolution Funding Corp. | 8.625% | 1/15/21 | 850 | 1,127 | |
2 | Tennessee Valley Authority | 1.875% | 8/15/22 | 8,175 | 8,362 |
2 | Tennessee Valley Authority | 2.875% | 9/15/24 | 7,875 | 8,489 |
2 | Tennessee Valley Authority | 6.750% | 11/1/25 | 6,830 | 9,555 |
357,549 | |||||
Total U.S. Government and Agency Obligations (Cost $13,869,817) | 14,534,086 | ||||
Corporate Bonds (40.2%) | |||||
Finance (12.6%) | |||||
Banking (8.0%) | |||||
American Express Co. | 2.650% | 12/2/22 | 13,223 | 13,437 | |
American Express Co. | 3.625% | 12/5/24 | 6,125 | 6,281 | |
Australia & New Zealand Banking Group Ltd. | 3.700% | 11/16/25 | 7,125 | 7,875 | |
Bank of America Corp. | 5.700% | 1/24/22 | 13,889 | 16,034 | |
Bank of America Corp. | 3.300% | 1/11/23 | 34,625 | 35,576 | |
Bank of America Corp. | 4.100% | 7/24/23 | 23,008 | 24,553 | |
Bank of America Corp. | 4.125% | 1/22/24 | 14,651 | 15,782 | |
Bank of America Corp. | 4.000% | 4/1/24 | 21,314 | 22,752 | |
Bank of America Corp. | 4.200% | 8/26/24 | 22,981 | 23,773 | |
Bank of America Corp. | 4.000% | 1/22/25 | 24,544 | 24,998 | |
Bank of America Corp. | 3.950% | 4/21/25 | 18,775 | 19,089 | |
Bank of America Corp. | 3.875% | 8/1/25 | 25,250 | 26,756 | |
Bank of America Corp. | 4.450% | 3/3/26 | 13,925 | 14,691 | |
Bank of America Corp. | 3.500% | 4/19/26 | 17,901 | 18,509 | |
Bank of Montreal | 2.550% | 11/6/22 | 9,819 | 10,125 | |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 4,875 | 5,283 | |
Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 548 | 603 | |
Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 6,175 | 6,658 | |
Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 9,000 | 9,638 | |
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 8,750 | 9,231 | |
Bank of New York Mellon Corp. | 2.800% | 5/4/26 | 3,350 | 3,462 | |
Bank of Nova Scotia | 2.800% | 7/21/21 | 6,722 | 7,024 | |
Bank of Nova Scotia | 4.500% | 12/16/25 | 10,200 | 10,750 | |
Barclays Bank plc | 3.750% | 5/15/24 | 5,010 | 5,237 | |
Barclays plc | 4.375% | 9/11/24 | 12,105 | 11,692 | |
Barclays plc | 3.650% | 3/16/25 | 14,200 | 13,650 | |
Barclays plc | 4.375% | 1/12/26 | 18,079 | 18,247 | |
Barclays plc | 5.200% | 5/12/26 | 4,775 | 4,872 | |
BB&T Corp. | 3.950% | 3/22/22 | 1,800 | 1,931 | |
BNP Paribas SA | 3.250% | 3/3/23 | 9,883 | 10,282 | |
BNP Paribas SA | 4.250% | 10/15/24 | 5,850 | 5,966 | |
BPCE SA | 4.000% | 4/15/24 | 8,900 | 9,749 | |
Branch Banking & Trust Co. | 3.625% | 9/16/25 | 7,770 | 8,251 | |
Capital One Bank USA NA | 3.375% | 2/15/23 | 13,076 | 13,380 | |
Capital One Financial Corp. | 4.750% | 7/15/21 | 8,400 | 9,339 | |
Capital One Financial Corp. | 3.500% | 6/15/23 | 5,960 | 6,144 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 4,600 | 4,801 |
41
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Capital One Financial Corp. | 3.200% | 2/5/25 | 8,030 | 8,111 | |
Capital One Financial Corp. | 4.200% | 10/29/25 | 9,500 | 9,717 | |
Capital One NA | 2.950% | 7/23/21 | 9,000 | 9,236 | |
4,5 | Citicorp Lease Pass-Through Trust 1999-1 | 8.040% | 12/15/19 | 2,100 | 2,467 |
Citigroup Inc. | 4.500% | 1/14/22 | 15,402 | 17,035 | |
Citigroup Inc. | 4.050% | 7/30/22 | 4,735 | 5,004 | |
Citigroup Inc. | 3.375% | 3/1/23 | 650 | 670 | |
Citigroup Inc. | 3.500% | 5/15/23 | 10,160 | 10,362 | |
Citigroup Inc. | 3.875% | 10/25/23 | 11,525 | 12,373 | |
Citigroup Inc. | 3.750% | 6/16/24 | 12,324 | 12,995 | |
Citigroup Inc. | 4.000% | 8/5/24 | 5,930 | 6,126 | |
Citigroup Inc. | 3.875% | 3/26/25 | 14,075 | 14,210 | |
Citigroup Inc. | 3.300% | 4/27/25 | 12,800 | 13,070 | |
Citigroup Inc. | 4.400% | 6/10/25 | 28,615 | 29,827 | |
Citigroup Inc. | 5.500% | 9/13/25 | 85 | 95 | |
Citigroup Inc. | 3.700% | 1/12/26 | 9,504 | 9,967 | |
Citigroup Inc. | 4.600% | 3/9/26 | 10,300 | 10,880 | |
Citigroup Inc. | 4.300% | 11/20/26 | 3,700 | 3,830 | |
Citizens Financial Group Inc. | 4.300% | 12/3/25 | 5,000 | 5,279 | |
Comerica Bank | 4.000% | 7/27/25 | 1,925 | 1,988 | |
Compass Bank | 3.875% | 4/10/25 | 500 | 478 | |
Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 22,896 | 24,949 | |
Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 18,034 | 18,634 | |
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 15,375 | 16,242 | |
Cooperatieve Rabobank UA | 3.375% | 5/21/25 | 12,205 | 12,768 | |
Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 9,481 | 9,892 | |
Credit Suisse AG | 3.000% | 10/29/21 | 22,850 | 23,373 | |
Credit Suisse AG | 3.625% | 9/9/24 | 19,514 | 20,127 | |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 13,000 | 13,076 | |
5 | Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 6/9/23 | 12,000 | 11,974 |
Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 13,997 | 13,736 | |
5 | Credit Suisse Group Funding Guernsey Ltd. | 4.550% | 4/17/26 | 14,432 | 15,027 |
Deutsche Bank AG | 3.700% | 5/30/24 | 12,475 | 12,428 | |
Deutsche Bank AG | 4.100% | 1/13/26 | 5,000 | 4,986 | |
Discover Bank | 3.200% | 8/9/21 | 1,000 | 1,026 | |
Discover Bank | 4.200% | 8/8/23 | 13,043 | 13,834 | |
Discover Financial Services | 5.200% | 4/27/22 | 1,000 | 1,099 | |
Discover Financial Services | 3.850% | 11/21/22 | 6,545 | 6,755 | |
Discover Financial Services | 3.950% | 11/6/24 | 1,125 | 1,162 | |
Discover Financial Services | 3.750% | 3/4/25 | 4,225 | 4,245 | |
Fifth Third Bancorp | 3.500% | 3/15/22 | 2,502 | 2,647 | |
Fifth Third Bancorp | 4.300% | 1/16/24 | 5,500 | 5,873 | |
Fifth Third Bank | 2.875% | 10/1/21 | 5,315 | 5,500 | |
Fifth Third Bank | 3.850% | 3/15/26 | 4,200 | 4,403 | |
FirstMerit Corp. | 4.350% | 2/4/23 | 4,420 | 4,632 | |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 28,283 | 31,876 | |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 35,853 | 41,582 | |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 16,237 | 17,038 | |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 27,175 | 29,069 | |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 22,200 | 23,542 | |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 30,575 | 31,429 | |
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 20,000 | 20,643 | |
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 12,500 | 13,114 | |
HSBC Holdings plc | 4.875% | 1/14/22 | 2,824 | 3,100 | |
HSBC Holdings plc | 4.000% | 3/30/22 | 15,341 | 16,425 | |
HSBC Holdings plc | 3.600% | 5/23/25 | 15,000 | 15,332 | |
HSBC Holdings plc | 4.250% | 3/14/24 | 19,000 | 19,179 | |
HSBC Holdings plc | 4.250% | 8/18/25 | 9,250 | 9,330 | |
HSBC Holdings plc | 4.300% | 3/8/26 | 26,010 | 27,583 | |
HSBC Holdings plc | 3.900% | 5/25/26 | 23,300 | 23,965 | |
HSBC USA Inc. | 3.500% | 6/23/24 | 4,750 | 4,892 | |
Intesa Sanpaolo SPA | 5.250% | 1/12/24 | 7,919 | 8,406 | |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 24,175 | 26,592 | |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 30,348 | 33,664 |
42
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 17,193 | 17,965 | |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 20,341 | 21,016 | |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 11,350 | 11,551 | |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 15,000 | 15,075 | |
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 16,520 | 17,858 | |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 14,720 | 15,619 | |
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 26,515 | 27,493 | |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 21,350 | 21,817 | |
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 19,100 | 20,552 | |
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 15,275 | 15,718 | |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 4,000 | 4,091 | |
KeyBank NA | 3.300% | 6/1/25 | 2,500 | 2,633 | |
KeyBank NA | 3.400% | 5/20/26 | 5,500 | 5,576 | |
Lloyds Bank plc | 3.500% | 5/14/25 | 7,450 | 7,659 | |
Lloyds Banking Group plc | 4.500% | 11/4/24 | 5,675 | 5,791 | |
5 | Lloyds Banking Group plc | 4.582% | 12/10/25 | 15,639 | 15,671 |
Lloyds Banking Group plc | 4.650% | 3/24/26 | 7,500 | 7,567 | |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 7,725 | 7,941 | |
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 20,655 | 22,597 | |
Morgan Stanley | 5.500% | 7/28/21 | 20,260 | 23,074 | |
Morgan Stanley | 4.875% | 11/1/22 | 14,580 | 15,953 | |
Morgan Stanley | 3.750% | 2/25/23 | 29,026 | 30,748 | |
Morgan Stanley | 4.100% | 5/22/23 | 12,990 | 13,507 | |
Morgan Stanley | 3.875% | 4/29/24 | 20,360 | 21,790 | |
Morgan Stanley | 3.700% | 10/23/24 | 30,226 | 31,622 | |
Morgan Stanley | 4.000% | 7/23/25 | 30,475 | 32,637 | |
Morgan Stanley | 5.000% | 11/24/25 | 14,000 | 15,333 | |
Morgan Stanley | 3.875% | 1/27/26 | 10,603 | 11,265 | |
Morgan Stanley | 3.950% | 4/23/27 | 1,275 | 1,286 | |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 3,075 | 3,260 | |
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 4,607 | 4,689 | |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 4,350 | 4,549 | |
National Australia Bank Ltd. | 3.375% | 1/14/26 | 1,900 | 2,016 | |
Northern Trust Corp. | 3.375% | 8/23/21 | 3,300 | 3,546 | |
Northern Trust Corp. | 2.375% | 8/2/22 | 4,895 | 5,035 | |
Northern Trust Corp. | 3.950% | 10/30/25 | 1,000 | 1,125 | |
People's United Bank NA | 4.000% | 7/15/24 | 1,675 | 1,710 | |
People's United Financial Inc. | 3.650% | 12/6/22 | 2,775 | 2,830 | |
PNC Bank NA | 2.700% | 11/1/22 | 7,100 | 7,180 | |
PNC Bank NA | 2.950% | 1/30/23 | 6,000 | 6,146 | |
PNC Bank NA | 3.800% | 7/25/23 | 9,425 | 10,121 | |
PNC Bank NA | 3.300% | 10/30/24 | 6,262 | 6,677 | |
PNC Bank NA | 2.950% | 2/23/25 | 2,300 | 2,399 | |
PNC Bank NA | 3.250% | 6/1/25 | 4,250 | 4,487 | |
PNC Bank NA | 4.200% | 11/1/25 | 2,800 | 3,172 | |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 4,820 | 4,989 | |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 7,550 | 8,104 | |
PNC Funding Corp. | 3.300% | 3/8/22 | 10,278 | 10,936 | |
Royal Bank of Canada | 4.650% | 1/27/26 | 10,500 | 11,319 | |
Royal Bank of Scotland Group plc | 4.800% | 4/5/26 | 9,500 | 9,718 | |
Santander Holdings USA Inc. | 4.500% | 7/17/25 | 6,350 | 6,557 | |
Santander Issuances SAU | 5.179% | 11/19/25 | 10,632 | 10,588 | |
Santander UK plc | 4.000% | 3/13/24 | 10,244 | 11,004 | |
State Street Corp. | 3.100% | 5/15/23 | 6,875 | 7,092 | |
State Street Corp. | 3.700% | 11/20/23 | 5,515 | 6,073 | |
State Street Corp. | 3.300% | 12/16/24 | 6,500 | 6,994 | |
State Street Corp. | 3.550% | 8/18/25 | 12,715 | 13,770 | |
State Street Corp. | 2.650% | 5/19/26 | 6,450 | 6,594 | |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 4,750 | 4,867 | |
Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 1,375 | 1,420 | |
Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 4,975 | 5,419 | |
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 2,075 | 2,250 | |
Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 3,575 | 3,750 | |
Sumitomo Mitsui Banking Corp. | 3.650% | 7/23/25 | 1,400 | 1,502 |
43
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 14,250 | 15,614 |
SunTrust Bank | 2.750% | 5/1/23 | 3,425 | 3,475 |
SunTrust Bank | 3.300% | 5/15/26 | 4,250 | 4,309 |
SVB Financial Group | 3.500% | 1/29/25 | 3,825 | 3,886 |
Synchrony Financial | 3.750% | 8/15/21 | 3,850 | 3,988 |
Synchrony Financial | 4.250% | 8/15/24 | 9,438 | 9,775 |
Synchrony Financial | 4.500% | 7/23/25 | 10,650 | 11,047 |
US Bancorp | 3.000% | 3/15/22 | 6,354 | 6,762 |
US Bancorp | 2.950% | 7/15/22 | 12,523 | 12,995 |
US Bancorp | 3.700% | 1/30/24 | 2,520 | 2,779 |
US Bancorp | 3.600% | 9/11/24 | 5,100 | 5,495 |
US Bancorp | 3.100% | 4/27/26 | 7,000 | 7,286 |
US Bank NA | 2.800% | 1/27/25 | 8,850 | 9,189 |
Wells Fargo & Co. | 3.500% | 3/8/22 | 21,929 | 23,494 |
Wells Fargo & Co. | 3.450% | 2/13/23 | 14,647 | 15,123 |
Wells Fargo & Co. | 4.125% | 8/15/23 | 16,270 | 17,450 |
Wells Fargo & Co. | 4.480% | 1/16/24 | 6,139 | 6,697 |
Wells Fargo & Co. | 3.300% | 9/9/24 | 22,475 | 23,517 |
Wells Fargo & Co. | 3.000% | 2/19/25 | 20,400 | 20,876 |
Wells Fargo & Co. | 3.550% | 9/29/25 | 8,000 | 8,528 |
Wells Fargo & Co. | 3.000% | 4/22/26 | 24,675 | 25,084 |
Westpac Banking Corp. | 2.850% | 5/13/26 | 16,200 | 16,472 |
Brokerage (0.5%) | ||||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 2,600 | 2,750 |
Affiliated Managers Group Inc. | 3.500% | 8/1/25 | 2,575 | 2,566 |
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 6,064 | 6,596 |
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 4,050 | 4,328 |
Apollo Investment Corp. | 5.250% | 3/3/25 | 1,625 | 1,631 |
BlackRock Inc. | 3.375% | 6/1/22 | 5,779 | 6,254 |
BlackRock Inc. | 3.500% | 3/18/24 | 8,311 | 9,051 |
Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 5,475 | 5,568 |
Brookfield Finance Inc. | 4.250% | 6/2/26 | 1,300 | 1,330 |
Charles Schwab Corp. | 3.225% | 9/1/22 | 2,550 | 2,699 |
CME Group Inc. | 3.000% | 9/15/22 | 5,075 | 5,392 |
CME Group Inc. | 3.000% | 3/15/25 | 5,050 | 5,256 |
E*TRADE Financial Corp. | 5.375% | 11/15/22 | 1,150 | 1,215 |
E*TRADE Financial Corp. | 4.625% | 9/15/23 | 7,075 | 7,163 |
Eaton Vance Corp. | 3.625% | 6/15/23 | 1,800 | 1,924 |
Franklin Resources Inc. | 2.800% | 9/15/22 | 2,425 | 2,509 |
Franklin Resources Inc. | 2.850% | 3/30/25 | 3,215 | 3,301 |
Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 5,500 | 5,952 |
Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 10,825 | 11,684 |
Invesco Finance plc | 3.125% | 11/30/22 | 5,154 | 5,392 |
Invesco Finance plc | 4.000% | 1/30/24 | 6,775 | 7,440 |
Invesco Finance plc | 3.750% | 1/15/26 | 5,000 | 5,393 |
Janus Capital Group Inc. | 4.875% | 8/1/25 | 1,900 | 2,055 |
Jefferies Group LLC | 5.125% | 1/20/23 | 3,875 | 4,061 |
Lazard Group LLC | 3.750% | 2/13/25 | 2,550 | 2,534 |
Legg Mason Inc. | 3.950% | 7/15/24 | 1,650 | 1,674 |
Legg Mason Inc. | 4.750% | 3/15/26 | 3,070 | 3,237 |
Leucadia National Corp. | 5.500% | 10/18/23 | 4,775 | 4,850 |
Nasdaq Inc. | 4.250% | 6/1/24 | 400 | 420 |
Nasdaq Inc. | 3.850% | 6/30/26 | 6,000 | 6,097 |
Stifel Financial Corp. | 4.250% | 7/18/24 | 1,900 | 1,928 |
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 9,836 | 10,260 |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 3,050 | 3,260 |
Finance Companies (0.1%) | ||||
AerCap Ireland Capital Ltd. / AerCap Global Aviation | ||||
Trust | 3.950% | 2/1/22 | 5,760 | 5,731 |
Air Lease Corp. | 3.750% | 2/1/22 | 5,600 | 5,712 |
Air Lease Corp. | 4.250% | 9/15/24 | 2,400 | 2,448 |
FS Investment Corp. | 4.750% | 5/15/22 | 1,700 | 1,727 |
GATX Corp. | 4.750% | 6/15/22 | 2,600 | 2,785 |
44
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
GATX Corp. | 3.900% | 3/30/23 | 2,825 | 2,879 | |
GATX Corp. | 3.250% | 3/30/25 | 2,675 | 2,604 | |
5 | GE Capital International Funding Co. | 3.373% | 11/15/25 | 13,846 | 15,109 |
Prospect Capital Corp. | 5.875% | 3/15/23 | 1,725 | 1,673 | |
Insurance (2.1%) | |||||
Aetna Inc. | 2.750% | 11/15/22 | 7,175 | 7,324 | |
Aetna Inc. | 2.800% | 6/15/23 | 6,450 | 6,581 | |
Aetna Inc. | 3.500% | 11/15/24 | 6,250 | 6,619 | |
Aetna Inc. | 3.200% | 6/15/26 | 19,100 | 19,600 | |
Aflac Inc. | 4.000% | 2/15/22 | 2,950 | 3,257 | |
Aflac Inc. | 3.625% | 6/15/23 | 8,300 | 8,911 | |
Aflac Inc. | 3.625% | 11/15/24 | 3,575 | 3,839 | |
Aflac Inc. | 3.250% | 3/17/25 | 2,525 | 2,627 | |
Alleghany Corp. | 4.950% | 6/27/22 | 5,000 | 5,565 | |
Allied World Assurance Co. Holdings Ltd. | 4.350% | 10/29/25 | 14,278 | 14,595 | |
Allstate Corp. | 3.150% | 6/15/23 | 3,120 | 3,296 | |
4 | Allstate Corp. | 5.750% | 8/15/53 | 4,810 | 4,918 |
American International Group Inc. | 4.875% | 6/1/22 | 16,211 | 18,061 | |
American International Group Inc. | 4.125% | 2/15/24 | 11,215 | 11,844 | |
American International Group Inc. | 3.750% | 7/10/25 | 3,075 | 3,137 | |
American International Group Inc. | 3.900% | 4/1/26 | 10,445 | 10,782 | |
Anthem Inc. | 3.700% | 8/15/21 | 2,225 | 2,377 | |
Anthem Inc. | 3.125% | 5/15/22 | 5,135 | 5,310 | |
Anthem Inc. | 3.300% | 1/15/23 | 5,271 | 5,448 | |
Anthem Inc. | 3.500% | 8/15/24 | 9,050 | 9,377 | |
Aon plc | 4.000% | 11/27/23 | 850 | 902 | |
Aon plc | 3.500% | 6/14/24 | 4,475 | 4,621 | |
Aon plc | 3.875% | 12/15/25 | 6,700 | 7,069 | |
Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 6,225 | 6,614 | |
Assurant Inc. | 4.000% | 3/15/23 | 3,450 | 3,553 | |
Assured Guaranty US Holdings Inc. | 5.000% | 7/1/24 | 2,400 | 2,608 | |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 5,799 | 6,179 | |
Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 5,650 | 6,245 | |
Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 4,225 | 4,465 | |
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 16,855 | 17,413 | |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 24,025 | 25,194 | |
Brown & Brown Inc. | 4.200% | 9/15/24 | 5,775 | 5,861 | |
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 9,239 | 9,663 | |
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 1,825 | 1,873 | |
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 5,185 | 5,522 | |
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 8,000 | 8,350 | |
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 3,960 | 4,218 | |
Cigna Corp. | 4.000% | 2/15/22 | 4,525 | 4,886 | |
Cigna Corp. | 3.250% | 4/15/25 | 6,450 | 6,596 | |
CNA Financial Corp. | 5.750% | 8/15/21 | 3,905 | 4,501 | |
CNA Financial Corp. | 3.950% | 5/15/24 | 3,125 | 3,306 | |
CNA Financial Corp. | 4.500% | 3/1/26 | 1,550 | 1,658 | |
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 775 | 857 | |
First American Financial Corp. | 4.300% | 2/1/23 | 1,775 | 1,816 | |
First American Financial Corp. | 4.600% | 11/15/24 | 2,700 | 2,833 | |
Hanover Insurance Group Inc. | 4.500% | 4/15/26 | 4,500 | 4,649 | |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 7,850 | 8,917 | |
Horace Mann Educators Corp. | 4.500% | 12/1/25 | 1,125 | 1,183 | |
Humana Inc. | 3.150% | 12/1/22 | 2,775 | 2,852 | |
Humana Inc. | 3.850% | 10/1/24 | 7,790 | 8,290 | |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 1,750 | 1,861 | |
Kemper Corp. | 4.350% | 2/15/25 | 4,000 | 4,144 | |
Lincoln National Corp. | 4.200% | 3/15/22 | 300 | 321 | |
Lincoln National Corp. | 4.000% | 9/1/23 | 4,000 | 4,160 | |
Lincoln National Corp. | 3.350% | 3/9/25 | 4,950 | 4,918 | |
Loews Corp. | 2.625% | 5/15/23 | 3,300 | 3,323 | |
Manulife Financial Corp. | 4.150% | 3/4/26 | 6,350 | 6,818 | |
Markel Corp. | 4.900% | 7/1/22 | 2,650 | 2,946 |
45
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Markel Corp. | 3.625% | 3/30/23 | 2,750 | 2,848 | |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 5,885 | 6,542 | |
Marsh & McLennan Cos. Inc. | 3.300% | 3/14/23 | 670 | 698 | |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 11,600 | 12,010 | |
Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 2,757 | 2,907 | |
MetLife Inc. | 3.048% | 12/15/22 | 6,225 | 6,395 | |
MetLife Inc. | 4.368% | 9/15/23 | 4,214 | 4,668 | |
MetLife Inc. | 3.600% | 4/10/24 | 7,365 | 7,765 | |
MetLife Inc. | 3.000% | 3/1/25 | 3,325 | 3,357 | |
MetLife Inc. | 3.600% | 11/13/25 | 7,050 | 7,407 | |
Montpelier Re Holdings Ltd. | 4.700% | 10/15/22 | 1,425 | 1,486 | |
Navigators Group Inc. | 5.750% | 10/15/23 | 1,500 | 1,635 | |
Old Republic International Corp. | 4.875% | 10/1/24 | 2,775 | 2,967 | |
OneBeacon US Holdings Inc. | 4.600% | 11/9/22 | 1,925 | 1,964 | |
Primerica Inc. | 4.750% | 7/15/22 | 1,750 | 1,928 | |
Principal Financial Group Inc. | 3.300% | 9/15/22 | 2,460 | 2,571 | |
Principal Financial Group Inc. | 3.125% | 5/15/23 | 1,025 | 1,038 | |
Principal Financial Group Inc. | 3.400% | 5/15/25 | 1,966 | 2,003 | |
ProAssurance Corp. | 5.300% | 11/15/23 | 900 | 972 | |
Progressive Corp. | 3.750% | 8/23/21 | 3,285 | 3,608 | |
Prudential Financial Inc. | 4.500% | 11/16/21 | 2,950 | 3,312 | |
Prudential Financial Inc. | 3.500% | 5/15/24 | 9,625 | 10,004 | |
4 | Prudential Financial Inc. | 5.875% | 9/15/42 | 5,475 | 5,886 |
4 | Prudential Financial Inc. | 5.625% | 6/15/43 | 10,675 | 11,075 |
4 | Prudential Financial Inc. | 5.200% | 3/15/44 | 3,525 | 3,437 |
4 | Prudential Financial Inc. | 5.375% | 5/15/45 | 6,200 | 6,254 |
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 3,100 | 3,362 | |
Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 1,700 | 1,747 | |
StanCorp Financial Group Inc. | 5.000% | 8/15/22 | 1,700 | 1,869 | |
Symetra Financial Corp. | 4.250% | 7/15/24 | 1,550 | 1,610 | |
Torchmark Corp. | 3.800% | 9/15/22 | 1,850 | 1,911 | |
Trinity Acquisition plc | 3.500% | 9/15/21 | 2,000 | 2,079 | |
Trinity Acquisition plc | 4.625% | 8/15/23 | 1,700 | 1,829 | |
Trinity Acquisition plc | 4.400% | 3/15/26 | 3,480 | 3,652 | |
UnitedHealth Group Inc. | 3.375% | 11/15/21 | 1,625 | 1,750 | |
UnitedHealth Group Inc. | 2.875% | 12/15/21 | 4,500 | 4,739 | |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 7,729 | 8,067 | |
UnitedHealth Group Inc. | 3.350% | 7/15/22 | 7,195 | 7,699 | |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 7,575 | 7,780 | |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 4,565 | 4,737 | |
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 18,900 | 20,742 | |
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 5,527 | 5,794 | |
Unum Group | 4.000% | 3/15/24 | 3,770 | 3,895 | |
Unum Group | 3.875% | 11/5/25 | 175 | 178 | |
Voya Financial Inc. | 3.650% | 6/15/26 | 2,950 | 2,966 | |
WR Berkley Corp. | 4.625% | 3/15/22 | 2,150 | 2,342 | |
XLIT Ltd. | 5.750% | 10/1/21 | 2,752 | 3,163 | |
XLIT Ltd. | 6.375% | 11/15/24 | 875 | 1,057 | |
XLIT Ltd. | 4.450% | 3/31/25 | 3,925 | 3,983 | |
Other Finance (0.0%) | |||||
Jones Lang LaSalle Inc. | 4.400% | 11/15/22 | 1,300 | 1,357 | |
Real Estate Investment Trusts (1.9%) | |||||
Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 4,616 | 4,992 | |
Alexandria Real Estate Equities Inc. | 3.900% | 6/15/23 | 4,025 | 4,175 | |
Alexandria Real Estate Equities Inc. | 4.300% | 1/15/26 | 2,000 | 2,122 | |
American Campus Communities Operating Partnership | |||||
LP | 3.750% | 4/15/23 | 1,800 | 1,860 | |
American Campus Communities Operating Partnership | |||||
LP | 4.125% | 7/1/24 | 2,150 | 2,278 | |
AvalonBay Communities Inc. | 2.950% | 9/15/22 | 6,264 | 6,464 | |
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 1,500 | 1,534 | |
AvalonBay Communities Inc. | 4.200% | 12/15/23 | 1,390 | 1,530 |
46
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
AvalonBay Communities Inc. | 3.450% | 6/1/25 | 3,742 | 3,943 |
AvalonBay Communities Inc. | 3.500% | 11/15/25 | 3,200 | 3,390 |
AvalonBay Communities Inc. | 2.950% | 5/11/26 | 2,425 | 2,453 |
Boston Properties LP | 3.850% | 2/1/23 | 5,000 | 5,380 |
Boston Properties LP | 3.125% | 9/1/23 | 4,012 | 4,134 |
Boston Properties LP | 3.800% | 2/1/24 | 5,325 | 5,722 |
Boston Properties LP | 3.650% | 2/1/26 | 7,300 | 7,783 |
Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 2,669 | 2,698 |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 2,715 | 2,792 |
Brixmor Operating Partnership LP | 3.875% | 8/15/22 | 3,100 | 3,184 |
Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 7,508 | 7,522 |
Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 4,400 | 4,516 |
Camden Property Trust | 2.950% | 12/15/22 | 5,975 | 6,058 |
Camden Property Trust | 4.250% | 1/15/24 | 2,100 | 2,276 |
Camden Property Trust | 3.500% | 9/15/24 | 3,000 | 3,105 |
CBL & Associates LP | 5.250% | 12/1/23 | 3,500 | 3,322 |
CBL & Associates LP | 4.600% | 10/15/24 | 2,790 | 2,552 |
Columbia Property Trust Operating Partnership LP | 4.150% | 4/1/25 | 2,450 | 2,507 |
Corporate Office Properties LP | 3.600% | 5/15/23 | 4,450 | 4,322 |
CubeSmart LP | 4.375% | 12/15/23 | 3,150 | 3,418 |
CubeSmart LP | 4.000% | 11/15/25 | 825 | 874 |
DCT Industrial Operating Partnership LP | 4.500% | 10/15/23 | 1,475 | 1,561 |
DDR Corp. | 4.625% | 7/15/22 | 5,565 | 6,024 |
DDR Corp. | 3.375% | 5/15/23 | 1,338 | 1,331 |
DDR Corp. | 3.625% | 2/1/25 | 2,600 | 2,609 |
Digital Realty Trust LP | 3.950% | 7/1/22 | 4,425 | 4,678 |
Digital Realty Trust LP | 3.625% | 10/1/22 | 6,900 | 7,138 |
Digital Realty Trust LP | 4.750% | 10/1/25 | 3,625 | 3,875 |
Duke Realty LP | 3.875% | 10/15/22 | 6,350 | 6,739 |
Duke Realty LP | 3.625% | 4/15/23 | 2,525 | 2,663 |
Duke Realty LP | 3.750% | 12/1/24 | 1,900 | 2,000 |
Duke Realty LP | 3.250% | 6/30/26 | 1,450 | 1,470 |
Education Realty Operating Partnership LP | 4.600% | 12/1/24 | 800 | 820 |
EPR Properties | 5.750% | 8/15/22 | 2,875 | 3,127 |
EPR Properties | 5.250% | 7/15/23 | 1,800 | 1,906 |
EPR Properties | 4.500% | 4/1/25 | 2,000 | 1,984 |
Equity One Inc. | 3.750% | 11/15/22 | 2,000 | 2,041 |
ERP Operating LP | 4.625% | 12/15/21 | 7,461 | 8,420 |
ERP Operating LP | 3.000% | 4/15/23 | 2,598 | 2,669 |
ERP Operating LP | 3.375% | 6/1/25 | 2,300 | 2,425 |
Essex Portfolio LP | 3.375% | 1/15/23 | 2,000 | 2,066 |
Essex Portfolio LP | 3.250% | 5/1/23 | 4,255 | 4,358 |
Essex Portfolio LP | 3.875% | 5/1/24 | 2,250 | 2,403 |
Essex Portfolio LP | 3.500% | 4/1/25 | 6,150 | 6,382 |
Essex Portfolio LP | 3.375% | 4/15/26 | 4,250 | 4,342 |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 1,525 | 1,583 |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 1,600 | 1,632 |
HCP Inc. | 4.000% | 12/1/22 | 1,400 | 1,458 |
HCP Inc. | 4.250% | 11/15/23 | 4,850 | 5,038 |
HCP Inc. | 4.200% | 3/1/24 | 5,042 | 5,190 |
HCP Inc. | 3.875% | 8/15/24 | 5,000 | 5,091 |
HCP Inc. | 3.400% | 2/1/25 | 10,545 | 10,198 |
HCP Inc. | 4.000% | 6/1/25 | 2,887 | 2,916 |
Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 2,625 | 2,629 |
Healthcare Realty Trust Inc. | 3.875% | 5/1/25 | 1,125 | 1,132 |
Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 3,000 | 3,075 |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 1,625 | 1,656 |
Highwoods Realty LP | 3.625% | 1/15/23 | 560 | 573 |
Hospitality Properties Trust | 5.000% | 8/15/22 | 2,968 | 3,175 |
Hospitality Properties Trust | 4.500% | 6/15/23 | 2,875 | 2,939 |
Hospitality Properties Trust | 4.650% | 3/15/24 | 4,160 | 4,239 |
Hospitality Properties Trust | 4.500% | 3/15/25 | 2,525 | 2,544 |
Hospitality Properties Trust | 5.250% | 2/15/26 | 2,100 | 2,216 |
Host Hotels & Resorts LP | 6.000% | 10/1/21 | 3,850 | 4,347 |
47
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Host Hotels & Resorts LP | 5.250% | 3/15/22 | 5,650 | 6,210 |
Host Hotels & Resorts LP | 4.750% | 3/1/23 | 22 | 24 |
Host Hotels & Resorts LP | 3.750% | 10/15/23 | 2,489 | 2,499 |
Host Hotels & Resorts LP | 4.000% | 6/15/25 | 2,100 | 2,124 |
Kilroy Realty LP | 3.800% | 1/15/23 | 1,425 | 1,491 |
Kilroy Realty LP | 4.375% | 10/1/25 | 1,725 | 1,858 |
Kimco Realty Corp. | 3.400% | 11/1/22 | 2,500 | 2,632 |
Kimco Realty Corp. | 3.125% | 6/1/23 | 1,250 | 1,273 |
Lexington Realty Trust | 4.400% | 6/15/24 | 4,750 | 4,899 |
Liberty Property LP | 4.125% | 6/15/22 | 1,600 | 1,694 |
Liberty Property LP | 4.400% | 2/15/24 | 3,225 | 3,474 |
Liberty Property LP | 3.750% | 4/1/25 | 7,850 | 8,113 |
Mack-Cali Realty LP | 4.500% | 4/18/22 | 2,700 | 2,752 |
Mack-Cali Realty LP | 3.150% | 5/15/23 | 1,000 | 922 |
Mid-America Apartments LP | 4.300% | 10/15/23 | 2,850 | 3,066 |
Mid-America Apartments LP | 3.750% | 6/15/24 | 1,700 | 1,771 |
Mid-America Apartments LP | 4.000% | 11/15/25 | 3,900 | 4,110 |
National Retail Properties Inc. | 5.500% | 7/15/21 | 3,500 | 3,989 |
National Retail Properties Inc. | 3.800% | 10/15/22 | 1,900 | 2,006 |
National Retail Properties Inc. | 3.300% | 4/15/23 | 5,270 | 5,348 |
National Retail Properties Inc. | 3.900% | 6/15/24 | 4,000 | 4,237 |
National Retail Properties Inc. | 4.000% | 11/15/25 | 600 | 637 |
Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 3,775 | 3,765 |
Omega Healthcare Investors Inc. | 5.875% | 3/15/24 | 2,075 | 2,174 |
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 2,250 | 2,363 |
Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 6,050 | 6,126 |
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 7,575 | 8,011 |
Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 1,325 | 1,316 |
Piedmont Operating Partnership LP | 4.450% | 3/15/24 | 5,925 | 6,134 |
Post Apartment Homes LP | 3.375% | 12/1/22 | 1,500 | 1,526 |
ProLogis LP | 4.250% | 8/15/23 | 7,885 | 8,711 |
Prologis LP | 3.750% | 11/1/25 | 4,000 | 4,264 |
Realty Income Corp. | 3.250% | 10/15/22 | 5,485 | 5,628 |
Realty Income Corp. | 4.650% | 8/1/23 | 4,925 | 5,421 |
Realty Income Corp. | 3.875% | 7/15/24 | 2,350 | 2,462 |
Regency Centers LP | 3.750% | 6/15/24 | 2,875 | 3,000 |
Retail Opportunity Investments Partnership LP | 5.000% | 12/15/23 | 1,150 | 1,209 |
Retail Properties of America Inc. | 4.000% | 3/15/25 | 2,900 | 2,810 |
Select Income REIT | 4.150% | 2/1/22 | 1,725 | 1,734 |
Select Income REIT | 4.500% | 2/1/25 | 4,125 | 4,077 |
Senior Housing Properties Trust | 4.750% | 5/1/24 | 3,625 | 3,692 |
Simon Property Group LP | 2.500% | 7/15/21 | 2,700 | 2,780 |
Simon Property Group LP | 4.125% | 12/1/21 | 11,700 | 12,965 |
Simon Property Group LP | 3.375% | 3/15/22 | 4,007 | 4,308 |
Simon Property Group LP | 2.750% | 2/1/23 | 1,550 | 1,596 |
Simon Property Group LP | 3.750% | 2/1/24 | 1,665 | 1,820 |
Simon Property Group LP | 3.375% | 10/1/24 | 975 | 1,036 |
Simon Property Group LP | 3.500% | 9/1/25 | 6,600 | 7,078 |
Simon Property Group LP | 3.300% | 1/15/26 | 11,000 | 11,718 |
Sovran Acquisition LP | 3.500% | 7/1/26 | 3,100 | 3,130 |
Tanger Properties LP | 3.875% | 12/1/23 | 3,175 | 3,304 |
Tanger Properties LP | 3.750% | 12/1/24 | 1,525 | 1,571 |
UDR Inc. | 4.625% | 1/10/22 | 2,700 | 2,996 |
UDR Inc. | 3.750% | 7/1/24 | 750 | 798 |
UDR Inc. | 4.000% | 10/1/25 | 3,350 | 3,637 |
Ventas Realty LP | 3.750% | 5/1/24 | 3,400 | 3,554 |
Ventas Realty LP | 3.500% | 2/1/25 | 4,840 | 4,983 |
Ventas Realty LP | 4.125% | 1/15/26 | 3,381 | 3,626 |
Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 5,202 | 5,616 |
Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 4,702 | 4,859 |
Vornado Realty LP | 5.000% | 1/15/22 | 2,500 | 2,743 |
Washington REIT | 3.950% | 10/15/22 | 750 | 765 |
Weingarten Realty Investors | 3.375% | 10/15/22 | 3,275 | 3,359 |
Weingarten Realty Investors | 3.500% | 4/15/23 | 2,275 | 2,289 |
48
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Weingarten Realty Investors | 4.450% | 1/15/24 | 150 | 160 |
Weingarten Realty Investors | 3.850% | 6/1/25 | 3,500 | 3,586 |
Welltower Inc. | 5.250% | 1/15/22 | 2,220 | 2,483 |
Welltower Inc. | 3.750% | 3/15/23 | 6,200 | 6,428 |
Welltower Inc. | 4.500% | 1/15/24 | 1,175 | 1,274 |
Welltower Inc. | 4.000% | 6/1/25 | 12,522 | 13,208 |
Welltower Inc. | 4.250% | 4/1/26 | 1,750 | 1,882 |
WP Carey Inc. | 4.600% | 4/1/24 | 3,975 | 4,136 |
WP Carey Inc. | 4.000% | 2/1/25 | 1,990 | 1,941 |
3,473,309 | ||||
Industrial (25.3%) | ||||
Basic Industry (1.6%) | ||||
Agrium Inc. | 3.150% | 10/1/22 | 4,491 | 4,608 |
Agrium Inc. | 3.500% | 6/1/23 | 12,858 | 13,374 |
Agrium Inc. | 3.375% | 3/15/25 | 4,160 | 4,283 |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 4,250 | 4,534 |
Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 1,350 | 1,394 |
Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 2,350 | 2,540 |
Airgas Inc. | 2.900% | 11/15/22 | 1,475 | 1,496 |
Airgas Inc. | 3.650% | 7/15/24 | 1,850 | 1,944 |
Albemarle Corp. | 4.150% | 12/1/24 | 2,650 | 2,789 |
Barrick Gold Corp. | 3.850% | 4/1/22 | 64 | 66 |
Barrick Gold Corp. | 4.100% | 5/1/23 | 5,672 | 5,973 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 6,900 | 7,289 |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 7,975 | 8,283 |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 12,900 | 14,070 |
BHP Billiton Finance USA Ltd. | 6.420% | 3/1/26 | 500 | 615 |
Braskem Finance Ltd. | 6.450% | 2/3/24 | 5,600 | 5,656 |
Cabot Corp. | 3.700% | 7/15/22 | 2,500 | 2,594 |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 5,675 | 6,124 |
Celulosa Arauco y Constitucion SA | 4.500% | 8/1/24 | 2,000 | 2,083 |
CF Industries Inc. | 3.450% | 6/1/23 | 5,860 | 5,862 |
Cytec Industries Inc. | 3.500% | 4/1/23 | 1,423 | 1,415 |
Domtar Corp. | 4.400% | 4/1/22 | 660 | 686 |
Dow Chemical Co. | 4.125% | 11/15/21 | 9,850 | 10,818 |
Dow Chemical Co. | 3.000% | 11/15/22 | 9,590 | 9,801 |
Dow Chemical Co. | 3.500% | 10/1/24 | 6,300 | 6,711 |
Eastman Chemical Co. | 3.600% | 8/15/22 | 9,712 | 10,200 |
Eastman Chemical Co. | 3.800% | 3/15/25 | 4,440 | 4,705 |
Ecolab Inc. | 4.350% | 12/8/21 | 10,388 | 11,749 |
Ecolab Inc. | 3.250% | 1/14/23 | 2,025 | 2,120 |
EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 9,070 | 9,299 |
Fibria Overseas Finance Ltd. | 5.250% | 5/12/24 | 4,000 | 4,086 |
FMC Corp. | 3.950% | 2/1/22 | 3,235 | 3,391 |
FMC Corp. | 4.100% | 2/1/24 | 2,924 | 3,099 |
Georgia-Pacific LLC | 8.000% | 1/15/24 | 3,750 | 5,024 |
Georgia-Pacific LLC | 7.375% | 12/1/25 | 1,500 | 2,004 |
Goldcorp Inc. | 3.700% | 3/15/23 | 8,480 | 8,623 |
International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 1,525 | 1,566 |
International Paper Co. | 7.500% | 8/15/21 | 8,465 | 10,399 |
International Paper Co. | 4.750% | 2/15/22 | 6,322 | 7,040 |
International Paper Co. | 3.650% | 6/15/24 | 6,250 | 6,596 |
International Paper Co. | 3.800% | 1/15/26 | 556 | 583 |
LYB International Finance BV | 4.000% | 7/15/23 | 5,700 | 6,124 |
LyondellBasell Industries NV | 6.000% | 11/15/21 | 10,100 | 11,830 |
LyondellBasell Industries NV | 5.750% | 4/15/24 | 4,375 | 5,189 |
Methanex Corp. | 4.250% | 12/1/24 | 2,750 | 2,457 |
Monsanto Co. | 2.750% | 7/15/21 | 5,390 | 5,553 |
Monsanto Co. | 2.200% | 7/15/22 | 2,150 | 2,127 |
Monsanto Co. | 3.375% | 7/15/24 | 5,598 | 5,769 |
Monsanto Co. | 2.850% | 4/15/25 | 7,300 | 7,280 |
Mosaic Co. | 3.750% | 11/15/21 | 1,800 | 1,910 |
Mosaic Co. | 4.250% | 11/15/23 | 8,800 | 9,482 |
49
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
NewMarket Corp. | 4.100% | 12/15/22 | 315 | 326 | |
Newmont Mining Corp. | 3.500% | 3/15/22 | 9,494 | 9,875 | |
Nucor Corp. | 4.125% | 9/15/22 | 3,450 | 3,730 | |
Nucor Corp. | 4.000% | 8/1/23 | 6,735 | 7,181 | |
Packaging Corp. of America | 3.900% | 6/15/22 | 1,900 | 2,014 | |
Packaging Corp. of America | 4.500% | 11/1/23 | 9,650 | 10,512 | |
Packaging Corp. of America | 3.650% | 9/15/24 | 2,550 | 2,637 | |
Potash Corp. of Saskatchewan Inc. | 3.625% | 3/15/24 | 4,750 | 5,011 | |
Potash Corp. of Saskatchewan Inc. | 3.000% | 4/1/25 | 3,225 | 3,246 | |
Praxair Inc. | 3.000% | 9/1/21 | 6,675 | 7,117 | |
Praxair Inc. | 2.450% | 2/15/22 | 8,021 | 8,323 | |
Praxair Inc. | 2.200% | 8/15/22 | 3,450 | 3,527 | |
Praxair Inc. | 2.700% | 2/21/23 | 250 | 261 | |
Praxair Inc. | 2.650% | 2/5/25 | 750 | 778 | |
Praxair Inc. | 3.200% | 1/30/26 | 4,525 | 4,903 | |
Rayonier Inc. | 3.750% | 4/1/22 | 2,175 | 2,186 | |
Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 2,200 | 2,253 | |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 5,775 | 6,186 | |
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 7,500 | 7,857 | |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 6,002 | 6,299 | |
Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 15,975 | 16,256 | |
RPM International Inc. | 3.450% | 11/15/22 | 2,900 | 2,954 | |
Sherwin-Williams Co. | 3.450% | 8/1/25 | 2,500 | 2,596 | |
Southern Copper Corp. | 3.500% | 11/8/22 | 1,500 | 1,468 | |
Southern Copper Corp. | 3.875% | 4/23/25 | 5,675 | 5,576 | |
Syngenta Finance NV | 3.125% | 3/28/22 | 2,815 | 2,960 | |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 17,170 | 16,054 | |
Valspar Corp. | 4.200% | 1/15/22 | 1,590 | 1,706 | |
Valspar Corp. | 3.950% | 1/15/26 | 2,600 | 2,740 | |
Westlake Chemical Corp. | 3.600% | 7/15/22 | 1,750 | 1,791 | |
WestRock RKT Co. | 4.000% | 3/1/23 | 6,500 | 6,740 | |
Weyerhaeuser Co. | 4.625% | 9/15/23 | 3,540 | 3,945 | |
Weyerhaeuser Co. | 8.500% | 1/15/25 | 600 | 794 | |
Worthington Industries Inc. | 4.550% | 4/15/26 | 425 | 441 | |
Yamana Gold Inc. | 4.950% | 7/15/24 | 3,105 | 3,055 | |
Capital Goods (1.9%) | |||||
3M Co. | 2.000% | 6/26/22 | 3,165 | 3,240 | |
3M Co. | 3.000% | 8/7/25 | 2,100 | 2,289 | |
ABB Finance USA Inc. | 2.875% | 5/8/22 | 7,665 | 8,039 | |
Avery Dennison Corp. | 3.350% | 4/15/23 | 350 | 359 | |
Bemis Co. Inc. | 4.500% | 10/15/21 | 2,075 | 2,258 | |
Boeing Co. | 8.750% | 8/15/21 | 1,000 | 1,329 | |
Boeing Co. | 2.350% | 10/30/21 | 6,150 | 6,402 | |
Boeing Co. | 2.200% | 10/30/22 | 4,000 | 4,082 | |
Boeing Co. | 1.875% | 6/15/23 | 3,750 | 3,743 | |
Boeing Co. | 7.950% | 8/15/24 | 287 | 407 | |
Boeing Co. | 2.850% | 10/30/24 | 2,695 | 2,847 | |
Boeing Co. | 2.500% | 3/1/25 | 3,400 | 3,514 | |
Boeing Co. | 2.600% | 10/30/25 | 3,250 | 3,371 | |
Boeing Co. | 2.250% | 6/15/26 | 3,000 | 3,009 | |
Carlisle Cos. Inc. | 3.750% | 11/15/22 | 3,950 | 4,076 | |
Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 1,750 | 1,838 | |
Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 1,500 | 1,659 | |
Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 1,000 | 1,069 | |
Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 400 | 427 | |
Caterpillar Inc. | 2.600% | 6/26/22 | 9,900 | 10,214 | |
Caterpillar Inc. | 3.400% | 5/15/24 | 13,450 | 14,463 | |
Crane Co. | 4.450% | 12/15/23 | 2,890 | 3,091 | |
Deere & Co. | 2.600% | 6/8/22 | 13,050 | 13,461 | |
Dover Corp. | 3.150% | 11/15/25 | 600 | 636 | |
Eaton Corp. | 2.750% | 11/2/22 | 8,920 | 9,122 | |
Embraer Netherlands Finance BV | 5.050% | 6/15/25 | 9,349 | 9,226 | |
5 | Embraer Overseas Ltd. | 5.696% | 9/16/23 | 4,500 | 4,655 |
50
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Emerson Electric Co. | 2.625% | 12/1/21 | 3,150 | 3,323 | |
Emerson Electric Co. | 2.625% | 2/15/23 | 3,525 | 3,657 | |
Emerson Electric Co. | 3.150% | 6/1/25 | 3,300 | 3,512 | |
Exelis Inc. | 5.550% | 10/1/21 | 2,400 | 2,721 | |
Flowserve Corp. | 3.500% | 9/15/22 | 7,590 | 7,823 | |
Flowserve Corp. | 4.000% | 11/15/23 | 2,000 | 2,060 | |
5 | Fortive Corp. | 3.150% | 6/15/26 | 6,600 | 6,791 |
Fortune Brands Home & Security Inc. | 4.000% | 6/15/25 | 3,000 | 3,199 | |
General Dynamics Corp. | 3.875% | 7/15/21 | 3,375 | 3,715 | |
General Dynamics Corp. | 2.250% | 11/15/22 | 7,253 | 7,421 | |
General Electric Capital Corp. | 4.650% | 10/17/21 | 15,701 | 17,974 | |
General Electric Capital Corp. | 3.150% | 9/7/22 | 6,266 | 6,725 | |
General Electric Capital Corp. | 3.100% | 1/9/23 | 12,408 | 13,249 | |
General Electric Capital Corp. | 3.450% | 5/15/24 | 3,711 | 4,059 | |
General Electric Co. | 2.700% | 10/9/22 | 28,780 | 29,972 | |
General Electric Co. | 3.375% | 3/11/24 | 10,200 | 11,129 | |
Harris Corp. | 3.832% | 4/27/25 | 6,423 | 6,826 | |
Hexcel Corp. | 4.700% | 8/15/25 | 1,500 | 1,599 | |
Hubbell Inc. | 3.350% | 3/1/26 | 3,418 | 3,569 | |
IDEX Corp. | 4.200% | 12/15/21 | 400 | 430 | |
Illinois Tool Works Inc. | 3.375% | 9/15/21 | 750 | 809 | |
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 4,600 | 5,062 | |
Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 7,775 | 8,640 | |
Ingersoll-Rand Luxembourg Finance SA | 3.550% | 11/1/24 | 4,800 | 5,056 | |
John Deere Capital Corp. | 3.900% | 7/12/21 | 4,300 | 4,741 | |
John Deere Capital Corp. | 3.150% | 10/15/21 | 3,335 | 3,568 | |
John Deere Capital Corp. | 2.750% | 3/15/22 | 425 | 440 | |
John Deere Capital Corp. | 2.800% | 1/27/23 | 3,275 | 3,406 | |
John Deere Capital Corp. | 2.800% | 3/6/23 | 4,199 | 4,396 | |
John Deere Capital Corp. | 3.350% | 6/12/24 | 7,000 | 7,549 | |
John Deere Capital Corp. | 3.400% | 9/11/25 | 2,300 | 2,482 | |
John Deere Capital Corp. | 2.650% | 6/10/26 | 3,700 | 3,770 | |
Kennametal Inc. | 3.875% | 2/15/22 | 2,425 | 2,463 | |
L-3 Communications Corp. | 3.950% | 5/28/24 | 1,436 | 1,506 | |
Leggett & Platt Inc. | 3.800% | 11/15/24 | 3,200 | 3,382 | |
Legrand France SA | 8.500% | 2/15/25 | 2,700 | 3,680 | |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 7,405 | 7,925 | |
Lockheed Martin Corp. | 3.100% | 1/15/23 | 4,150 | 4,375 | |
Lockheed Martin Corp. | 2.900% | 3/1/25 | 4,546 | 4,714 | |
Lockheed Martin Corp. | 3.550% | 1/15/26 | 18,350 | 20,015 | |
Martin Marietta Materials Inc. | 4.250% | 7/2/24 | 2,790 | 2,982 | |
Mohawk Industries Inc. | 3.850% | 2/1/23 | 6,487 | 6,839 | |
Northrop Grumman Corp. | 3.250% | 8/1/23 | 12,000 | 12,865 | |
Northrop Grumman Systems Corp. | 7.875% | 3/1/26 | 525 | 739 | |
Owens Corning | 4.200% | 12/15/22 | 4,200 | 4,475 | |
Owens Corning | 4.200% | 12/1/24 | 3,250 | 3,401 | |
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 9,550 | 10,277 | |
Pentair Finance SA | 3.150% | 9/15/22 | 3,970 | 3,944 | |
Pentair Finance SA | 4.650% | 9/15/25 | 2,075 | 2,170 | |
Precision Castparts Corp. | 2.500% | 1/15/23 | 7,650 | 7,909 | |
Precision Castparts Corp. | 3.250% | 6/15/25 | 6,900 | 7,395 | |
Raytheon Co. | 2.500% | 12/15/22 | 8,925 | 9,291 | |
Raytheon Co. | 3.150% | 12/15/24 | 2,100 | 2,276 | |
Republic Services Inc. | 5.250% | 11/15/21 | 10,688 | 12,361 | |
Republic Services Inc. | 3.550% | 6/1/22 | 4,547 | 4,916 | |
Republic Services Inc. | 4.750% | 5/15/23 | 825 | 944 | |
Republic Services Inc. | 3.200% | 3/15/25 | 5,896 | 6,167 | |
Republic Services Inc. | 2.900% | 7/1/26 | 375 | 380 | |
Rockwell Automation Inc. | 2.875% | 3/1/25 | 773 | 805 | |
Rockwell Collins Inc. | 3.100% | 11/15/21 | 1,875 | 1,962 | |
Rockwell Collins Inc. | 3.700% | 12/15/23 | 2,510 | 2,759 | |
Roper Technologies Inc. | 3.125% | 11/15/22 | 2,350 | 2,406 | |
Roper Technologies Inc. | 3.850% | 12/15/25 | 1,575 | 1,689 | |
Snap-on Inc. | 6.125% | 9/1/21 | 2,825 | 3,431 |
51
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Sonoco Products Co. | 4.375% | 11/1/21 | 1,100 | 1,183 | |
Spirit AeroSystems Inc. | 5.250% | 3/15/22 | 2,500 | 2,622 | |
Spirit AeroSystems Inc. | 3.850% | 6/15/26 | 70 | 73 | |
Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 4,975 | 5,324 | |
Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 2,610 | 2,752 | |
Textron Inc. | 4.300% | 3/1/24 | 2,500 | 2,709 | |
Textron Inc. | 3.875% | 3/1/25 | 1,800 | 1,900 | |
Textron Inc. | 4.000% | 3/15/26 | 3,000 | 3,169 | |
Timken CO | 3.875% | 9/1/24 | 2,650 | 2,687 | |
Tyco International Finance SA | 3.900% | 2/14/26 | 5,000 | 5,371 | |
United Technologies Corp. | 3.100% | 6/1/22 | 16,896 | 18,011 | |
Vulcan Materials Co. | 4.500% | 4/1/25 | 2,800 | 2,991 | |
Waste Management Inc. | 2.900% | 9/15/22 | 1,966 | 2,057 | |
Waste Management Inc. | 2.400% | 5/15/23 | 1,550 | 1,569 | |
Waste Management Inc. | 3.500% | 5/15/24 | 3,310 | 3,575 | |
Waste Management Inc. | 3.125% | 3/1/25 | 6,050 | 6,359 | |
Communication (3.4%) | |||||
21st Century Fox America Inc. | 3.000% | 9/15/22 | 13,139 | 13,711 | |
21st Century Fox America Inc. | 8.875% | 4/26/23 | 1,255 | 1,710 | |
21st Century Fox America Inc. | 4.000% | 10/1/23 | 2,475 | 2,722 | |
21st Century Fox America Inc. | 3.700% | 9/15/24 | 3,325 | 3,597 | |
21st Century Fox America Inc. | 3.700% | 10/15/25 | 5,250 | 5,680 | |
America Movil SAB de CV | 3.125% | 7/16/22 | 13,325 | 13,629 | |
American Tower Corp. | 3.450% | 9/15/21 | 4,750 | 4,928 | |
American Tower Corp. | 5.900% | 11/1/21 | 4,300 | 5,005 | |
American Tower Corp. | 4.700% | 3/15/22 | 615 | 679 | |
American Tower Corp. | 3.500% | 1/31/23 | 11,845 | 12,262 | |
American Tower Corp. | 5.000% | 2/15/24 | 7,588 | 8,572 | |
American Tower Corp. | 4.000% | 6/1/25 | 7,375 | 7,849 | |
American Tower Corp. | 4.400% | 2/15/26 | 3,675 | 3,988 | |
American Tower Corp. | 3.375% | 10/15/26 | 2,810 | 2,820 | |
AT&T Inc. | 3.875% | 8/15/21 | 10,550 | 11,356 | |
AT&T Inc. | 3.000% | 2/15/22 | 13,126 | 13,390 | |
AT&T Inc. | 3.800% | 3/15/22 | 11,227 | 11,958 | |
AT&T Inc. | 3.000% | 6/30/22 | 19,350 | 19,849 | |
AT&T Inc. | 2.625% | 12/1/22 | 9,033 | 9,066 | |
AT&T Inc. | 3.600% | 2/17/23 | 23,075 | 24,147 | |
AT&T Inc. | 3.900% | 3/11/24 | 250 | 264 | |
AT&T Inc. | 4.450% | 4/1/24 | 19,379 | 21,298 | |
AT&T Inc. | 3.950% | 1/15/25 | 7,125 | 7,562 | |
AT&T Inc. | 3.400% | 5/15/25 | 38,291 | 39,100 | |
AT&T Inc. | 4.125% | 2/17/26 | 16,993 | 18,263 | |
CBS Corp. | 3.375% | 3/1/22 | 500 | 522 | |
CBS Corp. | 3.700% | 8/15/24 | 9,975 | 10,478 | |
CBS Corp. | 3.500% | 1/15/25 | 3,250 | 3,365 | |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 8,885 | 9,465 | |
5 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 4.464% | 7/23/22 | 21,270 | 22,867 | |
5 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 4.908% | 7/23/25 | 32,575 | 35,485 | |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 7,328 | 10,433 | |
Comcast Corp. | 3.125% | 7/15/22 | 8,682 | 9,278 | |
Comcast Corp. | 2.850% | 1/15/23 | 2,150 | 2,261 | |
Comcast Corp. | 2.750% | 3/1/23 | 6,052 | 6,328 | |
Comcast Corp. | 3.600% | 3/1/24 | 7,765 | 8,512 | |
Comcast Corp. | 3.375% | 2/15/25 | 12,100 | 13,066 | |
Comcast Corp. | 3.375% | 8/15/25 | 8,071 | 8,701 | |
Comcast Corp. | 3.150% | 3/1/26 | 16,720 | 17,772 | |
Crown Castle International Corp. | 4.875% | 4/15/22 | 5,515 | 6,053 | |
Crown Castle International Corp. | 5.250% | 1/15/23 | 21,121 | 23,708 | |
Crown Castle International Corp. | 4.450% | 2/15/26 | 6,900 | 7,487 | |
Crown Castle International Corp. | 3.700% | 6/15/26 | 5,500 | 5,664 | |
Discovery Communications LLC | 3.300% | 5/15/22 | 1,900 | 1,926 |
52
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Discovery Communications LLC | 3.250% | 4/1/23 | 2,150 | 2,102 |
Discovery Communications LLC | 3.450% | 3/15/25 | 3,400 | 3,301 |
Discovery Communications LLC | 4.900% | 3/11/26 | 3,000 | 3,179 |
Electronic Arts Inc. | 4.800% | 3/1/26 | 3,000 | 3,242 |
Grupo Televisa SAB | 6.625% | 3/18/25 | 850 | 1,042 |
Grupo Televisa SAB | 4.625% | 1/30/26 | 3,350 | 3,621 |
Interpublic Group of Cos. Inc. | 4.000% | 3/15/22 | 3,010 | 3,206 |
Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 2,250 | 2,355 |
Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 2,925 | 3,136 |
Moody's Corp. | 4.500% | 9/1/22 | 7,741 | 8,617 |
Moody's Corp. | 4.875% | 2/15/24 | 6,600 | 7,511 |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 19,200 | 20,169 |
Omnicom Group Inc. | 3.625% | 5/1/22 | 6,686 | 7,112 |
Omnicom Group Inc. | 3.650% | 11/1/24 | 15,985 | 16,920 |
Omnicom Group Inc. | 3.600% | 4/15/26 | 7,450 | 7,784 |
Orange SA | 4.125% | 9/14/21 | 6,775 | 7,473 |
Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 1,250 | 1,606 |
Qwest Corp. | 6.750% | 12/1/21 | 9,370 | 10,136 |
Qwest Corp. | 7.250% | 9/15/25 | 1,250 | 1,334 |
RELX Capital Inc. | 3.125% | 10/15/22 | 6,482 | 6,605 |
Rogers Communications Inc. | 3.000% | 3/15/23 | 3,665 | 3,794 |
Rogers Communications Inc. | 4.100% | 10/1/23 | 8,500 | 9,398 |
Rogers Communications Inc. | 3.625% | 12/15/25 | 900 | 962 |
S&P Global Inc. | 4.000% | 6/15/25 | 6,100 | 6,662 |
Scripps Networks Interactive Inc. | 3.500% | 6/15/22 | 3,000 | 3,124 |
Scripps Networks Interactive Inc. | 3.900% | 11/15/24 | 2,400 | 2,523 |
Telefonica Emisiones SAU | 4.570% | 4/27/23 | 3,900 | 4,314 |
Thomson Reuters Corp. | 3.950% | 9/30/21 | 1,975 | 2,121 |
Thomson Reuters Corp. | 4.300% | 11/23/23 | 6,750 | 7,414 |
Thomson Reuters Corp. | 3.850% | 9/29/24 | 2,000 | 2,130 |
Thomson Reuters Corp. | 3.350% | 5/15/26 | 10,100 | 10,343 |
Time Warner Cable Inc. | 4.000% | 9/1/21 | 9,500 | 10,084 |
Time Warner Cos. Inc. | 7.570% | 2/1/24 | 3,000 | 3,814 |
Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 3,803 | 4,909 |
Time Warner Inc. | 4.000% | 1/15/22 | 7,082 | 7,649 |
Time Warner Inc. | 3.400% | 6/15/22 | 4,176 | 4,401 |
Time Warner Inc. | 4.050% | 12/15/23 | 3,175 | 3,493 |
Time Warner Inc. | 3.550% | 6/1/24 | 2,425 | 2,570 |
Time Warner Inc. | 3.600% | 7/15/25 | 12,900 | 13,681 |
Time Warner Inc. | 3.875% | 1/15/26 | 7,375 | 7,954 |
Verizon Communications Inc. | 3.000% | 11/1/21 | 10,911 | 11,474 |
Verizon Communications Inc. | 3.500% | 11/1/21 | 19,586 | 21,069 |
Verizon Communications Inc. | 2.450% | 11/1/22 | 4,789 | 4,836 |
Verizon Communications Inc. | 5.150% | 9/15/23 | 59,472 | 69,338 |
Verizon Communications Inc. | 4.150% | 3/15/24 | 14,735 | 16,236 |
Verizon Communications Inc. | 3.500% | 11/1/24 | 31,024 | 33,064 |
Viacom Inc. | 3.875% | 12/15/21 | 910 | 956 |
Viacom Inc. | 3.125% | 6/15/22 | 5,025 | 5,018 |
Viacom Inc. | 4.250% | 9/1/23 | 7,925 | 8,229 |
Viacom Inc. | 3.875% | 4/1/24 | 7,675 | 7,824 |
Vodafone Group plc | 2.500% | 9/26/22 | 4,900 | 4,835 |
Vodafone Group plc | 2.950% | 2/19/23 | 14,005 | 14,194 |
Walt Disney Co. | 2.750% | 8/16/21 | 7,425 | 7,909 |
Walt Disney Co. | 2.550% | 2/15/22 | 2,500 | 2,617 |
Walt Disney Co. | 2.350% | 12/1/22 | 6,007 | 6,205 |
Walt Disney Co. | 3.150% | 9/17/25 | 5,750 | 6,300 |
Walt Disney Co. | 3.000% | 2/13/26 | 5,700 | 6,136 |
WPP Finance 2010 | 4.750% | 11/21/21 | 8,127 | 9,035 |
WPP Finance 2010 | 3.750% | 9/19/24 | 5,843 | 6,201 |
Consumer Cyclical (3.3%) | ||||
Advance Auto Parts Inc. | 4.500% | 1/15/22 | 1,750 | 1,881 |
Advance Auto Parts Inc. | 4.500% | 12/1/23 | 3,646 | 3,918 |
Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 9,850 | 10,122 |
53
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 15,675 | 16,104 | |
Amazon.com Inc. | 3.300% | 12/5/21 | 7,478 | 8,065 | |
Amazon.com Inc. | 2.500% | 11/29/22 | 11,608 | 12,017 | |
Amazon.com Inc. | 3.800% | 12/5/24 | 6,057 | 6,780 | |
Automatic Data Processing Inc. | 3.375% | 9/15/25 | 6,685 | 7,269 | |
AutoNation Inc. | 4.500% | 10/1/25 | 4,000 | 4,224 | |
AutoZone Inc. | 3.700% | 4/15/22 | 9,316 | 9,928 | |
AutoZone Inc. | 2.875% | 1/15/23 | 125 | 127 | |
AutoZone Inc. | 3.125% | 7/15/23 | 2,775 | 2,874 | |
AutoZone Inc. | 3.250% | 4/15/25 | 2,300 | 2,394 | |
AutoZone Inc. | 3.125% | 4/21/26 | 3,050 | 3,128 | |
Bed Bath & Beyond Inc. | 3.749% | 8/1/24 | 1,925 | 1,938 | |
Block Financial LLC | 5.500% | 11/1/22 | 4,200 | 4,537 | |
Block Financial LLC | 5.250% | 10/1/25 | 4,450 | 4,670 | |
BorgWarner Inc. | 3.375% | 3/15/25 | 2,950 | 3,017 | |
Brinker International Inc. | 3.875% | 5/15/23 | 1,850 | 1,870 | |
Coach Inc. | 4.250% | 4/1/25 | 4,300 | 4,422 | |
Costco Wholesale Corp. | 2.250% | 2/15/22 | 3,104 | 3,198 | |
Cummins Inc. | 3.650% | 10/1/23 | 2,839 | 3,078 | |
CVS Health Corp. | 3.500% | 7/20/22 | 10,500 | 11,303 | |
CVS Health Corp. | 2.750% | 12/1/22 | 9,581 | 9,898 | |
CVS Health Corp. | 4.750% | 12/1/22 | 2,000 | 2,281 | |
CVS Health Corp. | 4.000% | 12/5/23 | 11,750 | 12,990 | |
CVS Health Corp. | 3.375% | 8/12/24 | 8,975 | 9,558 | |
CVS Health Corp. | 5.000% | 12/1/24 | 3,926 | 4,567 | |
CVS Health Corp. | 3.875% | 7/20/25 | 21,142 | 23,292 | |
CVS Health Corp. | 2.875% | 6/1/26 | 10,800 | 11,034 | |
Delphi Automotive plc | 4.250% | 1/15/26 | 4,500 | 4,903 | |
Delphi Corp. | 5.000% | 2/15/23 | 4,970 | 5,262 | |
Delphi Corp. | 4.150% | 3/15/24 | 5,000 | 5,348 | |
Dollar General Corp. | 3.250% | 4/15/23 | 4,470 | 4,600 | |
Dollar General Corp. | 4.150% | 11/1/25 | 4,300 | 4,708 | |
eBay Inc. | 2.875% | 8/1/21 | 4,700 | 4,855 | |
eBay Inc. | 3.800% | 3/9/22 | 5,501 | 5,814 | |
eBay Inc. | 2.600% | 7/15/22 | 6,915 | 6,842 | |
eBay Inc. | 3.450% | 8/1/24 | 7,625 | 7,800 | |
Expedia Inc. | 4.500% | 8/15/24 | 3,610 | 3,700 | |
5 | Expedia Inc. | 5.000% | 2/15/26 | 6,000 | 6,234 |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 13,875 | 15,903 | |
Ford Motor Credit Co. LLC | 3.219% | 1/9/22 | 5,570 | 5,712 | |
Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 7,650 | 8,248 | |
Ford Motor Credit Co. LLC | 3.096% | 5/4/23 | 350 | 354 | |
Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 9,550 | 10,360 | |
Ford Motor Credit Co. LLC | 3.664% | 9/8/24 | 11,000 | 11,376 | |
Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 10,239 | 10,983 | |
Ford Motor Credit Co. LLC | 4.389% | 1/8/26 | 9,100 | 9,938 | |
General Motors Co. | 4.875% | 10/2/23 | 18,453 | 19,606 | |
General Motors Co. | 4.000% | 4/1/25 | 1,150 | 1,159 | |
General Motors Financial Co. Inc. | 3.200% | 7/6/21 | 11,300 | 11,328 | |
General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 12,460 | 13,130 | |
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 11,274 | 11,246 | |
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 6,000 | 6,037 | |
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 5,346 | 5,480 | |
General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 8,920 | 9,020 | |
General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 5,550 | 5,698 | |
General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 7,050 | 7,614 | |
Harley-Davidson Inc. | 3.500% | 7/28/25 | 3,400 | 3,647 | |
Harman International Industries Inc. | 4.150% | 5/15/25 | 2,400 | 2,504 | |
Home Depot Inc. | 2.625% | 6/1/22 | 10,648 | 11,136 | |
Home Depot Inc. | 2.700% | 4/1/23 | 5,475 | 5,742 | |
Home Depot Inc. | 3.750% | 2/15/24 | 7,295 | 8,167 | |
Home Depot Inc. | 3.350% | 9/15/25 | 8,292 | 9,042 | |
Home Depot Inc. | 3.000% | 4/1/26 | 8,827 | 9,383 | |
Hyatt Hotels Corp. | 5.375% | 8/15/21 | 1,325 | 1,498 |
54
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Hyatt Hotels Corp. | 3.375% | 7/15/23 | 2,025 | 2,049 |
Hyatt Hotels Corp. | 4.850% | 3/15/26 | 2,250 | 2,448 |
Johnson Controls Inc. | 3.750% | 12/1/21 | 3,525 | 3,755 |
Johnson Controls Inc. | 3.625% | 7/2/24 | 3,725 | 3,948 |
Kohl's Corp. | 4.000% | 11/1/21 | 4,950 | 5,178 |
Kohl's Corp. | 3.250% | 2/1/23 | 3,460 | 3,439 |
Kohl's Corp. | 4.750% | 12/15/23 | 2,250 | 2,387 |
Kohl's Corp. | 4.250% | 7/17/25 | 4,350 | 4,307 |
Lowe's Cos. Inc. | 3.800% | 11/15/21 | 2,870 | 3,152 |
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 6,242 | 6,670 |
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 6,950 | 7,757 |
Lowe's Cos. Inc. | 3.125% | 9/15/24 | 1,961 | 2,094 |
Lowe's Cos. Inc. | 3.375% | 9/15/25 | 7,840 | 8,572 |
Lowe's Cos. Inc. | 2.500% | 4/15/26 | 7,000 | 7,131 |
Macy's Retail Holdings Inc. | 3.875% | 1/15/22 | 10,020 | 10,302 |
Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 5,740 | 5,460 |
Macy's Retail Holdings Inc. | 4.375% | 9/1/23 | 1,825 | 1,895 |
Macy's Retail Holdings Inc. | 3.625% | 6/1/24 | 3,865 | 3,771 |
Magna International Inc. | 3.625% | 6/15/24 | 4,500 | 4,774 |
Magna International Inc. | 4.150% | 10/1/25 | 2,000 | 2,199 |
Marriott International Inc. | 3.125% | 10/15/21 | 2,575 | 2,670 |
Marriott International Inc. | 2.300% | 1/15/22 | 5,000 | 5,023 |
Marriott International Inc. | 3.250% | 9/15/22 | 3,125 | 3,245 |
Marriott International Inc. | 3.750% | 10/1/25 | 1,335 | 1,428 |
Marriott International Inc. | 3.125% | 6/15/26 | 6,625 | 6,716 |
MasterCard Inc. | 3.375% | 4/1/24 | 6,075 | 6,587 |
McDonald's Corp. | 2.625% | 1/15/22 | 6,632 | 6,854 |
McDonald's Corp. | 3.375% | 5/26/25 | 5,805 | 6,172 |
McDonald's Corp. | 3.700% | 1/30/26 | 13,889 | 14,974 |
NIKE Inc. | 2.250% | 5/1/23 | 2,623 | 2,692 |
Nordstrom Inc. | 4.000% | 10/15/21 | 3,254 | 3,478 |
NVR Inc. | 3.950% | 9/15/22 | 4,881 | 5,172 |
O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 3,000 | 3,219 |
O'Reilly Automotive Inc. | 3.850% | 6/15/23 | 3,675 | 3,957 |
O'Reilly Automotive Inc. | 3.550% | 3/15/26 | 2,500 | 2,633 |
Priceline Group Inc. | 3.650% | 3/15/25 | 3,350 | 3,548 |
Priceline Group Inc. | 3.600% | 6/1/26 | 3,150 | 3,247 |
QVC Inc. | 5.125% | 7/2/22 | 4,550 | 4,852 |
QVC Inc. | 4.375% | 3/15/23 | 4,050 | 4,078 |
QVC Inc. | 4.850% | 4/1/24 | 6,275 | 6,506 |
QVC Inc. | 4.450% | 2/15/25 | 265 | 266 |
Ross Stores Inc. | 3.375% | 9/15/24 | 1,275 | 1,335 |
Signet UK Finance plc | 4.700% | 6/15/24 | 3,200 | 3,126 |
Staples Inc. | 4.375% | 1/12/23 | 3,025 | 3,085 |
Starbucks Corp. | 2.700% | 6/15/22 | 1,900 | 2,004 |
Starbucks Corp. | 3.850% | 10/1/23 | 6,890 | 7,732 |
Starbucks Corp. | 2.450% | 6/15/26 | 3,600 | 3,640 |
Starwood Hotels & Resorts Worldwide Inc. | 3.125% | 2/15/23 | 2,630 | 2,661 |
Starwood Hotels & Resorts Worldwide Inc. | 3.750% | 3/15/25 | 2,500 | 2,628 |
Target Corp. | 2.900% | 1/15/22 | 7,277 | 7,731 |
Target Corp. | 3.500% | 7/1/24 | 6,377 | 7,043 |
Target Corp. | 2.500% | 4/15/26 | 9,000 | 9,216 |
TJX Cos. Inc. | 2.500% | 5/15/23 | 2,725 | 2,841 |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 6,005 | 6,527 |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 9,350 | 10,075 |
Toyota Motor Credit Corp. | 2.800% | 7/13/22 | 3,225 | 3,392 |
Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 3,000 | 3,135 |
Under Armour Inc. | 3.250% | 6/15/26 | 4,295 | 4,333 |
VF Corp. | 3.500% | 9/1/21 | 3,450 | 3,748 |
Visa Inc. | 2.800% | 12/14/22 | 13,313 | 14,006 |
Visa Inc. | 3.150% | 12/14/25 | 34,500 | 36,719 |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 14,119 | 14,713 |
Wal-Mart Stores Inc. | 3.300% | 4/22/24 | 16,400 | 17,975 |
Walgreen Co. | 3.100% | 9/15/22 | 4,461 | 4,595 |
55
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Walgreens Boots Alliance Inc. | 2.600% | 6/1/21 | 2,515 | 2,562 |
Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 12,500 | 13,106 |
Walgreens Boots Alliance Inc. | 3.100% | 6/1/23 | 4,950 | 5,032 |
Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 15,889 | 16,841 |
Walgreens Boots Alliance Inc. | 3.450% | 6/1/26 | 14,500 | 14,874 |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 4,577 | 4,845 |
Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 7,125 | 7,325 |
Wyndham Worldwide Corp. | 5.100% | 10/1/25 | 1,000 | 1,087 |
Consumer Noncyclical (6.6%) | ||||
Abbott Laboratories | 2.550% | 3/15/22 | 5,000 | 5,109 |
Abbott Laboratories | 2.950% | 3/15/25 | 5,600 | 5,719 |
AbbVie Inc. | 2.900% | 11/6/22 | 22,811 | 23,218 |
AbbVie Inc. | 3.200% | 11/6/22 | 8,045 | 8,319 |
AbbVie Inc. | 2.850% | 5/14/23 | 9,000 | 9,121 |
AbbVie Inc. | 3.600% | 5/14/25 | 32,521 | 34,092 |
AbbVie Inc. | 3.200% | 5/14/26 | 12,600 | 12,765 |
Actavis Funding SCS | 3.450% | 3/15/22 | 22,348 | 23,220 |
Actavis Funding SCS | 3.850% | 6/15/24 | 13,800 | 14,489 |
Actavis Funding SCS | 3.800% | 3/15/25 | 31,856 | 33,104 |
Actavis Inc. | 3.250% | 10/1/22 | 14,242 | 14,530 |
Agilent Technologies Inc. | 3.200% | 10/1/22 | 4,975 | 5,096 |
Agilent Technologies Inc. | 3.875% | 7/15/23 | 5,510 | 5,826 |
Allergan Inc. | 2.800% | 3/15/23 | 3,475 | 3,436 |
Altria Group Inc. | 2.850% | 8/9/22 | 12,806 | 13,418 |
Altria Group Inc. | 2.950% | 5/2/23 | 4,050 | 4,256 |
Altria Group Inc. | 4.000% | 1/31/24 | 10,225 | 11,444 |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 6,625 | 7,092 |
AmerisourceBergen Corp. | 3.400% | 5/15/24 | 3,900 | 4,125 |
AmerisourceBergen Corp. | 3.250% | 3/1/25 | 2,100 | 2,201 |
Amgen Inc. | 3.875% | 11/15/21 | 13,970 | 15,241 |
Amgen Inc. | 2.700% | 5/1/22 | 1,600 | 1,648 |
Amgen Inc. | 3.625% | 5/15/22 | 6,667 | 7,178 |
Amgen Inc. | 3.625% | 5/22/24 | 10,495 | 11,268 |
Amgen Inc. | 3.125% | 5/1/25 | 8,175 | 8,521 |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 11,750 | 11,913 |
Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 40,510 | 42,575 |
Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 8,015 | 8,643 |
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 84,817 | 90,647 |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 31,401 | 31,908 |
AstraZeneca plc | 3.375% | 11/16/25 | 14,000 | 14,641 |
Baxalta Inc. | 3.600% | 6/23/22 | 3,225 | 3,335 |
Baxalta Inc. | 4.000% | 6/23/25 | 12,800 | 13,374 |
Beam Suntory Inc. | 3.250% | 5/15/22 | 925 | 952 |
Beam Suntory Inc. | 3.250% | 6/15/23 | 500 | 517 |
Becton Dickinson & Co. | 3.125% | 11/8/21 | 8,980 | 9,413 |
Becton Dickinson & Co. | 3.300% | 3/1/23 | 2,800 | 2,943 |
Becton Dickinson & Co. | 3.875% | 5/15/24 | 515 | 560 |
Becton Dickinson & Co. | 3.734% | 12/15/24 | 14,274 | 15,387 |
Biogen Inc. | 3.625% | 9/15/22 | 8,926 | 9,481 |
Biogen Inc. | 4.050% | 9/15/25 | 12,260 | 13,251 |
Boston Scientific Corp. | 3.375% | 5/15/22 | 3,925 | 4,080 |
Boston Scientific Corp. | 4.125% | 10/1/23 | 3,906 | 4,249 |
Boston Scientific Corp. | 3.850% | 5/15/25 | 7,225 | 7,639 |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 8,025 | 8,157 |
Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 425 | 561 |
Brown-Forman Corp. | 2.250% | 1/15/23 | 1,050 | 1,062 |
Campbell Soup Co. | 2.500% | 8/2/22 | 3,000 | 3,049 |
Campbell Soup Co. | 3.300% | 3/19/25 | 1,900 | 2,010 |
Cardinal Health Inc. | 3.200% | 6/15/22 | 1,850 | 1,956 |
Cardinal Health Inc. | 3.200% | 3/15/23 | 3,000 | 3,143 |
Cardinal Health Inc. | 3.750% | 9/15/25 | 6,600 | 7,203 |
Catholic Health Initiatives Colorado GO | 2.950% | 11/1/22 | 4,200 | 4,299 |
Celgene Corp. | 3.250% | 8/15/22 | 9,618 | 9,962 |
56
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Celgene Corp. | 3.550% | 8/15/22 | 3,922 | 4,106 |
Celgene Corp. | 4.000% | 8/15/23 | 5,350 | 5,710 |
Celgene Corp. | 3.625% | 5/15/24 | 12,000 | 12,543 |
Celgene Corp. | 3.875% | 8/15/25 | 18,355 | 19,604 |
Clorox Co. | 3.800% | 11/15/21 | 575 | 625 |
Clorox Co. | 3.050% | 9/15/22 | 4,540 | 4,753 |
Clorox Co. | 3.500% | 12/15/24 | 4,000 | 4,282 |
Coca-Cola Bottling Co. Consolidated | 3.800% | 11/25/25 | 5,350 | 5,727 |
Coca-Cola Co. | 3.300% | 9/1/21 | 11,201 | 12,155 |
Coca-Cola Co. | 2.500% | 4/1/23 | 1,720 | 1,783 |
Coca-Cola Co. | 3.200% | 11/1/23 | 11,500 | 12,390 |
Coca-Cola Co. | 2.875% | 10/27/25 | 16,275 | 17,090 |
Coca-Cola Co. | 2.550% | 6/1/26 | 1,800 | 1,852 |
Coca-Cola Enterprises Inc. | 4.500% | 9/1/21 | 3,550 | 3,965 |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 7,900 | 8,471 |
Coca-Cola Refreshments USA Inc. | 8.500% | 2/1/22 | 350 | 467 |
Colgate-Palmolive Co. | 2.450% | 11/15/21 | 5,000 | 5,246 |
Colgate-Palmolive Co. | 2.300% | 5/3/22 | 4,398 | 4,560 |
Colgate-Palmolive Co. | 1.950% | 2/1/23 | 3,000 | 3,047 |
Colgate-Palmolive Co. | 2.100% | 5/1/23 | 1,932 | 1,967 |
Colgate-Palmolive Co. | 3.250% | 3/15/24 | 2,660 | 2,949 |
ConAgra Foods Inc. | 3.250% | 9/15/22 | 4,025 | 4,157 |
ConAgra Foods Inc. | 3.200% | 1/25/23 | 7,183 | 7,413 |
Covidien International Finance SA | 3.200% | 6/15/22 | 6,579 | 7,036 |
CR Bard Inc. | 3.000% | 5/15/26 | 3,600 | 3,685 |
Danaher Corp. | 3.900% | 6/23/21 | 5,675 | 6,258 |
Danaher Corp. | 3.350% | 9/15/25 | 4,125 | 4,548 |
DENTSPLY SIRONA Inc. | 4.125% | 8/15/21 | 100 | 106 |
Diageo Capital plc | 2.625% | 4/29/23 | 6,610 | 6,819 |
Diageo Investment Corp. | 2.875% | 5/11/22 | 12,410 | 12,990 |
Dignity Health California GO | 3.125% | 11/1/22 | 1,833 | 1,886 |
Dignity Health California GO | 3.812% | 11/1/24 | 3,000 | 3,230 |
Dr Pepper Snapple Group Inc. | 3.200% | 11/15/21 | 3,967 | 4,203 |
Dr Pepper Snapple Group Inc. | 2.700% | 11/15/22 | 1,500 | 1,529 |
Dr Pepper Snapple Group Inc. | 3.400% | 11/15/25 | 1,400 | 1,486 |
Eli Lilly & Co. | 2.750% | 6/1/25 | 5,100 | 5,408 |
Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 2,603 | 2,676 |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 7,448 | 8,350 |
Express Scripts Holding Co. | 3.900% | 2/15/22 | 9,300 | 9,846 |
Express Scripts Holding Co. | 3.000% | 7/15/23 | 5,000 | 5,008 |
Express Scripts Holding Co. | 3.500% | 6/15/24 | 7,400 | 7,641 |
Express Scripts Holding Co. | 4.500% | 2/25/26 | 10,531 | 11,580 |
Flowers Foods Inc. | 4.375% | 4/1/22 | 2,750 | 2,993 |
Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 1,950 | 1,933 |
General Mills Inc. | 3.150% | 12/15/21 | 7,450 | 7,928 |
General Mills Inc. | 3.650% | 2/15/24 | 3,309 | 3,635 |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 14,925 | 16,846 |
Gilead Sciences Inc. | 3.250% | 9/1/22 | 8,185 | 8,729 |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 16,702 | 18,097 |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 11,781 | 12,586 |
Gilead Sciences Inc. | 3.650% | 3/1/26 | 24,320 | 26,455 |
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 5,650 | 5,930 |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 13,723 | 14,404 |
Hershey Co. | 2.625% | 5/1/23 | 2,250 | 2,282 |
Hershey Co. | 3.200% | 8/21/25 | 1,900 | 2,054 |
JM Smucker Co. | 3.500% | 10/15/21 | 4,950 | 5,324 |
JM Smucker Co. | 3.000% | 3/15/22 | 2,425 | 2,546 |
JM Smucker Co. | 3.500% | 3/15/25 | 7,450 | 8,026 |
Johnson & Johnson | 2.450% | 12/5/21 | 1,000 | 1,052 |
Johnson & Johnson | 2.050% | 3/1/23 | 6,410 | 6,561 |
Johnson & Johnson | 3.375% | 12/5/23 | 6,000 | 6,780 |
Johnson & Johnson | 2.450% | 3/1/26 | 11,500 | 11,875 |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 3,155 | 3,396 |
Kellogg Co. | 3.250% | 4/1/26 | 5,725 | 5,877 |
57
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Kimberly-Clark Corp. | 2.400% | 3/1/22 | 3,600 | 3,723 | |
Kimberly-Clark Corp. | 2.400% | 6/1/23 | 1,625 | 1,696 | |
Kimberly-Clark Corp. | 2.650% | 3/1/25 | 4,225 | 4,430 | |
Kimberly-Clark Corp. | 3.050% | 8/15/25 | 2,350 | 2,533 | |
Kimberly-Clark Corp. | 2.750% | 2/15/26 | 3,700 | 3,870 | |
Koninklijke Philips NV | 3.750% | 3/15/22 | 7,100 | 7,641 | |
Kraft Foods Group Inc. | 3.500% | 6/6/22 | 14,183 | 15,093 | |
5 | Kraft Heinz Foods Co. | 3.500% | 7/15/22 | 8,050 | 8,552 |
5 | Kraft Heinz Foods Co. | 3.950% | 7/15/25 | 12,533 | 13,629 |
5 | Kraft Heinz Foods Co. | 3.000% | 6/1/26 | 15,550 | 15,730 |
Kroger Co. | 2.950% | 11/1/21 | 4,300 | 4,493 | |
Kroger Co. | 3.400% | 4/15/22 | 3,129 | 3,331 | |
Kroger Co. | 3.850% | 8/1/23 | 4,795 | 5,269 | |
Kroger Co. | 4.000% | 2/1/24 | 5,436 | 6,037 | |
Kroger Co. | 3.500% | 2/1/26 | 2,050 | 2,212 | |
Laboratory Corp. of America Holdings | 3.200% | 2/1/22 | 2,554 | 2,642 | |
Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 2,000 | 2,107 | |
Laboratory Corp. of America Holdings | 4.000% | 11/1/23 | 1,875 | 2,004 | |
Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 6,900 | 7,176 | |
McCormick & Co. Inc. | 3.900% | 7/15/21 | 1,850 | 2,032 | |
McCormick & Co. Inc. | 3.500% | 9/1/23 | 1,775 | 1,921 | |
McCormick & Co. Inc. | 3.250% | 11/15/25 | 3,900 | 4,192 | |
McKesson Corp. | 2.700% | 12/15/22 | 4,450 | 4,507 | |
McKesson Corp. | 2.850% | 3/15/23 | 250 | 255 | |
McKesson Corp. | 3.796% | 3/15/24 | 9,300 | 10,074 | |
Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 8,175 | 8,917 | |
Medtronic Inc. | 3.125% | 3/15/22 | 5,628 | 5,991 | |
Medtronic Inc. | 3.150% | 3/15/22 | 24,652 | 26,276 | |
Medtronic Inc. | 2.750% | 4/1/23 | 1,450 | 1,492 | |
Medtronic Inc. | 3.625% | 3/15/24 | 3,950 | 4,342 | |
Medtronic Inc. | 3.500% | 3/15/25 | 32,746 | 35,812 | |
Merck & Co. Inc. | 2.350% | 2/10/22 | 6,221 | 6,412 | |
Merck & Co. Inc. | 2.400% | 9/15/22 | 6,863 | 7,062 | |
Merck & Co. Inc. | 2.800% | 5/18/23 | 13,075 | 13,687 | |
Merck & Co. Inc. | 2.750% | 2/10/25 | 17,275 | 18,077 | |
Molson Coors Brewing Co. | 2.100% | 7/15/21 | 3,600 | 3,617 | |
Molson Coors Brewing Co. | 3.500% | 5/1/22 | 2,300 | 2,441 | |
Mondelez International Inc. | 4.000% | 2/1/24 | 8,797 | 9,622 | |
Mylan Inc. | 4.200% | 11/29/23 | 6,025 | 6,352 | |
5 | Mylan NV | 3.950% | 6/15/26 | 8,900 | 8,947 |
Newell Brands Inc. | 4.000% | 6/15/22 | 3,600 | 3,788 | |
Newell Brands Inc. | 3.850% | 4/1/23 | 15,265 | 16,199 | |
Newell Brands Inc. | 4.000% | 12/1/24 | 5,330 | 5,572 | |
Newell Brands Inc. | 3.900% | 11/1/25 | 3,700 | 3,863 | |
Newell Brands Inc. | 4.200% | 4/1/26 | 17,770 | 19,238 | |
Novartis Capital Corp. | 2.400% | 9/21/22 | 9,347 | 9,716 | |
Novartis Capital Corp. | 3.400% | 5/6/24 | 13,875 | 15,177 | |
Novartis Capital Corp. | 3.000% | 11/20/25 | 12,980 | 13,781 | |
Owens & Minor Inc. | 4.375% | 12/15/24 | 1,100 | 1,119 | |
Partners Healthcare System Massachusetts GO | 3.443% | 7/1/21 | 1,325 | 1,411 | |
PepsiCo Inc. | 3.000% | 8/25/21 | 9,860 | 10,507 | |
PepsiCo Inc. | 2.750% | 3/5/22 | 14,025 | 14,699 | |
PepsiCo Inc. | 3.100% | 7/17/22 | 5,225 | 5,568 | |
PepsiCo Inc. | 2.750% | 3/1/23 | 9,300 | 9,735 | |
PepsiCo Inc. | 3.600% | 3/1/24 | 3,025 | 3,325 | |
PepsiCo Inc. | 2.750% | 4/30/25 | 9,850 | 10,174 | |
PepsiCo Inc. | 3.500% | 7/17/25 | 5,900 | 6,442 | |
PerkinElmer Inc. | 5.000% | 11/15/21 | 7,250 | 8,041 | |
Perrigo Co. plc | 4.000% | 11/15/23 | 5,225 | 5,399 | |
Perrigo Finance Unlimited Co. | 3.500% | 12/15/21 | 5,900 | 6,121 | |
Perrigo Finance Unlimited Co. | 3.900% | 12/15/24 | 4,065 | 4,146 | |
Perrigo Finance Unlimited Co. | 4.375% | 3/15/26 | 3,250 | 3,396 | |
Pfizer Inc. | 3.000% | 6/15/23 | 6,843 | 7,296 | |
Pfizer Inc. | 3.400% | 5/15/24 | 3,950 | 4,313 |
58
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Pfizer Inc. | 2.750% | 6/3/26 | 9,300 | 9,565 | |
Philip Morris International Inc. | 2.900% | 11/15/21 | 7,250 | 7,655 | |
Philip Morris International Inc. | 2.500% | 8/22/22 | 4,268 | 4,387 | |
Philip Morris International Inc. | 2.625% | 3/6/23 | 3,660 | 3,787 | |
Philip Morris International Inc. | 2.125% | 5/10/23 | 3,400 | 3,405 | |
Philip Morris International Inc. | 3.600% | 11/15/23 | 3,375 | 3,705 | |
Philip Morris International Inc. | 3.250% | 11/10/24 | 5,950 | 6,370 | |
Philip Morris International Inc. | 3.375% | 8/11/25 | 5,400 | 5,853 | |
Philip Morris International Inc. | 2.750% | 2/25/26 | 7,000 | 7,219 | |
Procter & Gamble Co. | 2.300% | 2/6/22 | 5,300 | 5,505 | |
Procter & Gamble Co. | 3.100% | 8/15/23 | 10,220 | 11,085 | |
Procter & Gamble Co. | 6.450% | 1/15/26 | 850 | 1,154 | |
Procter & Gamble Co. | 2.700% | 2/2/26 | 5,233 | 5,530 | |
Quest Diagnostics Inc. | 4.250% | 4/1/24 | 2,300 | 2,490 | |
Quest Diagnostics Inc. | 3.500% | 3/30/25 | 1,450 | 1,498 | |
Quest Diagnostics Inc. | 3.450% | 6/1/26 | 3,700 | 3,818 | |
Reynolds American Inc. | 4.000% | 6/12/22 | 6,200 | 6,730 | |
Reynolds American Inc. | 4.850% | 9/15/23 | 3,000 | 3,426 | |
Reynolds American Inc. | 4.450% | 6/12/25 | 19,636 | 21,942 | |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 8,310 | 8,573 | |
St. Jude Medical Inc. | 3.875% | 9/15/25 | 2,200 | 2,347 | |
Stryker Corp. | 3.375% | 5/15/24 | 3,625 | 3,830 | |
Stryker Corp. | 3.375% | 11/1/25 | 9,645 | 10,133 | |
Stryker Corp. | 3.500% | 3/15/26 | 9,620 | 10,192 | |
Sysco Corp. | 2.500% | 7/15/21 | 2,600 | 2,655 | |
Sysco Corp. | 2.600% | 6/12/22 | 1,950 | 1,985 | |
Sysco Corp. | 3.750% | 10/1/25 | 5,000 | 5,386 | |
Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 9,021 | 9,571 | |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 4,909 | 4,982 | |
Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 981 | 1,045 | |
Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 14,495 | 15,389 | |
Thermo Fisher Scientific Inc. | 3.300% | 2/15/22 | 5,556 | 5,766 | |
Thermo Fisher Scientific Inc. | 3.150% | 1/15/23 | 1,675 | 1,713 | |
Thermo Fisher Scientific Inc. | 3.000% | 4/15/23 | 10,370 | 10,564 | |
Thermo Fisher Scientific Inc. | 4.150% | 2/1/24 | 5,160 | 5,660 | |
Thermo Fisher Scientific Inc. | 3.650% | 12/15/25 | 2,500 | 2,625 | |
Tyson Foods Inc. | 4.500% | 6/15/22 | 11,620 | 12,948 | |
Tyson Foods Inc. | 3.950% | 8/15/24 | 9,262 | 9,998 | |
Unilever Capital Corp. | 3.100% | 7/30/25 | 2,675 | 2,921 | |
Whirlpool Corp. | 3.700% | 3/1/23 | 2,300 | 2,450 | |
Whirlpool Corp. | 4.000% | 3/1/24 | 1,925 | 2,089 | |
Whirlpool Corp. | 3.700% | 5/1/25 | 2,275 | 2,418 | |
5 | Whole Foods Market Inc. | 5.200% | 12/3/25 | 7,250 | 7,707 |
Wyeth LLC | 7.250% | 3/1/23 | 1,000 | 1,311 | |
Wyeth LLC | 6.450% | 2/1/24 | 4,000 | 5,136 | |
Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 2,400 | 3,110 | |
Zimmer Biomet Holdings Inc. | 3.375% | 11/30/21 | 970 | 1,013 | |
Zimmer Biomet Holdings Inc. | 3.150% | 4/1/22 | 6,400 | 6,558 | |
Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 16,935 | 17,442 | |
Zoetis Inc. | 3.250% | 2/1/23 | 12,048 | 12,266 | |
Zoetis Inc. | 4.500% | 11/13/25 | 3,600 | 3,959 | |
Energy (4.0%) | |||||
Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 6,750 | 6,595 | |
Anadarko Petroleum Corp. | 5.550% | 3/15/26 | 13,000 | 14,390 | |
Apache Corp. | 3.250% | 4/15/22 | 9,383 | 9,676 | |
Apache Corp. | 2.625% | 1/15/23 | 1,000 | 989 | |
Baker Hughes Inc. | 3.200% | 8/15/21 | 4,425 | 4,646 | |
Boardwalk Pipelines LP | 3.375% | 2/1/23 | 1,000 | 917 | |
Boardwalk Pipelines LP | 4.950% | 12/15/24 | 3,250 | 3,198 | |
Boardwalk Pipelines LP | 5.950% | 6/1/26 | 3,300 | 3,467 | |
BP Capital Markets plc | 3.561% | 11/1/21 | 5,025 | 5,402 | |
BP Capital Markets plc | 3.062% | 3/17/22 | 2,000 | 2,085 | |
BP Capital Markets plc | 3.245% | 5/6/22 | 14,036 | 14,759 |
59
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
BP Capital Markets plc | 2.500% | 11/6/22 | 12,598 | 12,704 |
BP Capital Markets plc | 2.750% | 5/10/23 | 23,763 | 23,933 |
BP Capital Markets plc | 3.994% | 9/26/23 | 6,800 | 7,358 |
BP Capital Markets plc | 3.814% | 2/10/24 | 7,327 | 7,855 |
BP Capital Markets plc | 3.535% | 11/4/24 | 1,728 | 1,822 |
BP Capital Markets plc | 3.506% | 3/17/25 | 8,344 | 8,826 |
BP Capital Markets plc | 3.119% | 5/4/26 | 6,500 | 6,618 |
Buckeye Partners LP | 4.150% | 7/1/23 | 4,550 | 4,527 |
Buckeye Partners LP | 4.350% | 10/15/24 | 125 | 124 |
Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 6,813 | 6,822 |
Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 5,175 | 5,071 |
Canadian Natural Resources Ltd. | 3.900% | 2/1/25 | 635 | 626 |
Chevron Corp. | 2.411% | 3/3/22 | 8,450 | 8,611 |
Chevron Corp. | 2.355% | 12/5/22 | 17,960 | 18,241 |
Chevron Corp. | 2.566% | 5/16/23 | 902 | 919 |
Chevron Corp. | 3.191% | 6/24/23 | 16,325 | 17,305 |
Chevron Corp. | 3.326% | 11/17/25 | 6,379 | 6,808 |
Chevron Corp. | 2.954% | 5/16/26 | 15,950 | 16,473 |
Cimarex Energy Co. | 5.875% | 5/1/22 | 4,772 | 4,997 |
Cimarex Energy Co. | 4.375% | 6/1/24 | 5,500 | 5,773 |
Columbia Pipeline Group Inc. | 4.500% | 6/1/25 | 6,750 | 7,228 |
ConocoPhillips Co. | 2.875% | 11/15/21 | 1,380 | 1,407 |
ConocoPhillips Co. | 2.400% | 12/15/22 | 12,138 | 12,000 |
ConocoPhillips Co. | 3.350% | 11/15/24 | 7,900 | 8,135 |
ConocoPhillips Co. | 4.950% | 3/15/26 | 16,890 | 19,147 |
Devon Energy Corp. | 4.000% | 7/15/21 | 4,300 | 4,354 |
Devon Energy Corp. | 3.250% | 5/15/22 | 6,525 | 6,327 |
Devon Energy Corp. | 5.850% | 12/15/25 | 8,750 | 9,661 |
Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 6,791 | 7,170 |
Enable Midstream Partners LP | 3.900% | 5/15/24 | 4,450 | 3,966 |
Enbridge Energy Partners LP | 4.200% | 9/15/21 | 9,200 | 9,440 |
Enbridge Energy Partners LP | 5.875% | 10/15/25 | 2,500 | 2,755 |
Enbridge Inc. | 4.000% | 10/1/23 | 2,100 | 2,097 |
Enbridge Inc. | 3.500% | 6/10/24 | 6,610 | 6,337 |
Encana Corp. | 3.900% | 11/15/21 | 4,575 | 4,455 |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 13,752 | 14,524 |
Energy Transfer Partners LP | 3.600% | 2/1/23 | 9,958 | 9,538 |
Energy Transfer Partners LP | 4.900% | 2/1/24 | 4,000 | 4,105 |
Energy Transfer Partners LP | 4.050% | 3/15/25 | 8,900 | 8,768 |
Energy Transfer Partners LP | 4.750% | 1/15/26 | 2,717 | 2,802 |
EnLink Midstream Partners LP | 4.400% | 4/1/24 | 7,325 | 6,867 |
EnLink Midstream Partners LP | 4.150% | 6/1/25 | 1,825 | 1,697 |
Enterprise Products Operating LLC | 4.050% | 2/15/22 | 4,043 | 4,366 |
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 13,317 | 13,675 |
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 5,800 | 6,138 |
Enterprise Products Operating LLC | 3.750% | 2/15/25 | 15,147 | 15,903 |
EOG Resources Inc. | 2.625% | 3/15/23 | 7,005 | 6,979 |
EOG Resources Inc. | 3.150% | 4/1/25 | 3,745 | 3,815 |
EOG Resources Inc. | 4.150% | 1/15/26 | 7,325 | 8,022 |
EQT Corp. | 4.875% | 11/15/21 | 5,450 | 5,799 |
EQT Midstream Partners LP | 4.000% | 8/1/24 | 3,300 | 3,182 |
Exxon Mobil Corp. | 2.397% | 3/6/22 | 13,450 | 13,820 |
Exxon Mobil Corp. | 2.726% | 3/1/23 | 14,000 | 14,601 |
Exxon Mobil Corp. | 3.176% | 3/15/24 | 1,925 | 2,066 |
Exxon Mobil Corp. | 2.709% | 3/6/25 | 12,400 | 12,930 |
Exxon Mobil Corp. | 3.043% | 3/1/26 | 17,150 | 18,163 |
FMC Technologies Inc. | 3.450% | 10/1/22 | 3,125 | 2,982 |
Gulf South Pipeline Co. LP | 4.000% | 6/15/22 | 3,475 | 3,331 |
Halliburton Co. | 3.250% | 11/15/21 | 3,020 | 3,134 |
Halliburton Co. | 3.500% | 8/1/23 | 6,295 | 6,529 |
Halliburton Co. | 3.800% | 11/15/25 | 17,350 | 18,093 |
Helmerich & Payne International Drilling Co. | 4.650% | 3/15/25 | 1,000 | 1,067 |
Hess Corp. | 3.500% | 7/15/24 | 1,500 | 1,450 |
Husky Energy Inc. | 3.950% | 4/15/22 | 1,000 | 1,018 |
60
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Husky Energy Inc. | 4.000% | 4/15/24 | 7,855 | 8,006 | |
Kerr-McGee Corp. | 6.950% | 7/1/24 | 3,500 | 4,048 | |
Kinder Morgan Energy Partners LP | 5.000% | 10/1/21 | 7,500 | 7,948 | |
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 1,925 | 1,953 | |
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 9,535 | 9,658 | |
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 5,050 | 4,911 | |
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 8,950 | 8,769 | |
Kinder Morgan Energy Partners LP | 4.150% | 2/1/24 | 4,475 | 4,500 | |
Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 7,849 | 7,934 | |
Kinder Morgan Energy Partners LP | 4.250% | 9/1/24 | 8,000 | 8,102 | |
Kinder Morgan Inc. | 4.300% | 6/1/25 | 2,450 | 2,507 | |
Magellan Midstream Partners LP | 3.200% | 3/15/25 | 2,975 | 2,967 | |
Magellan Midstream Partners LP | 5.000% | 3/1/26 | 2,200 | 2,490 | |
Marathon Oil Corp. | 2.800% | 11/1/22 | 7,450 | 6,742 | |
Marathon Oil Corp. | 3.850% | 6/1/25 | 6,250 | 5,719 | |
Marathon Petroleum Corp. | 3.625% | 9/15/24 | 2,850 | 2,800 | |
5 | MPLX LP | 4.500% | 7/15/23 | 15,600 | 15,171 |
5 | MPLX LP | 4.875% | 12/1/24 | 6,847 | 6,676 |
MPLX LP | 4.000% | 2/15/25 | 250 | 231 | |
5 | MPLX LP | 4.875% | 6/1/25 | 10,680 | 10,413 |
Nabors Industries Inc. | 4.625% | 9/15/21 | 5,000 | 4,575 | |
Nabors Industries Inc. | 5.100% | 9/15/23 | 2,525 | 2,247 | |
National Fuel Gas Co. | 4.900% | 12/1/21 | 4,750 | 5,002 | |
National Fuel Gas Co. | 3.750% | 3/1/23 | 4,525 | 4,396 | |
National Fuel Gas Co. | 5.200% | 7/15/25 | 1,000 | 1,038 | |
National Oilwell Varco Inc. | 2.600% | 12/1/22 | 12,268 | 11,443 | |
Noble Energy Inc. | 4.150% | 12/15/21 | 6,105 | 6,429 | |
Noble Energy Inc. | 3.900% | 11/15/24 | 8,895 | 9,073 | |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 8,225 | 8,610 | |
Occidental Petroleum Corp. | 2.600% | 4/15/22 | 1,150 | 1,178 | |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 7,600 | 7,746 | |
Occidental Petroleum Corp. | 3.500% | 6/15/25 | 3,738 | 3,979 | |
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 11,700 | 12,342 | |
Oceaneering International Inc. | 4.650% | 11/15/24 | 2,775 | 2,666 | |
ONEOK Partners LP | 3.375% | 10/1/22 | 7,644 | 7,510 | |
ONEOK Partners LP | 5.000% | 9/15/23 | 2,000 | 2,113 | |
ONEOK Partners LP | 4.900% | 3/15/25 | 4,100 | 4,318 | |
Phillips 66 | 4.300% | 4/1/22 | 16,615 | 18,155 | |
Phillips 66 Partners LP | 3.605% | 2/15/25 | 4,875 | 4,710 | |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 8,028 | 8,417 | |
Pioneer Natural Resources Co. | 4.450% | 1/15/26 | 3,550 | 3,874 | |
Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 2,815 | 2,762 | |
Plains All American Pipeline LP / PAA Finance Corp. | 3.850% | 10/15/23 | 3,968 | 3,846 | |
Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 12,495 | 11,734 | |
Plains All American Pipeline LP / PAA Finance Corp. | 4.650% | 10/15/25 | 6,950 | 7,020 | |
Regency Energy Partners LP / Regency Energy Finance | |||||
Corp. | 6.500% | 7/15/21 | 806 | 833 | |
Regency Energy Partners LP / Regency Energy Finance | |||||
Corp. | 5.875% | 3/1/22 | 7,843 | 8,392 | |
Regency Energy Partners LP / Regency Energy Finance | |||||
Corp. | 5.000% | 10/1/22 | 4,600 | 4,715 | |
Regency Energy Partners LP / Regency Energy Finance | |||||
Corp. | 5.500% | 4/15/23 | 3,450 | 3,476 | |
Regency Energy Partners LP / Regency Energy Finance | |||||
Corp. | 4.500% | 11/1/23 | 8,381 | 8,213 | |
Sasol Financing International plc | 4.500% | 11/14/22 | 5,450 | 5,461 | |
Schlumberger Investment SA | 3.650% | 12/1/23 | 8,695 | 9,327 | |
Shell International Finance BV | 2.375% | 8/21/22 | 11,389 | 11,584 | |
Shell International Finance BV | 2.250% | 1/6/23 | 9,825 | 9,822 | |
Shell International Finance BV | 3.400% | 8/12/23 | 3,150 | 3,353 | |
Shell International Finance BV | 3.250% | 5/11/25 | 17,250 | 18,040 | |
Shell International Finance BV | 2.875% | 5/10/26 | 14,750 | 14,978 | |
Spectra Energy Capital LLC | 3.300% | 3/15/23 | 4,735 | 4,533 | |
Spectra Energy Partners LP | 4.750% | 3/15/24 | 9,900 | 11,028 |
61
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Spectra Energy Partners LP | 3.500% | 3/15/25 | 2,725 | 2,800 | |
Suncor Energy Inc. | 3.600% | 12/1/24 | 5,925 | 6,185 | |
Sunoco Logistics Partners Operations LP | 3.450% | 1/15/23 | 2,525 | 2,469 | |
Sunoco Logistics Partners Operations LP | 4.250% | 4/1/24 | 4,950 | 4,955 | |
Sunoco Logistics Partners Operations LP | 5.950% | 12/1/25 | 3,250 | 3,625 | |
5 | Texas Eastern Transmission LP | 2.800% | 10/15/22 | 50 | 50 |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 5,975 | 6,139 | |
Total Capital International SA | 2.875% | 2/17/22 | 5,825 | 6,049 | |
Total Capital International SA | 2.700% | 1/25/23 | 11,900 | 12,199 | |
Total Capital International SA | 3.700% | 1/15/24 | 9,625 | 10,499 | |
Total Capital International SA | 3.750% | 4/10/24 | 6,925 | 7,591 | |
Total Capital SA | 4.250% | 12/15/21 | 3,385 | 3,772 | |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 8,800 | 8,743 | |
TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 5,550 | 5,995 | |
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 7,600 | 8,688 | |
Valero Energy Corp. | 3.650% | 3/15/25 | 4,950 | 4,959 | |
Western Gas Partners LP | 3.950% | 6/1/25 | 3,500 | 3,334 | |
Williams Partners LP | 4.000% | 11/15/21 | 4,625 | 4,509 | |
Williams Partners LP | 3.600% | 3/15/22 | 12,000 | 11,340 | |
Williams Partners LP | 3.350% | 8/15/22 | 7,775 | 7,095 | |
Williams Partners LP | 4.500% | 11/15/23 | 3,000 | 2,865 | |
Williams Partners LP | 4.300% | 3/4/24 | 7,227 | 6,848 | |
Williams Partners LP | 3.900% | 1/15/25 | 5,800 | 5,300 | |
Williams Partners LP | 4.000% | 9/15/25 | 11,491 | 10,529 | |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 5/15/23 | 7,000 | 6,755 | |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 3/15/24 | 11,010 | 10,570 | |
Other Industrial (0.1%) | |||||
CBRE Services Inc. | 5.000% | 3/15/23 | 5,463 | 5,654 | |
CBRE Services Inc. | 5.250% | 3/15/25 | 4,800 | 5,022 | |
CBRE Services Inc. | 4.875% | 3/1/26 | 4,440 | 4,584 | |
Cintas Corp. No 2 | 3.250% | 6/1/22 | 1,450 | 1,552 | |
Fluor Corp. | 3.375% | 9/15/21 | 3,000 | 3,179 | |
Fluor Corp. | 3.500% | 12/15/24 | 4,300 | 4,594 | |
Howard Hughes Medical Institute Revenue | 3.500% | 9/1/23 | 8,976 | 9,910 | |
Technology (3.5%) | |||||
Adobe Systems Inc. | 3.250% | 2/1/25 | 10,700 | 11,277 | |
Alphabet Inc. | 3.375% | 2/25/24 | 4,550 | 4,999 | |
Altera Corp. | 4.100% | 11/15/23 | 8,025 | 9,129 | |
Amphenol Corp. | 3.125% | 9/15/21 | 2,700 | 2,785 | |
Amphenol Corp. | 4.000% | 2/1/22 | 1,950 | 2,074 | |
Analog Devices Inc. | 2.875% | 6/1/23 | 3,016 | 3,147 | |
Analog Devices Inc. | 3.900% | 12/15/25 | 4,925 | 5,478 | |
Apple Inc. | 2.150% | 2/9/22 | 15,049 | 15,342 | |
Apple Inc. | 2.700% | 5/13/22 | 11,809 | 12,382 | |
Apple Inc. | 2.850% | 2/23/23 | 12,941 | 13,559 | |
Apple Inc. | 2.400% | 5/3/23 | 35,385 | 36,068 | |
Apple Inc. | 3.450% | 5/6/24 | 22,140 | 23,980 | |
Apple Inc. | 2.500% | 2/9/25 | 11,125 | 11,311 | |
Apple Inc. | 3.200% | 5/13/25 | 16,560 | 17,536 | |
Apple Inc. | 3.250% | 2/23/26 | 28,100 | 29,782 | |
Applied Materials Inc. | 3.900% | 10/1/25 | 5,500 | 6,105 | |
Arrow Electronics Inc. | 3.500% | 4/1/22 | 2,145 | 2,199 | |
Arrow Electronics Inc. | 4.500% | 3/1/23 | 2,824 | 3,001 | |
Arrow Electronics Inc. | 4.000% | 4/1/25 | 2,210 | 2,247 | |
Autodesk Inc. | 3.600% | 12/15/22 | 1,550 | 1,582 | |
Autodesk Inc. | 4.375% | 6/15/25 | 2,300 | 2,420 | |
Avnet Inc. | 4.875% | 12/1/22 | 3,725 | 4,040 | |
AVNET Inc. | 4.625% | 4/15/26 | 3,950 | 4,104 | |
Baidu Inc. | 3.500% | 11/28/22 | 3,725 | 3,838 | |
Baidu Inc. | 4.125% | 6/30/25 | 4,000 | 4,212 | |
Broadridge Financial Solutions Inc. | 3.400% | 6/27/26 | 3,750 | 3,796 | |
CA Inc. | 4.500% | 8/15/23 | 3,100 | 3,392 | |
Cadence Design Systems Inc. | 4.375% | 10/15/24 | 2,275 | 2,358 |
62
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
CDK Global Inc. | 4.500% | 10/15/24 | 2,965 | 2,946 | |
Cisco Systems Inc. | 3.000% | 6/15/22 | 800 | 861 | |
Cisco Systems Inc. | 2.600% | 2/28/23 | 3,500 | 3,669 | |
Cisco Systems Inc. | 3.625% | 3/4/24 | 8,195 | 9,195 | |
Cisco Systems Inc. | 2.950% | 2/28/26 | 14,050 | 14,956 | |
Corning Inc. | 2.900% | 5/15/22 | 2,500 | 2,561 | |
Corning Inc. | 3.700% | 11/15/23 | 2,500 | 2,680 | |
5 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 5.450% | 6/15/23 | 30,000 | 31,003 |
5 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 6.020% | 6/15/26 | 12,675 | 13,149 |
Dun & Bradstreet Corp. | 4.375% | 12/1/22 | 1,925 | 1,984 | |
EMC Corp. | 3.375% | 6/1/23 | 6,003 | 5,467 | |
Equifax Inc. | 3.300% | 12/15/22 | 1,200 | 1,264 | |
Fidelity National Information Services Inc. | 5.000% | 3/15/22 | 3,253 | 3,387 | |
Fidelity National Information Services Inc. | 4.500% | 10/15/22 | 750 | 827 | |
Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 7,492 | 7,732 | |
Fidelity National Information Services Inc. | 3.875% | 6/5/24 | 11,620 | 12,293 | |
Fidelity National Information Services Inc. | 5.000% | 10/15/25 | 19,875 | 22,565 | |
Fiserv Inc. | 3.500% | 10/1/22 | 2,073 | 2,206 | |
Fiserv Inc. | 3.850% | 6/1/25 | 8,150 | 8,724 | |
Flextronics International Ltd. | 4.750% | 6/15/25 | 6,750 | 6,818 | |
5 | Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 14,671 | 15,696 |
5 | Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 16,000 | 16,721 |
HP Inc. | 4.375% | 9/15/21 | 11,950 | 12,822 | |
HP Inc. | 4.650% | 12/9/21 | 5,550 | 5,996 | |
Ingram Micro Inc. | 5.000% | 8/10/22 | 100 | 101 | |
Ingram Micro Inc. | 4.950% | 12/15/24 | 5,050 | 5,041 | |
Intel Corp. | 3.300% | 10/1/21 | 15,923 | 17,233 | |
Intel Corp. | 3.100% | 7/29/22 | 6,200 | 6,675 | |
Intel Corp. | 2.700% | 12/15/22 | 11,600 | 12,173 | |
Intel Corp. | 3.700% | 7/29/25 | 18,295 | 20,356 | |
Intel Corp. | 2.600% | 5/19/26 | 1,075 | 1,090 | |
International Business Machines Corp. | 2.900% | 11/1/21 | 200 | 212 | |
International Business Machines Corp. | 1.875% | 8/1/22 | 8,850 | 8,872 | |
International Business Machines Corp. | 2.875% | 11/9/22 | 11,350 | 12,027 | |
International Business Machines Corp. | 3.375% | 8/1/23 | 9,650 | 10,471 | |
International Business Machines Corp. | 3.625% | 2/12/24 | 16,000 | 17,464 | |
International Business Machines Corp. | 3.450% | 2/19/26 | 10,486 | 11,394 | |
Jabil Circuit Inc. | 4.700% | 9/15/22 | 1,700 | 1,723 | |
Juniper Networks Inc. | 4.500% | 3/15/24 | 2,900 | 3,063 | |
Juniper Networks Inc. | 4.350% | 6/15/25 | 2,025 | 2,094 | |
Keysight Technologies Inc. | 4.550% | 10/30/24 | 4,350 | 4,454 | |
KLA-Tencor Corp. | 4.125% | 11/1/21 | 3,750 | 3,988 | |
KLA-Tencor Corp. | 4.650% | 11/1/24 | 7,420 | 8,095 | |
Lam Research Corp. | 3.450% | 6/15/23 | 5,900 | 6,089 | |
Lam Research Corp. | 3.800% | 3/15/25 | 3,550 | 3,671 | |
Lam Research Corp. | 3.900% | 6/15/26 | 6,025 | 6,337 | |
Lender Processing Services Inc / Black Knight Lending | |||||
Solutions Inc | 5.750% | 4/15/23 | 2,571 | 2,690 | |
Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 3,525 | 3,632 | |
Microsoft Corp. | 2.375% | 2/12/22 | 15,570 | 16,076 | |
Microsoft Corp. | 2.650% | 11/3/22 | 8,925 | 9,304 | |
Microsoft Corp. | 2.125% | 11/15/22 | 6,958 | 7,080 | |
Microsoft Corp. | 2.375% | 5/1/23 | 1,575 | 1,612 | |
Microsoft Corp. | 3.625% | 12/15/23 | 9,275 | 10,275 | |
Microsoft Corp. | 2.700% | 2/12/25 | 18,620 | 19,220 | |
Microsoft Corp. | 3.125% | 11/3/25 | 23,815 | 25,466 | |
Motorola Solutions Inc. | 3.500% | 9/1/21 | 100 | 102 | |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 6,925 | 6,913 | |
Motorola Solutions Inc. | 3.500% | 3/1/23 | 6,725 | 6,486 | |
Motorola Solutions Inc. | 4.000% | 9/1/24 | 9,400 | 9,217 | |
NetApp Inc. | 3.250% | 12/15/22 | 100 | 100 | |
Oracle Corp. | 2.800% | 7/8/21 | 9,410 | 9,880 | |
Oracle Corp. | 1.900% | 9/15/21 | 40,000 | 40,132 | |
Oracle Corp. | 2.500% | 5/15/22 | 13,087 | 13,394 |
63
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Oracle Corp. | 2.500% | 10/15/22 | 25,701 | 26,283 | |
Oracle Corp. | 3.625% | 7/15/23 | 4,150 | 4,549 | |
Oracle Corp. | 2.400% | 9/15/23 | 19,325 | 19,371 | |
Oracle Corp. | 3.400% | 7/8/24 | 17,901 | 19,137 | |
Oracle Corp. | 2.950% | 5/15/25 | 19,270 | 19,978 | |
Oracle Corp. | 2.650% | 7/15/26 | 11,600 | 11,615 | |
Pitney Bowes Inc. | 4.625% | 3/15/24 | 4,200 | 4,428 | |
QUALCOMM Inc. | 3.000% | 5/20/22 | 14,000 | 14,698 | |
QUALCOMM Inc. | 3.450% | 5/20/25 | 14,300 | 15,182 | |
Seagate HDD Cayman | 4.750% | 6/1/23 | 7,150 | 6,042 | |
Seagate HDD Cayman | 4.750% | 1/1/25 | 6,430 | 5,080 | |
Symantec Corp. | 3.950% | 6/15/22 | 3,650 | 3,696 | |
Telefonaktiebolaget LM Ericsson | 4.125% | 5/15/22 | 5,404 | 5,830 | |
Texas Instruments Inc. | 2.250% | 5/1/23 | 2,025 | 2,049 | |
Total System Services Inc. | 3.750% | 6/1/23 | 1,600 | 1,626 | |
Total System Services Inc. | 4.800% | 4/1/26 | 3,000 | 3,259 | |
Trimble Navigation Ltd. | 4.750% | 12/1/24 | 1,650 | 1,731 | |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 3,179 | 3,358 | |
Tyco Electronics Group SA | 3.450% | 8/1/24 | 950 | 1,002 | |
Tyco Electronics Group SA | 3.700% | 2/15/26 | 3,350 | 3,546 | |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 4,675 | 4,969 | |
Verisk Analytics Inc. | 4.000% | 6/15/25 | 8,032 | 8,423 | |
Transportation (0.9%) | |||||
4 | American Airlines 2013-1 Class A Pass Through Trust | 4.000% | 1/15/27 | 2,994 | 3,159 |
4 | American Airlines 2013-2 Class A Pass Through Trust | 4.950% | 7/15/24 | 8,044 | 8,728 |
4 | American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 11/1/24 | 3,315 | 3,249 |
4 | BNSF Funding Trust I | 6.613% | 12/15/55 | 100 | 113 |
Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 4,400 | 4,769 | |
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 4,325 | 4,606 | |
Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 5,700 | 6,068 | |
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 4,925 | 5,196 | |
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 5,600 | 6,230 | |
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 4,000 | 4,434 | |
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 5,825 | 6,342 | |
Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 4,350 | 4,599 | |
Burlington Northern Santa Fe LLC | 3.650% | 9/1/25 | 3,925 | 4,355 | |
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 5,870 | 7,976 | |
Canadian National Railway Co. | 2.850% | 12/15/21 | 3,725 | 3,932 | |
Canadian National Railway Co. | 2.250% | 11/15/22 | 1,095 | 1,114 | |
Canadian National Railway Co. | 2.950% | 11/21/24 | 1,325 | 1,425 | |
Canadian National Railway Co. | 2.750% | 3/1/26 | 1,600 | 1,677 | |
Canadian Pacific Railway Co. | 9.450% | 8/1/21 | 4,050 | 5,278 | |
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 4,180 | 4,643 | |
Canadian Pacific Railway Co. | 2.900% | 2/1/25 | 500 | 511 | |
Canadian Pacific Railway Co. | 3.700% | 2/1/26 | 450 | 485 | |
Canadian Pacific Railway Ltd. | 4.500% | 1/15/22 | 2,200 | 2,431 | |
4 | Continental Airlines 2007-1 Class A Pass Through Trust | 5.983% | 10/19/23 | 4,190 | 4,693 |
4 | Continental Airlines 2012-1 Class A Pass Through Trust | 4.150% | 10/11/25 | 4,453 | 4,698 |
4 | Continental Airlines 2012-2 Class A Pass Through Trust | 4.000% | 4/29/26 | 5,712 | 6,041 |
CSX Corp. | 3.700% | 11/1/23 | 5,675 | 6,193 | |
CSX Corp. | 3.400% | 8/1/24 | 2,600 | 2,793 | |
CSX Corp. | 3.350% | 11/1/25 | 4,350 | 4,620 | |
4 | Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 2,883 | 3,352 |
FedEx Corp. | 2.625% | 8/1/22 | 3,028 | 3,106 | |
FedEx Corp. | 4.000% | 1/15/24 | 4,251 | 4,715 | |
FedEx Corp. | 3.200% | 2/1/25 | 3,700 | 3,854 | |
FedEx Corp. | 3.250% | 4/1/26 | 6,500 | 6,773 | |
4 | Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 2,038 | 2,022 | |
JB Hunt Transport Services Inc. | 3.300% | 8/15/22 | 2,601 | 2,694 | |
JB Hunt Transport Services Inc. | 3.850% | 3/15/24 | 2,525 | 2,685 | |
5 | Kansas City Southern | 3.000% | 5/15/23 | 5,550 | 5,655 |
Kansas City Southern | 3.125% | 6/1/26 | 1,600 | 1,633 |
64
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Norfolk Southern Corp. | 3.250% | 12/1/21 | 4,693 | 4,969 | |
Norfolk Southern Corp. | 3.000% | 4/1/22 | 6,105 | 6,373 | |
Norfolk Southern Corp. | 2.903% | 2/15/23 | 4,774 | 4,930 | |
Norfolk Southern Corp. | 3.850% | 1/15/24 | 2,075 | 2,268 | |
Norfolk Southern Corp. | 5.590% | 5/17/25 | 1,339 | 1,644 | |
4 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 1,565 | 1,768 |
Trinity Industries Inc. | 4.550% | 10/1/24 | 2,985 | 2,755 | |
Union Pacific Corp. | 4.163% | 7/15/22 | 8,196 | 9,231 | |
Union Pacific Corp. | 2.950% | 1/15/23 | 1,500 | 1,592 | |
Union Pacific Corp. | 2.750% | 4/15/23 | 2,200 | 2,303 | |
Union Pacific Corp. | 3.646% | 2/15/24 | 2,685 | 2,965 | |
Union Pacific Corp. | 3.750% | 3/15/24 | 650 | 722 | |
Union Pacific Corp. | 3.250% | 1/15/25 | 5,400 | 5,850 | |
Union Pacific Corp. | 3.250% | 8/15/25 | 7,390 | 8,030 | |
Union Pacific Corp. | 2.750% | 3/1/26 | 3,450 | 3,594 | |
4 | United Airlines 2013-1 Class A Pass Through Trust | 4.300% | 2/15/27 | 4,858 | 5,246 |
4 | United Airlines 2014-1 Class A Pass Through Trust | 4.000% | 10/11/27 | 4,808 | 5,072 |
United Parcel Service Inc. | 2.450% | 10/1/22 | 14,456 | 14,962 | |
4 | US Airways 2012-1 Class A Pass Through Trust | 5.900% | 4/1/26 | 456 | 521 |
4 | US Airways 2013-1 Class A Pass Through Trust | 3.950% | 5/15/27 | 3,660 | 3,848 |
4 | US Airways Inc. 2012-2 Class A Pass Through Trust | 4.625% | 12/3/26 | 995 | 1,080 |
7,001,646 | |||||
Utilities (2.3%) | |||||
Electric (2.1%) | |||||
Alabama Power Co. | 3.550% | 12/1/23 | 1,600 | 1,772 | |
Alabama Power Co. | 2.800% | 4/1/25 | 725 | 754 | |
Ameren Corp. | 3.650% | 2/15/26 | 2,527 | 2,726 | |
Ameren Illinois Co. | 2.700% | 9/1/22 | 3,965 | 4,143 | |
Ameren Illinois Co. | 3.250% | 3/1/25 | 1,000 | 1,077 | |
American Electric Power Co. Inc. | 2.950% | 12/15/22 | 500 | 521 | |
Appalachian Power Co. | 3.400% | 6/1/25 | 1,650 | 1,752 | |
Arizona Public Service Co. | 3.350% | 6/15/24 | 1,690 | 1,830 | |
Arizona Public Service Co. | 3.150% | 5/15/25 | 4,750 | 5,070 | |
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 3,575 | 3,851 | |
Baltimore Gas & Electric Co. | 2.800% | 8/15/22 | 300 | 311 | |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 4,499 | 4,768 | |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 5,925 | 6,476 | |
Berkshire Hathaway Energy Co. | 3.500% | 2/1/25 | 4,675 | 5,043 | |
Black Hills Corp. | 4.250% | 11/30/23 | 798 | 871 | |
Black Hills Corp. | 3.950% | 1/15/26 | 3,900 | 4,147 | |
5 | Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 4,900 | 5,045 |
Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 250 | 298 | |
CMS Energy Corp. | 5.050% | 3/15/22 | 3,550 | 4,061 | |
CMS Energy Corp. | 3.875% | 3/1/24 | 4,595 | 5,001 | |
CMS Energy Corp. | 3.600% | 11/15/25 | 250 | 266 | |
CMS Energy Corp. | 3.000% | 5/15/26 | 2,100 | 2,146 | |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 3,650 | 3,947 | |
Commonwealth Edison Co. | 3.100% | 11/1/24 | 1,500 | 1,597 | |
Commonwealth Edison Co. | 2.550% | 6/15/26 | 7,150 | 7,254 | |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 6,408 | 6,550 | |
Consumers Energy Co. | 2.850% | 5/15/22 | 3,000 | 3,138 | |
Consumers Energy Co. | 3.375% | 8/15/23 | 2,000 | 2,157 | |
Consumers Energy Co. | 3.125% | 8/31/24 | 3,600 | 3,818 | |
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 4,875 | 5,271 | |
Dominion Resources Inc. | 2.750% | 9/15/22 | 3,400 | 3,448 | |
Dominion Resources Inc. | 3.625% | 12/1/24 | 6,055 | 6,373 | |
Dominion Resources Inc. | 3.900% | 10/1/25 | 6,255 | 6,703 | |
4 | Dominion Resources Inc. | 5.750% | 10/1/54 | 4,600 | 4,566 |
DTE Electric Co. | 2.650% | 6/15/22 | 2,875 | 2,992 | |
DTE Electric Co. | 3.650% | 3/15/24 | 4,600 | 5,064 | |
DTE Electric Co. | 3.375% | 3/1/25 | 1,675 | 1,816 | |
DTE Energy Co. | 3.300% | 6/15/22 | 100 | 104 | |
DTE Energy Co. | 3.850% | 12/1/23 | 275 | 297 |
65
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
DTE Energy Co. | 3.500% | 6/1/24 | 5,383 | 5,701 | |
Duke Energy Carolinas LLC | 2.500% | 3/15/23 | 1,665 | 1,724 | |
Duke Energy Corp. | 3.550% | 9/15/21 | 500 | 533 | |
Duke Energy Corp. | 3.050% | 8/15/22 | 5,947 | 6,182 | |
Duke Energy Corp. | 3.950% | 10/15/23 | 3,612 | 3,932 | |
Duke Energy Corp. | 3.750% | 4/15/24 | 3,745 | 4,031 | |
Duke Energy Florida LLC | 3.100% | 8/15/21 | 2,300 | 2,450 | |
Duke Energy Ohio Inc. | 3.800% | 9/1/23 | 2,340 | 2,584 | |
Duke Energy Progress Llc | 3.000% | 9/15/21 | 5,750 | 6,140 | |
Duke Energy Progress Llc | 2.800% | 5/15/22 | 4,079 | 4,276 | |
Duke Energy Progress LLC | 3.250% | 8/15/25 | 4,769 | 5,158 | |
Edison International | 2.950% | 3/15/23 | 3,200 | 3,282 | |
5 | Emera US Finance LP | 3.550% | 6/15/26 | 5,400 | 5,516 |
Empresa Nacional de Electricidad SA | 4.250% | 4/15/24 | 565 | 601 | |
Entergy Arkansas Inc. | 3.050% | 6/1/23 | 4,610 | 4,834 | |
Entergy Arkansas Inc. | 3.700% | 6/1/24 | 1,000 | 1,097 | |
Entergy Arkansas Inc. | 3.500% | 4/1/26 | 3,947 | 4,327 | |
Entergy Corp. | 4.000% | 7/15/22 | 2,000 | 2,147 | |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 5,970 | 7,209 | |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 4,750 | 5,320 | |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 1,575 | 1,926 | |
Entergy Louisiana LLC | 4.440% | 1/15/26 | 525 | 604 | |
Entergy Mississippi Inc. | 3.100% | 7/1/23 | 1,225 | 1,275 | |
Eversource Energy | 2.800% | 5/1/23 | 2,325 | 2,372 | |
Eversource Energy | 3.150% | 1/15/25 | 3,610 | 3,765 | |
Eversource Energy | 3.350% | 3/15/26 | 2,400 | 2,533 | |
Exelon Corp. | 3.950% | 6/15/25 | 10,143 | 10,956 | |
Exelon Corp. | 3.400% | 4/15/26 | 4,850 | 5,070 | |
Exelon Generation Co. LLC | 4.250% | 6/15/22 | 4,993 | 5,341 | |
FirstEnergy Solutions Corp. | 6.050% | 8/15/21 | 3,850 | 4,170 | |
Florida Power & Light Co. | 2.750% | 6/1/23 | 7,550 | 7,951 | |
Florida Power & Light Co. | 3.250% | 6/1/24 | 2,475 | 2,669 | |
Florida Power & Light Co. | 3.125% | 12/1/25 | 300 | 322 | |
Georgia Power Co. | 2.850% | 5/15/22 | 4,300 | 4,510 | |
Georgia Power Co. | 3.250% | 4/1/26 | 3,300 | 3,505 | |
Indiana Michigan Power Co. | 3.200% | 3/15/23 | 825 | 861 | |
Interstate Power & Light Co. | 3.400% | 8/15/25 | 1,925 | 2,084 | |
ITC Holdings Corp. | 4.050% | 7/1/23 | 900 | 960 | |
ITC Holdings Corp. | 3.650% | 6/15/24 | 4,270 | 4,445 | |
ITC Holdings Corp. | 3.250% | 6/30/26 | 2,325 | 2,328 | |
Kansas City Power & Light Co. | 3.150% | 3/15/23 | 3,140 | 3,229 | |
Kentucky Utilities Co. | 3.300% | 10/1/25 | 1,400 | 1,513 | |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 375 | 414 | |
Louisville Gas & Electric Co. | 3.300% | 10/1/25 | 2,900 | 3,116 | |
MidAmerican Energy Co. | 3.700% | 9/15/23 | 250 | 275 | |
MidAmerican Energy Co. | 3.500% | 10/15/24 | 3,550 | 3,882 | |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 4,950 | 5,228 | |
National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 4,400 | 4,577 | |
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 4,150 | 4,331 | |
National Rural Utilities Cooperative Finance Corp. | 3.250% | 11/1/25 | 3,875 | 4,180 | |
4 | National Rural Utilities Cooperative Finance Corp. | 4.750% | 4/30/43 | 2,100 | 2,058 |
4 | National Rural Utilities Cooperative Finance Corp. | 5.250% | 4/20/46 | 3,575 | 3,653 |
NextEra Energy Capital Holdings Inc. | 3.625% | 6/15/23 | 1,600 | 1,685 | |
Northern States Power Co. | 2.150% | 8/15/22 | 825 | 842 | |
Northern States Power Co. | 2.600% | 5/15/23 | 1,300 | 1,347 | |
NSTAR Electric Co. | 2.375% | 10/15/22 | 1,825 | 1,879 | |
NSTAR Electric Co. | 3.250% | 11/15/25 | 2,650 | 2,848 | |
NSTAR Electric Co. | 2.700% | 6/1/26 | 2,350 | 2,390 | |
Ohio Power Co. | 5.375% | 10/1/21 | 5,175 | 6,038 | |
Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 3,375 | 3,735 | |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 2,560 | 3,260 | |
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 4,000 | 4,164 | |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 2,500 | 2,681 | |
Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 3,000 | 3,066 |
66
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 2,650 | 2,827 | |
Pacific Gas & Electric Co. | 3.850% | 11/15/23 | 100 | 110 | |
Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 5,135 | 5,631 | |
Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 4,700 | 5,050 | |
Pacific Gas & Electric Co. | 3.500% | 6/15/25 | 4,200 | 4,572 | |
Pacific Gas & Electric Co. | 2.950% | 3/1/26 | 5,462 | 5,693 | |
PacifiCorp | 2.950% | 2/1/22 | 5,332 | 5,655 | |
PacifiCorp | 3.600% | 4/1/24 | 3,575 | 3,928 | |
PacifiCorp | 3.350% | 7/1/25 | 1,925 | 2,076 | |
Peco Energy Co. | 2.375% | 9/15/22 | 2,450 | 2,525 | |
Potomac Electric Power Co. | 3.600% | 3/15/24 | 150 | 163 | |
PPL Capital Funding Inc. | 4.200% | 6/15/22 | 6,801 | 7,411 | |
PPL Capital Funding Inc. | 3.500% | 12/1/22 | 1,760 | 1,853 | |
PPL Capital Funding Inc. | 3.400% | 6/1/23 | 3,975 | 4,148 | |
PPL Capital Funding Inc. | 3.950% | 3/15/24 | 1,225 | 1,320 | |
PPL Capital Funding Inc. | 3.100% | 5/15/26 | 8,075 | 8,140 | |
PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 5,350 | 5,699 | |
Progress Energy Inc. | 3.150% | 4/1/22 | 4,575 | 4,765 | |
PSEG Power LLC | 4.150% | 9/15/21 | 1,225 | 1,312 | |
PSEG Power LLC | 4.300% | 11/15/23 | 1,500 | 1,581 | |
Public Service Co. of Colorado | 2.250% | 9/15/22 | 1,250 | 1,283 | |
Public Service Co. of Colorado | 2.500% | 3/15/23 | 1,325 | 1,357 | |
Public Service Co. of Colorado | 2.900% | 5/15/25 | 3,200 | 3,352 | |
Public Service Co. of New Hampshire | 3.500% | 11/1/23 | 1,550 | 1,665 | |
Public Service Co. of New Mexico | 3.850% | 8/1/25 | 1,650 | 1,767 | |
Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 7,279 | 7,441 | |
Public Service Electric & Gas Co. | 3.150% | 8/15/24 | 2,550 | 2,730 | |
Public Service Electric & Gas Co. | 3.050% | 11/15/24 | 3,000 | 3,200 | |
Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 3,315 | 3,543 | |
Puget Energy Inc. | 6.000% | 9/1/21 | 1,787 | 2,070 | |
Puget Energy Inc. | 5.625% | 7/15/22 | 7,050 | 8,054 | |
Puget Energy Inc. | 3.650% | 5/15/25 | 3,900 | 4,012 | |
San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 2,597 | 2,778 | |
San Diego Gas & Electric Co. | 3.600% | 9/1/23 | 4,573 | 5,050 | |
San Diego Gas & Electric Co. | 2.500% | 5/15/26 | 5,400 | 5,483 | |
SCANA Corp. | 4.125% | 2/1/22 | 5,165 | 5,369 | |
Scottish Power Ltd. | 5.810% | 3/15/25 | 900 | 1,052 | |
Sierra Pacific Power Co. | 3.375% | 8/15/23 | 3,750 | 4,012 | |
5 | Sierra Pacific Power Co. | 2.600% | 5/1/26 | 4,450 | 4,549 |
4 | Southern California Edison Co. | 1.845% | 2/1/22 | 2,700 | 2,684 |
Southern California Edison Co. | 2.400% | 2/1/22 | 1,000 | 1,030 | |
Southern California Edison Co. | 3.500% | 10/1/23 | 2,225 | 2,437 | |
Southern Co. | 2.350% | 7/1/21 | 7,500 | 7,648 | |
Southern Co. | 2.950% | 7/1/23 | 9,000 | 9,315 | |
Southern Co. | 3.250% | 7/1/26 | 7,350 | 7,639 | |
Southern Power Co. | 4.150% | 12/1/25 | 3,400 | 3,679 | |
Southwestern Electric Power Co. | 3.550% | 2/15/22 | 1,575 | 1,680 | |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 2,200 | 2,353 | |
System Energy Resources Inc. | 4.100% | 4/1/23 | 2,200 | 2,329 | |
Tampa Electric Co. | 2.600% | 9/15/22 | 2,600 | 2,685 | |
TransAlta Corp. | 4.500% | 11/15/22 | 2,500 | 2,286 | |
Tri-State Generation & Transmission Assn. Inc. | 3.700% | 11/1/24 | 1,325 | 1,412 | |
Tucson Electric Power Co. | 5.150% | 11/15/21 | 2,150 | 2,435 | |
Tucson Electric Power Co. | 3.050% | 3/15/25 | 750 | 757 | |
Union Electric Co. | 3.500% | 4/15/24 | 3,625 | 3,934 | |
Virginia Electric & Power Co. | 2.950% | 1/15/22 | 3,700 | 3,900 | |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 1,550 | 1,667 | |
Virginia Electric & Power Co. | 2.750% | 3/15/23 | 600 | 623 | |
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 1,925 | 2,082 | |
Virginia Electric & Power Co. | 3.100% | 5/15/25 | 4,850 | 5,121 | |
Virginia Electric & Power Co. | 3.150% | 1/15/26 | 2,900 | 3,070 | |
WEC Energy Group Inc. | 3.550% | 6/15/25 | 3,225 | 3,469 | |
Westar Energy Inc. | 3.250% | 12/1/25 | 2,325 | 2,485 | |
Westar Energy Inc. | 2.550% | 7/1/26 | 1,325 | 1,327 |
67
Vanguard® Intermediate-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 2,275 | 2,425 |
Wisconsin Electric Power Co. | 3.100% | 6/1/25 | 1,600 | 1,703 |
Wisconsin Power & Light Co. | 2.250% | 11/15/22 | 1,850 | 1,864 |
Xcel Energy Inc. | 3.300% | 6/1/25 | 4,700 | 4,958 |
Natural Gas (0.2%) | ||||
AGL Capital Corp. | 3.500% | 9/15/21 | 2,125 | 2,257 |
AGL Capital Corp. | 3.875% | 11/15/25 | 1,100 | 1,182 |
AGL Capital Corp. | 3.250% | 6/15/26 | 1,325 | 1,358 |
Laclede Gas Co. | 3.400% | 8/15/23 | 1,375 | 1,468 |
NiSource Finance Corp. | 6.125% | 3/1/22 | 4,754 | 5,681 |
Nisource Finance Corp. | 3.850% | 2/15/23 | 1,600 | 1,727 |
ONE Gas Inc. | 3.610% | 2/1/24 | 1,870 | 2,021 |
Sempra Energy | 2.875% | 10/1/22 | 5,754 | 5,890 |
Sempra Energy | 4.050% | 12/1/23 | 6,500 | 7,042 |
Sempra Energy | 3.750% | 11/15/25 | 8,585 | 9,176 |
Southern California Gas Co. | 2.600% | 6/15/26 | 11,000 | 11,287 |
Other Utility (0.0%) | ||||
American Water Capital Corp. | 3.850% | 3/1/24 | 2,500 | 2,768 |
American Water Capital Corp. | 3.400% | 3/1/25 | 6,650 | 7,191 |
633,377 | ||||
Total Corporate Bonds (Cost $10,646,101) | 11,108,332 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (6.3%) | ||||
African Development Bank | 2.375% | 9/23/21 | 8,000 | 8,415 |
Asian Development Bank | 2.125% | 11/24/21 | 7,300 | 7,588 |
Asian Development Bank | 1.875% | 2/18/22 | 20,750 | 21,266 |
Asian Development Bank | 2.000% | 1/22/25 | 10,150 | 10,461 |
Asian Development Bank | 2.000% | 4/24/26 | 5,000 | 5,114 |
CNOOC Finance 2013 Ltd. | 3.000% | 5/9/23 | 16,475 | 16,371 |
CNOOC Finance 2015 USA LLC | 3.500% | 5/5/25 | 14,225 | 14,403 |
CNOOC Nexen Finance 2014 ULC | 4.250% | 4/30/24 | 14,700 | 15,681 |
Corp. Andina de Fomento | 4.375% | 6/15/22 | 12,670 | 14,083 |
Ecopetrol SA | 5.875% | 9/18/23 | 11,050 | 11,381 |
Ecopetrol SA | 4.125% | 1/16/25 | 10,793 | 9,876 |
Emirates Telecommunications Group Co. PJSC | 3.500% | 6/18/24 | 2,000 | 2,088 |
European Bank for Reconstruction & Development | 1.875% | 2/23/22 | 8,025 | 8,256 |
European Investment Bank | 2.125% | 10/15/21 | 22,150 | 22,904 |
European Investment Bank | 2.250% | 8/15/22 | 24,250 | 25,376 |
European Investment Bank | 3.250% | 1/29/24 | 25,475 | 28,545 |
European Investment Bank | 2.500% | 10/15/24 | 6,825 | 7,264 |
European Investment Bank | 1.875% | 2/10/25 | 30,300 | 30,808 |
European Investment Bank | 2.125% | 4/13/26 | 6,000 | 6,264 |
Export-Import Bank of Korea | 4.375% | 9/15/21 | 8,000 | 8,910 |
Export-Import Bank of Korea | 5.000% | 4/11/22 | 5,400 | 6,210 |
Export-Import Bank of Korea | 4.000% | 1/14/24 | 4,900 | 5,478 |
Export-Import Bank of Korea | 2.875% | 1/21/25 | 9,500 | 9,806 |
Export-Import Bank of Korea | 3.250% | 11/10/25 | 9,000 | 9,649 |
Export-Import Bank of Korea | 2.625% | 5/26/26 | 11,500 | 11,783 |
Hydro-Quebec | 8.400% | 1/15/22 | 4,825 | 6,387 |
Hydro-Quebec | 8.050% | 7/7/24 | 8,825 | 12,408 |
Inter-American Development Bank | 1.750% | 4/14/22 | 21,900 | 22,393 |
Inter-American Development Bank | 3.000% | 10/4/23 | 9,000 | 9,915 |
Inter-American Development Bank | 3.000% | 2/21/24 | 19,000 | 20,996 |
Inter-American Development Bank | 2.125% | 1/15/25 | 18,900 | 19,634 |
Inter-American Development Bank | 7.000% | 6/15/25 | 750 | 1,018 |
Inter-American Development Bank | 2.000% | 6/2/26 | 10,600 | 10,894 |
International Bank for Reconstruction & Development | 2.250% | 6/24/21 | 16,900 | 17,659 |
International Bank for Reconstruction & Development | 1.625% | 2/10/22 | 29,800 | 30,251 |
International Bank for Reconstruction & Development | 1.875% | 10/7/22 | 500 | 513 |
International Bank for Reconstruction & Development | 7.625% | 1/19/23 | 2,107 | 2,909 |
International Bank for Reconstruction & Development | 1.750% | 4/19/23 | 20,500 | 20,839 |
International Bank for Reconstruction & Development | 2.500% | 11/25/24 | 31,700 | 33,764 |
68
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
International Bank for Reconstruction & Development | 2.500% | 7/29/25 | 33,450 | 35,849 | |
International Bank for Reconstruction & Development | 8.875% | 3/1/26 | 1,000 | 1,600 | |
International Finance Corp. | 2.125% | 4/7/26 | 5,600 | 5,821 | |
6 | Japan Bank for International Cooperation | 3.375% | 7/31/23 | 2,775 | 3,067 |
6 | Japan Bank for International Cooperation | 3.000% | 5/29/24 | 6,700 | 7,226 |
6 | Japan Bank for International Cooperation | 2.125% | 2/10/25 | 11,000 | 11,130 |
6 | Japan Bank for International Cooperation | 2.500% | 5/28/25 | 7,500 | 7,901 |
6 | Japan Bank for International Cooperation | 2.750% | 1/21/26 | 10,000 | 10,743 |
6 | Japan Bank for International Cooperation | 2.375% | 4/20/26 | 6,000 | 6,273 |
7 | KFW | 2.375% | 8/25/21 | 15,500 | 16,307 |
7 | KFW | 2.625% | 1/25/22 | 33,230 | 35,425 |
7 | KFW | 2.000% | 10/4/22 | 14,550 | 15,006 |
7 | KFW | 2.125% | 1/17/23 | 28,425 | 29,575 |
7 | KFW | 2.500% | 11/20/24 | 32,650 | 34,641 |
7 | KFW | 2.000% | 5/2/25 | 23,200 | 23,758 |
Korea Development Bank | 4.625% | 11/16/21 | 5,600 | 6,364 | |
Korea Development Bank | 3.000% | 9/14/22 | 9,550 | 10,068 | |
Korea Development Bank | 3.750% | 1/22/24 | 7,050 | 7,670 | |
Korea Development Bank | 3.000% | 1/13/26 | 10,000 | 10,547 | |
7 | Landwirtschaftliche Rentenbank | 2.250% | 10/1/21 | 8,645 | 9,018 |
7 | Landwirtschaftliche Rentenbank | 2.000% | 1/13/25 | 14,000 | 14,148 |
7 | Landwirtschaftliche Rentenbank | 2.375% | 6/10/25 | 11,250 | 11,701 |
North American Development Bank | 2.400% | 10/26/22 | 2,500 | 2,556 | |
8 | Oesterreichische Kontrollbank AG | 2.375% | 10/1/21 | 5,600 | 5,802 |
4 | Oriental Republic of Uruguay | 8.000% | 11/18/22 | 3,430 | 4,390 |
4 | Oriental Republic of Uruguay | 4.500% | 8/14/24 | 12,225 | 13,206 |
Petroleos Mexicanos | 4.875% | 1/24/22 | 30,400 | 31,025 | |
Petroleos Mexicanos | 3.500% | 1/30/23 | 20,360 | 19,154 | |
Petroleos Mexicanos | 4.875% | 1/18/24 | 12,600 | 12,711 | |
4 | Petroleos Mexicanos | 2.290% | 2/15/24 | 1,520 | 1,562 |
Petroleos Mexicanos | 4.250% | 1/15/25 | 7,575 | 7,284 | |
Petroleos Mexicanos | 4.500% | 1/23/26 | 7,550 | 7,291 | |
Province of British Columbia | 2.650% | 9/22/21 | 6,450 | 6,863 | |
Province of British Columbia | 2.000% | 10/23/22 | 7,000 | 7,247 | |
Province of British Columbia | 6.500% | 1/15/26 | 1,935 | 2,640 | |
Province of British Columbia | 2.250% | 6/2/26 | 6,700 | 6,902 | |
Province of Manitoba | 2.100% | 9/6/22 | 3,800 | 3,879 | |
Province of Manitoba | 3.050% | 5/14/24 | 13,600 | 14,712 | |
Province of Nova Scotia | 8.250% | 7/30/22 | 4,700 | 6,280 | |
Province of Ontario | 2.500% | 9/10/21 | 15,500 | 16,204 | |
Province of Ontario | 2.450% | 6/29/22 | 2,150 | 2,237 | |
Province of Ontario | 3.200% | 5/16/24 | 9,650 | 10,538 | |
Province of Ontario | 2.500% | 4/27/26 | 7,500 | 7,734 | |
Quebec | 2.750% | 8/25/21 | 22,125 | 23,394 | |
Quebec | 2.625% | 2/13/23 | 7,075 | 7,426 | |
Quebec | 7.125% | 2/9/24 | 6,125 | 8,141 | |
Quebec | 2.875% | 10/16/24 | 12,300 | 13,112 | |
Quebec | 2.500% | 4/20/26 | 14,000 | 14,399 | |
Republic of Chile | 2.250% | 10/30/22 | 4,075 | 4,108 | |
Republic of Chile | 3.125% | 1/21/26 | 24,663 | 25,403 | |
Republic of Colombia | 4.375% | 7/12/21 | 14,442 | 15,431 | |
4 | Republic of Colombia | 2.625% | 3/15/23 | 12,725 | 12,300 |
Republic of Colombia | 4.000% | 2/26/24 | 22,250 | 23,223 | |
Republic of Colombia | 8.125% | 5/21/24 | 5,690 | 7,397 | |
4 | Republic of Colombia | 4.500% | 1/28/26 | 4,600 | 4,917 |
Republic of Finland | 6.950% | 2/15/26 | 695 | 972 | |
Republic of Italy | 6.875% | 9/27/23 | 24,750 | 31,056 | |
Republic of Korea | 3.875% | 9/11/23 | 9,300 | 10,604 | |
Republic of Korea | 5.625% | 11/3/25 | 1,775 | 2,330 | |
4 | Republic of Panama | 4.000% | 9/22/24 | 8,500 | 9,116 |
4 | Republic of Panama | 3.750% | 3/16/25 | 14,750 | 15,561 |
Republic of Panama | 7.125% | 1/29/26 | 4,190 | 5,510 | |
Republic of Peru | 7.350% | 7/21/25 | 17,450 | 23,778 | |
Republic of Poland | 5.000% | 3/23/22 | 29,110 | 32,694 |
69
Vanguard® Intermediate-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Republic of Poland | 3.000% | 3/17/23 | 8,805 | 8,945 | |
Republic of Poland | 4.000% | 1/22/24 | 15,425 | 16,570 | |
Republic of Poland | 3.250% | 4/6/26 | 12,400 | 12,620 | |
Republic of South Africa | 5.875% | 5/30/22 | 3,800 | 4,210 | |
Republic of South Africa | 4.665% | 1/17/24 | 22,145 | 22,795 | |
Republic of South Africa | 5.875% | 9/16/25 | 11,000 | 12,183 | |
Republic of South Africa | 4.875% | 4/14/26 | 4,200 | 4,332 | |
Republic of the Philippines | 4.200% | 1/21/24 | 11,250 | 12,760 | |
Republic of the Philippines | 9.500% | 10/21/24 | 400 | 606 | |
Republic of the Philippines | 10.625% | 3/16/25 | 10,105 | 16,576 | |
Republic of the Philippines | 5.500% | 3/30/26 | 7,075 | 8,955 | |
Republic of Turkey | 5.125% | 3/25/22 | 17,475 | 18,678 | |
Republic of Turkey | 6.250% | 9/26/22 | 21,350 | 24,120 | |
Republic of Turkey | 3.250% | 3/23/23 | 13,400 | 12,909 | |
Republic of Turkey | 5.750% | 3/22/24 | 20,100 | 22,358 | |
Republic of Turkey | 7.375% | 2/5/25 | 16,000 | 19,726 | |
Republic of Turkey | 4.250% | 4/14/26 | 8,200 | 8,212 | |
State of Israel | 4.000% | 6/30/22 | 9,475 | 10,531 | |
State of Israel | 3.150% | 6/30/23 | 9,600 | 10,211 | |
State of Israel | 2.875% | 3/16/26 | 10,000 | 10,317 | |
Statoil ASA | 2.750% | 11/10/21 | 2,000 | 2,078 | |
Statoil ASA | 3.150% | 1/23/22 | 6,725 | 7,070 | |
Statoil ASA | 2.450% | 1/17/23 | 9,642 | 9,738 | |
Statoil ASA | 2.650% | 1/15/24 | 8,425 | 8,537 | |
Statoil ASA | 3.700% | 3/1/24 | 9,463 | 10,239 | |
Statoil ASA | 3.250% | 11/10/24 | 6,562 | 6,908 | |
United Mexican States | 3.625% | 3/15/22 | 32,648 | 34,420 | |
United Mexican States | 4.000% | 10/2/23 | 34,205 | 36,702 | |
United Mexican States | 3.600% | 1/30/25 | 28,075 | 29,328 | |
United Mexican States | 4.125% | 1/21/26 | 9,950 | 10,748 | |
Total Sovereign Bonds (Cost $1,667,731) | 1,735,869 | ||||
Taxable Municipal Bonds (0.3%) | |||||
California GO | 5.700% | 11/1/21 | 2,300 | 2,748 | |
California GO | 6.650% | 3/1/22 | 3,500 | 4,322 | |
Energy Northwest Washington Electric Revenue | |||||
(Columbia Generating Station) | 2.814% | 7/1/24 | 4,000 | 4,211 | |
Florida Board of Administration Finance Corp Revenue | 2.638% | 7/1/21 | 4,000 | 4,169 | |
George Washington University District of Columbia GO | 3.485% | 9/15/22 | 2,500 | 2,686 | |
Georgia GO | 4.503% | 11/1/25 | 3,825 | 4,403 | |
Illinois GO | 4.950% | 6/1/23 | 8,954 | 9,491 | |
Massachusetts GO | 4.200% | 12/1/21 | 6,375 | 7,138 | |
9 | New Jersey Economic Development Authority Lease | ||||
Revenue | 0.000% | 2/15/22 | 5,000 | 4,155 | |
Oregon GO | 5.762% | 6/1/23 | 1,950 | 2,290 | |
Pennsylvania GO | 4.650% | 2/15/26 | 1,975 | 2,200 | |
Philadelphia PA Industrial Development Authority City | |||||
Service Agreement Revenue | 3.964% | 4/15/26 | 1,000 | 1,032 | |
Port Authority of New York & New Jersey Revenue | 5.859% | 12/1/24 | 2,930 | 3,748 | |
Texas Transportation Commission Revenue | 5.028% | 4/1/26 | 1,000 | 1,222 | |
Utah GO | 4.554% | 7/1/24 | 4,895 | 5,688 | |
Utah GO | 3.539% | 7/1/25 | 65 | 72 | |
9 | Wisconsin GO | 5.700% | 5/1/26 | 3,245 | 3,986 |
Total Taxable Municipal Bonds (Cost $61,002) | 63,561 |
70
Vanguard® Intermediate-Term Bond Index Fund | |||
Schedule of Investments | |||
June 30, 2016 | |||
Market | |||
Value | |||
Coupon | Shares | ($000) | |
Temporary Cash Investment (0.9%) | |||
Money Market Fund (0.9%) | |||
10 Vanguard Market Liquidity Fund (Cost | |||
$255,883) | 0.538% | 255,883,474 | 255,883 |
Total Investments (100.3%) (Cost $26,500,534) | 27,697,731 | ||
Other Assets and Liabilities—Net (-0.3%) | (74,400) | ||
Net Assets (100%) | 27,623,331 |
1 U.S. government-guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal
Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior
preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
5 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate value of these securities was $320,489,000, representing
1.2% of net assets.
6 Guaranteed by the Government of Japan.
7 Guaranteed by the Federal Republic of Germany.
8 Guaranteed by the Republic of Austria.
9 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
10 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
71
Vanguard® Long-Term Bond Index Fund
Schedule of Investments
June 30, 2016
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
U.S. Government and Agency Obligations (39.7%) | |||||
U.S. Government Securities (37.7%) | |||||
United States Treasury Note/Bond | 1.625% | 5/15/26 | 8,348 | 8,455 | |
United States Treasury Note/Bond | 6.750% | 8/15/26 | 11,810 | 17,689 | |
United States Treasury Note/Bond | 6.500% | 11/15/26 | 18,620 | 27,590 | |
United States Treasury Note/Bond | 6.625% | 2/15/27 | 10,000 | 15,037 | |
United States Treasury Note/Bond | 6.375% | 8/15/27 | 11,955 | 17,876 | |
United States Treasury Note/Bond | 6.125% | 11/15/27 | 8,571 | 12,653 | |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 18,690 | 26,727 | |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 21,505 | 30,272 | |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 50,926 | 72,021 | |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 17,570 | 26,888 | |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 32,220 | 50,646 | |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 36,145 | 53,607 | |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 63,835 | 91,942 | |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 10,930 | 16,260 | |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 13,269 | 20,397 | |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 25,178 | 35,902 | |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 22,350 | 32,421 | |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 45,537 | 57,490 | |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 40,942 | 57,235 | |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 42,981 | 62,168 | |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 38,630 | 54,927 | |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 70,706 | 103,982 | |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 33,368 | 47,508 | |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 43,900 | 58,304 | |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 38,805 | 54,376 | |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 62,680 | 94,108 | |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 46,095 | 65,858 | |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 26,950 | 35,195 | |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 65,292 | 77,167 | |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 52,597 | 62,204 | |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 21,915 | 25,332 | |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 119,203 | 131,440 | |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 141,223 | 155,478 | |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 133,640 | 157,654 | |
United States Treasury Note/Bond | 2.875% | 5/15/43 | 176,855 | 198,962 | |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 102,500 | 132,337 | |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 120,580 | 159,185 | |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 144,444 | 186,310 | |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 116,587 | 143,803 | |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 118,838 | 139,988 | |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 139,556 | 160,555 | |
United States Treasury Note/Bond | 2.500% | 2/15/45 | 190,277 | 198,274 | |
United States Treasury Note/Bond | 3.000% | 5/15/45 | 146,360 | 168,360 | |
United States Treasury Note/Bond | 2.875% | 8/15/45 | 166,737 | 187,266 | |
United States Treasury Note/Bond | 3.000% | 11/15/45 | 85,750 | 98,679 | |
United States Treasury Note/Bond | 2.500% | 2/15/46 | 123,413 | 128,620 | |
United States Treasury Note/Bond | 2.500% | 5/15/46 | 73,700 | 76,890 | |
3,836,038 | |||||
Agency Bonds and Notes (2.0%) | |||||
1 | Federal Home Loan Banks | 5.625% | 3/14/36 | 1,000 | 1,443 |
1 | Federal Home Loan Banks | 5.500% | 7/15/36 | 7,080 | 10,245 |
2 | Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 1,890 | 2,881 |
2 | Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 16,260 | 25,204 |
2 | Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 20,252 | 30,620 |
2 | Federal National Mortgage Assn. | 6.250% | 5/15/29 | 18,180 | 26,458 |
2 | Federal National Mortgage Assn. | 7.125% | 1/15/30 | 9,175 | 14,406 |
2 | Federal National Mortgage Assn. | 7.250% | 5/15/30 | 8,835 | 14,066 |
2 | Federal National Mortgage Assn. | 6.625% | 11/15/30 | 9,050 | 13,838 |
2 | Federal National Mortgage Assn. | 5.625% | 7/15/37 | 6,080 | 8,946 |
2 | Federal National Mortgage Assn. | 6.210% | 8/6/38 | 700 | 1,098 |
1 | Tennessee Valley Authority | 7.125% | 5/1/30 | 3,970 | 6,085 |
72
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
1 | Tennessee Valley Authority | 4.650% | 6/15/35 | 4,510 | 5,716 |
1 | Tennessee Valley Authority | 5.880% | 4/1/36 | 4,535 | 6,574 |
1 | Tennessee Valley Authority | 5.980% | 4/1/36 | 1,000 | 1,461 |
1 | Tennessee Valley Authority | 6.150% | 1/15/38 | 2,450 | 3,689 |
1 | Tennessee Valley Authority | 5.500% | 6/15/38 | 1,175 | 1,647 |
1 | Tennessee Valley Authority | 5.250% | 9/15/39 | 7,645 | 10,445 |
1 | Tennessee Valley Authority | 3.500% | 12/15/42 | 3,150 | 3,407 |
1 | Tennessee Valley Authority | 4.875% | 1/15/48 | 2,650 | 3,367 |
1 | Tennessee Valley Authority | 5.375% | 4/1/56 | 1,950 | 2,743 |
1 | Tennessee Valley Authority | 4.625% | 9/15/60 | 1,400 | 1,753 |
1 | Tennessee Valley Authority | 4.250% | 9/15/65 | 3,500 | 4,096 |
200,188 | |||||
Total U.S. Government and Agency Obligations (Cost $3,449,878) | 4,036,226 | ||||
Corporate Bonds (49.0%) | |||||
Finance (8.6%) | |||||
Banking (4.7%) | |||||
American Express Co. | 4.050% | 12/3/42 | 2,406 | 2,504 | |
Bank of America Corp. | 4.250% | 10/22/26 | 8,439 | 8,756 | |
Bank of America Corp. | 6.750% | 6/1/28 | 425 | 543 | |
Bank of America Corp. | 6.110% | 1/29/37 | 6,300 | 7,479 | |
Bank of America Corp. | 7.750% | 5/14/38 | 6,245 | 8,793 | |
Bank of America Corp. | 5.875% | 2/7/42 | 6,635 | 8,376 | |
Bank of America Corp. | 5.000% | 1/21/44 | 6,975 | 8,053 | |
Bank of America Corp. | 4.875% | 4/1/44 | 3,400 | 3,875 | |
Bank of America Corp. | 4.750% | 4/21/45 | 1,900 | 1,941 | |
Bank of America NA | 6.000% | 10/15/36 | 3,400 | 4,337 | |
Bank One Capital III | 8.750% | 9/1/30 | 425 | 621 | |
Bank One Corp. | 7.625% | 10/15/26 | 4,975 | 6,618 | |
Bank One Corp. | 8.000% | 4/29/27 | 185 | 249 | |
Barclays plc | 5.250% | 8/17/45 | 4,500 | 4,729 | |
Branch Banking & Trust Co. | 3.800% | 10/30/26 | 2,450 | 2,699 | |
Citigroup Inc. | 4.400% | 6/10/25 | 6,000 | 6,254 | |
Citigroup Inc. | 4.300% | 11/20/26 | 2,750 | 2,847 | |
Citigroup Inc. | 4.450% | 9/29/27 | 7,394 | 7,581 | |
Citigroup Inc. | 6.625% | 1/15/28 | 625 | 789 | |
Citigroup Inc. | 6.625% | 6/15/32 | 3,350 | 4,101 | |
Citigroup Inc. | 6.000% | 10/31/33 | 4,025 | 4,717 | |
Citigroup Inc. | 6.125% | 8/25/36 | 5,033 | 5,900 | |
Citigroup Inc. | 8.125% | 7/15/39 | 7,907 | 12,343 | |
Citigroup Inc. | 5.875% | 1/30/42 | 4,285 | 5,401 | |
Citigroup Inc. | 6.675% | 9/13/43 | 2,566 | 3,295 | |
Citigroup Inc. | 4.950% | 11/7/43 | 3,508 | 3,944 | |
Citigroup Inc. | 5.300% | 5/6/44 | 3,450 | 3,728 | |
Comerica Inc. | 3.800% | 7/22/26 | 750 | 769 | |
Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 5,675 | 7,045 | |
Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 6,225 | 7,335 | |
Cooperatieve Rabobank UA | 5.250% | 8/4/45 | 2,300 | 2,566 | |
Credit Suisse Group Funding Guernsey Ltd. | 4.875% | 5/15/45 | 6,625 | 6,755 | |
Credit Suisse USA Inc. | 7.125% | 7/15/32 | 2,400 | 3,192 | |
Fifth Third Bancorp | 8.250% | 3/1/38 | 3,420 | 5,112 | |
FirstMerit Bank NA | 4.270% | 11/25/26 | 1,225 | 1,261 | |
Goldman Sachs Capital I | 6.345% | 2/15/34 | 5,175 | 6,082 | |
Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 4,008 | 4,620 | |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 10,300 | 12,876 | |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 5,100 | 6,014 | |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 18,440 | 22,762 | |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 7,470 | 9,663 | |
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 7,375 | 8,148 | |
Goldman Sachs Group Inc. | 5.150% | 5/22/45 | 6,700 | 6,912 | |
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 4,000 | 4,410 | |
HSBC Bank USA NA | 5.875% | 11/1/34 | 4,390 | 5,321 | |
HSBC Bank USA NA | 5.625% | 8/15/35 | 3,525 | 4,053 |
73
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
HSBC Bank USA NA | 7.000% | 1/15/39 | 2,625 | 3,345 | |
HSBC Holdings plc | 7.625% | 5/17/32 | 1,050 | 1,336 | |
HSBC Holdings plc | 7.350% | 11/27/32 | 200 | 245 | |
HSBC Holdings plc | 6.500% | 5/2/36 | 6,200 | 7,405 | |
HSBC Holdings plc | 6.500% | 9/15/37 | 10,950 | 13,212 | |
HSBC Holdings plc | 6.800% | 6/1/38 | 1,540 | 1,926 | |
HSBC Holdings plc | 6.100% | 1/14/42 | 3,370 | 4,324 | |
HSBC Holdings plc | 5.250% | 3/14/44 | 4,925 | 5,193 | |
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 6,150 | 6,492 | |
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 4,450 | 4,684 | |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 6,800 | 9,281 | |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 4,325 | 5,426 | |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 4,825 | 6,126 | |
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 5,104 | 6,331 | |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 4,550 | 5,345 | |
JPMorgan Chase & Co. | 4.850% | 2/1/44 | 4,425 | 5,297 | |
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 5,364 | 5,897 | |
KeyBank NA | 6.950% | 2/1/28 | 1,018 | 1,329 | |
3 | Lloyds Banking Group plc | 5.300% | 12/1/45 | 2,000 | 2,064 |
Morgan Stanley | 6.250% | 8/9/26 | 2,375 | 2,983 | |
Morgan Stanley | 4.350% | 9/8/26 | 7,900 | 8,233 | |
Morgan Stanley | 3.950% | 4/23/27 | 6,800 | 6,856 | |
Morgan Stanley | 7.250% | 4/1/32 | 2,025 | 2,807 | |
Morgan Stanley | 6.375% | 7/24/42 | 6,525 | 8,807 | |
Morgan Stanley | 4.300% | 1/27/45 | 12,000 | 12,646 | |
Regions Bank | 6.450% | 6/26/37 | 1,850 | 2,264 | |
Regions Financial Corp. | 7.375% | 12/10/37 | 1,100 | 1,388 | |
Wachovia Bank NA | 5.850% | 2/1/37 | 3,000 | 3,801 | |
Wachovia Corp. | 7.574% | 8/1/26 | 1,125 | 1,464 | |
Wachovia Corp. | 7.500% | 4/15/35 | 1,940 | 2,702 | |
Wachovia Corp. | 5.500% | 8/1/35 | 1,585 | 1,878 | |
Wachovia Corp. | 6.550% | 10/15/35 | 125 | 159 | |
Wells Fargo & Co. | 4.300% | 7/22/27 | 8,100 | 8,724 | |
Wells Fargo & Co. | 5.375% | 2/7/35 | 2,450 | 2,978 | |
Wells Fargo & Co. | 5.375% | 11/2/43 | 9,060 | 10,563 | |
Wells Fargo & Co. | 5.606% | 1/15/44 | 7,845 | 9,399 | |
Wells Fargo & Co. | 4.650% | 11/4/44 | 4,600 | 4,837 | |
Wells Fargo & Co. | 3.900% | 5/1/45 | 6,150 | 6,442 | |
Wells Fargo & Co. | 4.900% | 11/17/45 | 6,700 | 7,340 | |
Wells Fargo & Co. | 4.400% | 6/14/46 | 4,500 | 4,558 | |
Wells Fargo Bank NA | 5.950% | 8/26/36 | 1,755 | 2,238 | |
Wells Fargo Bank NA | 6.600% | 1/15/38 | 6,075 | 8,337 | |
4 | Wells Fargo Capital X | 5.950% | 12/1/86 | 3,025 | 3,214 |
Brokerage (0.2%) | |||||
Brookfield Asset Management Inc. | 7.375% | 3/1/33 | 850 | 1,034 | |
CME Group Inc. | 5.300% | 9/15/43 | 2,475 | 3,124 | |
Invesco Finance plc | 5.375% | 11/30/43 | 3,465 | 4,112 | |
Jefferies Group LLC | 6.450% | 6/8/27 | 950 | 1,056 | |
Jefferies Group LLC | 6.250% | 1/15/36 | 1,975 | 2,035 | |
Legg Mason Inc. | 5.625% | 1/15/44 | 1,900 | 1,944 | |
Leucadia National Corp. | 6.625% | 10/23/43 | 800 | 698 | |
Finance Companies (0.4%) | |||||
GATX Corp. | 5.200% | 3/15/44 | 575 | 583 | |
GATX Corp. | 4.500% | 3/30/45 | 650 | 596 | |
3 | GE Capital International Funding Co. | 4.418% | 11/15/35 | 38,226 | 42,826 |
Insurance (3.0%) | |||||
ACE Capital Trust II | 9.700% | 4/1/30 | 1,100 | 1,601 | |
Aetna Inc. | 4.250% | 6/15/36 | 4,400 | 4,548 | |
Aetna Inc. | 6.625% | 6/15/36 | 2,700 | 3,608 | |
Aetna Inc. | 6.750% | 12/15/37 | 1,700 | 2,308 | |
Aetna Inc. | 4.500% | 5/15/42 | 1,925 | 2,040 | |
Aetna Inc. | 4.125% | 11/15/42 | 1,450 | 1,467 | |
Aetna Inc. | 4.750% | 3/15/44 | 1,250 | 1,383 |
74
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Aetna Inc. | 4.375% | 6/15/46 | 6,425 | 6,679 | |
Aflac Inc. | 6.900% | 12/17/39 | 1,300 | 1,832 | |
Aflac Inc. | 6.450% | 8/15/40 | 1,335 | 1,787 | |
Alleghany Corp. | 4.900% | 9/15/44 | 975 | 1,014 | |
Allstate Corp. | 5.350% | 6/1/33 | 1,950 | 2,392 | |
Allstate Corp. | 5.550% | 5/9/35 | 1,435 | 1,815 | |
Allstate Corp. | 5.950% | 4/1/36 | 950 | 1,265 | |
Allstate Corp. | 4.500% | 6/15/43 | 1,380 | 1,605 | |
4 | Allstate Corp. | 6.500% | 5/15/67 | 1,675 | 1,817 |
American International Group Inc. | 3.875% | 1/15/35 | 3,400 | 3,216 | |
American International Group Inc. | 4.700% | 7/10/35 | 2,525 | 2,621 | |
American International Group Inc. | 6.250% | 5/1/36 | 3,200 | 3,811 | |
American International Group Inc. | 4.500% | 7/16/44 | 8,075 | 7,858 | |
American International Group Inc. | 4.800% | 7/10/45 | 1,857 | 1,891 | |
American International Group Inc. | 4.375% | 1/15/55 | 3,000 | 2,781 | |
4 | American International Group Inc. | 8.175% | 5/15/68 | 1,500 | 1,879 |
Anthem Inc. | 5.950% | 12/15/34 | 671 | 793 | |
Anthem Inc. | 5.850% | 1/15/36 | 2,375 | 2,843 | |
Anthem Inc. | 6.375% | 6/15/37 | 2,445 | 3,100 | |
Anthem Inc. | 4.625% | 5/15/42 | 2,900 | 3,045 | |
Anthem Inc. | 4.650% | 1/15/43 | 2,925 | 3,094 | |
Anthem Inc. | 5.100% | 1/15/44 | 2,500 | 2,811 | |
Anthem Inc. | 4.650% | 8/15/44 | 2,650 | 2,835 | |
Anthem Inc. | 4.850% | 8/15/54 | 800 | 843 | |
Aon Corp. | 8.205% | 1/1/27 | 1,050 | 1,348 | |
Aon Corp. | 6.250% | 9/30/40 | 1,750 | 2,229 | |
Aon plc | 4.250% | 12/12/42 | 575 | 558 | |
Aon plc | 4.450% | 5/24/43 | 1,575 | 1,590 | |
Aon plc | 4.600% | 6/14/44 | 2,950 | 3,007 | |
Arch Capital Group Ltd. | 7.350% | 5/1/34 | 625 | 846 | |
Arch Capital Group US Inc. | 5.144% | 11/1/43 | 2,050 | 2,228 | |
Assurant Inc. | 6.750% | 2/15/34 | 1,489 | 1,851 | |
AXA SA | 8.600% | 12/15/30 | 4,895 | 6,670 | |
AXIS Specialty Finance plc | 5.150% | 4/1/45 | 875 | 946 | |
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 3,025 | 4,003 | |
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 1,775 | 1,989 | |
Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 2,180 | 2,420 | |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 3,152 | 3,563 | |
Chubb Corp. | 6.000% | 5/11/37 | 2,675 | 3,628 | |
Chubb Corp. | 6.500% | 5/15/38 | 1,905 | 2,739 | |
Chubb INA Holdings Inc. | 6.700% | 5/15/36 | 1,000 | 1,437 | |
Chubb INA Holdings Inc. | 4.150% | 3/13/43 | 1,602 | 1,784 | |
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 5,031 | 5,768 | |
Cigna Corp. | 7.875% | 5/15/27 | 650 | 898 | |
Cigna Corp. | 6.150% | 11/15/36 | 1,625 | 2,017 | |
Cigna Corp. | 5.875% | 3/15/41 | 1,560 | 1,912 | |
Cigna Corp. | 5.375% | 2/15/42 | 2,445 | 2,879 | |
Cincinnati Financial Corp. | 6.920% | 5/15/28 | 1,200 | 1,581 | |
Cincinnati Financial Corp. | 6.125% | 11/1/34 | 1,350 | 1,650 | |
Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 1,100 | 1,330 | |
Everest Reinsurance Holdings Inc. | 4.868% | 6/1/44 | 1,500 | 1,538 | |
Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 1,675 | 2,053 | |
Hartford Financial Services Group Inc. | 6.625% | 3/30/40 | 736 | 951 | |
Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 1,325 | 1,635 | |
Hartford Financial Services Group Inc. | 4.300% | 4/15/43 | 400 | 400 | |
Humana Inc. | 8.150% | 6/15/38 | 810 | 1,175 | |
Humana Inc. | 4.625% | 12/1/42 | 1,476 | 1,539 | |
Humana Inc. | 4.950% | 10/1/44 | 2,195 | 2,407 | |
Lincoln National Corp. | 6.150% | 4/7/36 | 2,125 | 2,500 | |
Lincoln National Corp. | 7.000% | 6/15/40 | 2,295 | 2,942 | |
Loews Corp. | 6.000% | 2/1/35 | 1,050 | 1,295 | |
Loews Corp. | 4.125% | 5/15/43 | 1,965 | 1,988 | |
Manulife Financial Corp. | 5.375% | 3/4/46 | 2,500 | 2,948 | |
Markel Corp. | 5.000% | 3/30/43 | 1,100 | 1,177 |
75
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Markel Corp. | 5.000% | 4/5/46 | 1,100 | 1,161 | |
Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 1,125 | 1,384 | |
MetLife Inc. | 6.500% | 12/15/32 | 2,025 | 2,630 | |
MetLife Inc. | 6.375% | 6/15/34 | 2,400 | 3,106 | |
MetLife Inc. | 5.700% | 6/15/35 | 3,480 | 4,233 | |
MetLife Inc. | 5.875% | 2/6/41 | 3,153 | 3,928 | |
MetLife Inc. | 4.125% | 8/13/42 | 2,525 | 2,514 | |
MetLife Inc. | 4.875% | 11/13/43 | 3,750 | 4,125 | |
MetLife Inc. | 4.721% | 12/15/44 | 2,800 | 3,016 | |
MetLife Inc. | 4.050% | 3/1/45 | 3,150 | 3,091 | |
MetLife Inc. | 4.600% | 5/13/46 | 1,000 | 1,069 | |
4 | MetLife Inc. | 6.400% | 12/15/66 | 5,020 | 5,334 |
4 | MetLife Inc. | 10.750% | 8/1/69 | 840 | 1,306 |
Munich Re America Corp. | 7.450% | 12/15/26 | 1,000 | 1,329 | |
4 | Nationwide Financial Services Inc. | 6.750% | 5/15/87 | 1,025 | 1,056 |
Principal Financial Group Inc. | 6.050% | 10/15/36 | 2,000 | 2,501 | |
Principal Financial Group Inc. | 4.625% | 9/15/42 | 675 | 716 | |
Principal Financial Group Inc. | 4.350% | 5/15/43 | 1,000 | 1,015 | |
Progressive Corp. | 6.625% | 3/1/29 | 2,850 | 3,776 | |
Progressive Corp. | 4.350% | 4/25/44 | 2,190 | 2,505 | |
Protective Life Corp. | 8.450% | 10/15/39 | 1,020 | 1,429 | |
Prudential Financial Inc. | 5.750% | 7/15/33 | 350 | 413 | |
Prudential Financial Inc. | 5.400% | 6/13/35 | 1,820 | 2,064 | |
Prudential Financial Inc. | 5.900% | 3/17/36 | 2,100 | 2,517 | |
Prudential Financial Inc. | 5.700% | 12/14/36 | 2,650 | 3,150 | |
Prudential Financial Inc. | 6.625% | 12/1/37 | 2,450 | 3,163 | |
Prudential Financial Inc. | 6.625% | 6/21/40 | 1,550 | 2,010 | |
Prudential Financial Inc. | 6.200% | 11/15/40 | 1,750 | 2,157 | |
Prudential Financial Inc. | 5.625% | 5/12/41 | 1,025 | 1,196 | |
Prudential Financial Inc. | 5.100% | 8/15/43 | 1,395 | 1,550 | |
Prudential Financial Inc. | 4.600% | 5/15/44 | 4,188 | 4,459 | |
Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 1,175 | 1,207 | |
Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 1,325 | 1,830 | |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 1,000 | 1,449 | |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 2,700 | 3,745 | |
Travelers Cos. Inc. | 5.350% | 11/1/40 | 2,750 | 3,540 | |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 1,825 | 2,173 | |
Travelers Cos. Inc. | 4.300% | 8/25/45 | 450 | 511 | |
Travelers Cos. Inc. | 3.750% | 5/15/46 | 1,800 | 1,882 | |
Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 1,750 | 2,373 | |
Trinity Acquisition plc | 6.125% | 8/15/43 | 1,000 | 1,117 | |
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 3,350 | 3,889 | |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 2,635 | 3,455 | |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 890 | 1,242 | |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 2,575 | 3,664 | |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 3,985 | 5,808 | |
UnitedHealth Group Inc. | 5.950% | 2/15/41 | 1,050 | 1,398 | |
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 2,025 | 2,312 | |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 1,500 | 1,669 | |
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 3,050 | 3,192 | |
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 2,450 | 2,667 | |
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 7,310 | 8,812 | |
Unum Group | 5.750% | 8/15/42 | 900 | 1,000 | |
Validus Holdings Ltd. | 8.875% | 1/26/40 | 940 | 1,310 | |
Voya Financial Inc. | 5.700% | 7/15/43 | 1,325 | 1,493 | |
Voya Financial Inc. | 4.800% | 6/15/46 | 1,350 | 1,352 | |
WR Berkley Corp. | 4.750% | 8/1/44 | 1,370 | 1,428 | |
XLIT Ltd. | 6.250% | 5/15/27 | 825 | 997 | |
XLIT Ltd. | 5.250% | 12/15/43 | 1,050 | 1,146 | |
XLIT Ltd. | 5.500% | 3/31/45 | 1,700 | 1,695 | |
Real Estate Investment Trusts (0.3%) | |||||
Alexandria Real Estate Equities Inc. | 3.950% | 1/15/27 | 600 | 622 | |
Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 1,350 | 1,416 |
76
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Brandywine Operating Partnership LP | 4.550% | 10/1/29 | 820 | 854 |
ERP Operating LP | 4.500% | 7/1/44 | 1,450 | 1,614 |
ERP Operating LP | 4.500% | 6/1/45 | 2,200 | 2,444 |
Federal Realty Investment Trust | 4.500% | 12/1/44 | 1,800 | 1,972 |
HCP Inc. | 6.750% | 2/1/41 | 900 | 1,097 |
Kilroy Realty LP | 4.250% | 8/15/29 | 1,300 | 1,372 |
Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 2,325 | 2,302 |
Realty Income Corp. | 4.125% | 10/15/26 | 850 | 910 |
Realty Income Corp. | 5.875% | 3/15/35 | 1,170 | 1,419 |
Simon Property Group LP | 6.750% | 2/1/40 | 1,975 | 2,853 |
Simon Property Group LP | 4.750% | 3/15/42 | 2,100 | 2,422 |
Simon Property Group LP | 4.250% | 10/1/44 | 1,040 | 1,128 |
Sovran Acquisition LP | 3.500% | 7/1/26 | 2,725 | 2,751 |
Ventas Realty LP | 5.700% | 9/30/43 | 750 | 868 |
Ventas Realty LP | 4.375% | 2/1/45 | 1,575 | 1,551 |
Welltower Inc. | 6.500% | 3/15/41 | 1,700 | 2,116 |
Welltower Inc. | 5.125% | 3/15/43 | 910 | 985 |
872,209 | ||||
Industrial (33.9%) | ||||
Basic Industry (2.2%) | ||||
Agrium Inc. | 4.125% | 3/15/35 | 1,150 | 1,112 |
Agrium Inc. | 7.125% | 5/23/36 | 500 | 634 |
Agrium Inc. | 6.125% | 1/15/41 | 2,225 | 2,615 |
Agrium Inc. | 4.900% | 6/1/43 | 2,975 | 3,089 |
Agrium Inc. | 5.250% | 1/15/45 | 1,590 | 1,722 |
Albemarle Corp. | 5.450% | 12/1/44 | 1,250 | 1,294 |
Barrick Gold Corp. | 5.250% | 4/1/42 | 2,625 | 2,662 |
Barrick North America Finance LLC | 7.500% | 9/15/38 | 850 | 960 |
Barrick North America Finance LLC | 5.700% | 5/30/41 | 2,850 | 2,911 |
Barrick North America Finance LLC | 5.750% | 5/1/43 | 3,925 | 4,321 |
Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 2,220 | 2,319 |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 2,185 | 2,243 |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 9,600 | 11,168 |
CF Industries Inc. | 5.150% | 3/15/34 | 3,425 | 3,340 |
CF Industries Inc. | 4.950% | 6/1/43 | 2,575 | 2,378 |
CF Industries Inc. | 5.375% | 3/15/44 | 2,670 | 2,536 |
Domtar Corp. | 6.250% | 9/1/42 | 1,475 | 1,527 |
Dow Chemical Co. | 7.375% | 11/1/29 | 2,650 | 3,552 |
Dow Chemical Co. | 4.250% | 10/1/34 | 2,700 | 2,787 |
Dow Chemical Co. | 9.400% | 5/15/39 | 2,265 | 3,579 |
Dow Chemical Co. | 5.250% | 11/15/41 | 2,425 | 2,695 |
Dow Chemical Co. | 4.375% | 11/15/42 | 3,350 | 3,422 |
Eastman Chemical Co. | 4.800% | 9/1/42 | 2,090 | 2,170 |
Eastman Chemical Co. | 4.650% | 10/15/44 | 2,530 | 2,591 |
Ecolab Inc. | 5.500% | 12/8/41 | 2,690 | 3,366 |
EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 775 | 988 |
EI du Pont de Nemours & Co. | 5.600% | 12/15/36 | 627 | 754 |
EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 2,575 | 2,862 |
EI du Pont de Nemours & Co. | 4.150% | 2/15/43 | 2,075 | 2,136 |
Georgia-Pacific LLC | 7.250% | 6/1/28 | 1,200 | 1,657 |
Georgia-Pacific LLC | 7.750% | 11/15/29 | 1,215 | 1,766 |
Georgia-Pacific LLC | 8.875% | 5/15/31 | 1,500 | 2,401 |
Glencore Canada Corp. | 6.200% | 6/15/35 | 1,000 | 867 |
Goldcorp Inc. | 5.450% | 6/9/44 | 1,725 | 1,730 |
International Paper Co. | 5.000% | 9/15/35 | 1,750 | 1,894 |
International Paper Co. | 8.700% | 6/15/38 | 795 | 1,163 |
International Paper Co. | 7.300% | 11/15/39 | 1,740 | 2,290 |
International Paper Co. | 6.000% | 11/15/41 | 1,750 | 2,041 |
International Paper Co. | 4.800% | 6/15/44 | 3,896 | 3,973 |
International Paper Co. | 5.150% | 5/15/46 | 2,600 | 2,803 |
Lubrizol Corp. | 6.500% | 10/1/34 | 925 | 1,237 |
LYB International Finance BV | 5.250% | 7/15/43 | 1,600 | 1,763 |
LYB International Finance BV | 4.875% | 3/15/44 | 4,410 | 4,685 |
77
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
LyondellBasell Industries NV | 4.625% | 2/26/55 | 3,375 | 3,301 |
Meadwestvaco Corp. | 7.950% | 2/15/31 | 2,125 | 2,802 |
Methanex Corp. | 5.650% | 12/1/44 | 500 | 415 |
Monsanto Co. | 4.200% | 7/15/34 | 2,900 | 2,908 |
Monsanto Co. | 5.875% | 4/15/38 | 2,100 | 2,403 |
Monsanto Co. | 3.600% | 7/15/42 | 425 | 376 |
Monsanto Co. | 4.400% | 7/15/44 | 2,650 | 2,600 |
Monsanto Co. | 3.950% | 4/15/45 | 3,000 | 2,781 |
Monsanto Co. | 4.700% | 7/15/64 | 2,070 | 1,872 |
Mosaic Co. | 5.450% | 11/15/33 | 1,725 | 1,910 |
Mosaic Co. | 4.875% | 11/15/41 | 1,030 | 1,040 |
Mosaic Co. | 5.625% | 11/15/43 | 1,950 | 2,165 |
Newmont Mining Corp. | 5.875% | 4/1/35 | 1,210 | 1,277 |
Newmont Mining Corp. | 6.250% | 10/1/39 | 3,185 | 3,539 |
Newmont Mining Corp. | 4.875% | 3/15/42 | 4,000 | 3,949 |
Nucor Corp. | 6.400% | 12/1/37 | 2,143 | 2,605 |
Nucor Corp. | 5.200% | 8/1/43 | 2,280 | 2,487 |
Placer Dome Inc. | 6.450% | 10/15/35 | 700 | 760 |
Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 1,465 | 1,770 |
Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 1,855 | 2,196 |
PPG Industries Inc. | 5.500% | 11/15/40 | 1,480 | 1,752 |
Praxair Inc. | 3.550% | 11/7/42 | 2,300 | 2,296 |
Reliance Steel & Aluminum Co. | 6.850% | 11/15/36 | 350 | 373 |
Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 5,150 | 5,633 |
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 3,425 | 4,273 |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 3,175 | 3,517 |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 1,250 | 1,317 |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 2,200 | 2,123 |
Rohm & Haas Co. | 7.850% | 7/15/29 | 3,050 | 4,194 |
RPM International Inc. | 5.250% | 6/1/45 | 400 | 410 |
Sherwin-Williams Co. | 4.550% | 8/1/45 | 1,110 | 1,199 |
Southern Copper Corp. | 7.500% | 7/27/35 | 3,050 | 3,305 |
Southern Copper Corp. | 6.750% | 4/16/40 | 3,070 | 3,131 |
Southern Copper Corp. | 5.250% | 11/8/42 | 3,845 | 3,331 |
Southern Copper Corp. | 5.875% | 4/23/45 | 6,375 | 5,993 |
Syngenta Finance NV | 4.375% | 3/28/42 | 650 | 629 |
The Dow Chemical Company | 4.625% | 10/1/44 | 3,000 | 3,184 |
Vale Canada Ltd. | 7.200% | 9/15/32 | 1,050 | 887 |
Vale Overseas Ltd. | 8.250% | 1/17/34 | 1,725 | 1,794 |
Vale Overseas Ltd. | 6.875% | 11/21/36 | 8,825 | 8,031 |
Vale Overseas Ltd. | 6.875% | 11/10/39 | 4,965 | 4,481 |
Vale SA | 5.625% | 9/11/42 | 6,440 | 5,200 |
Westrock MWV LLC | 8.200% | 1/15/30 | 520 | 705 |
Weyerhaeuser Co. | 7.375% | 3/15/32 | 2,765 | 3,659 |
Weyerhaeuser Co. | 6.875% | 12/15/33 | 1,750 | 2,175 |
Capital Goods (2.7%) | ||||
3M Co. | 6.375% | 2/15/28 | 500 | 693 |
3M Co. | 5.700% | 3/15/37 | 2,010 | 2,710 |
3M Co. | 3.875% | 6/15/44 | 500 | 556 |
ABB Finance USA Inc. | 4.375% | 5/8/42 | 1,525 | 1,730 |
Boeing Co. | 6.125% | 2/15/33 | 1,325 | 1,768 |
Boeing Co. | 3.300% | 3/1/35 | 3,250 | 3,305 |
Boeing Co. | 6.625% | 2/15/38 | 1,600 | 2,320 |
Boeing Co. | 6.875% | 3/15/39 | 1,275 | 1,919 |
Boeing Co. | 5.875% | 2/15/40 | 325 | 453 |
Boeing Co. | 3.500% | 3/1/45 | 820 | 838 |
Boeing Co. | 3.375% | 6/15/46 | 1,200 | 1,208 |
Caterpillar Inc. | 5.300% | 9/15/35 | 1,100 | 1,335 |
Caterpillar Inc. | 6.050% | 8/15/36 | 1,325 | 1,742 |
Caterpillar Inc. | 5.200% | 5/27/41 | 3,100 | 3,761 |
Caterpillar Inc. | 3.803% | 8/15/42 | 5,916 | 6,028 |
Caterpillar Inc. | 4.300% | 5/15/44 | 1,500 | 1,647 |
Caterpillar Inc. | 4.750% | 5/15/64 | 1,200 | 1,329 |
78
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Deere & Co. | 5.375% | 10/16/29 | 2,469 | 3,146 | |
Deere & Co. | 8.100% | 5/15/30 | 1,450 | 2,189 | |
Deere & Co. | 7.125% | 3/3/31 | 200 | 287 | |
Deere & Co. | 3.900% | 6/9/42 | 4,310 | 4,611 | |
Dover Corp. | 5.375% | 10/15/35 | 825 | 1,014 | |
Dover Corp. | 6.600% | 3/15/38 | 1,075 | 1,515 | |
Dover Corp. | 5.375% | 3/1/41 | 1,450 | 1,857 | |
Eaton Corp. | 4.000% | 11/2/32 | 2,495 | 2,658 | |
Eaton Corp. | 4.150% | 11/2/42 | 2,650 | 2,834 | |
Emerson Electric Co. | 6.000% | 8/15/32 | 1,650 | 2,143 | |
Emerson Electric Co. | 6.125% | 4/15/39 | 1,400 | 1,930 | |
Emerson Electric Co. | 5.250% | 11/15/39 | 175 | 220 | |
3 | Fortive Corp. | 4.300% | 6/15/46 | 1,150 | 1,224 |
General Dynamics Corp. | 3.600% | 11/15/42 | 1,900 | 2,011 | |
General Electric Capital Corp. | 6.750% | 3/15/32 | 10,475 | 14,632 | |
General Electric Capital Corp. | 6.150% | 8/7/37 | 3,957 | 5,473 | |
General Electric Capital Corp. | 5.875% | 1/14/38 | 9,982 | 13,540 | |
General Electric Capital Corp. | 6.875% | 1/10/39 | 6,437 | 9,719 | |
General Electric Co. | 4.125% | 10/9/42 | 7,380 | 8,124 | |
General Electric Co. | 4.500% | 3/11/44 | 7,670 | 8,899 | |
Harris Corp. | 4.854% | 4/27/35 | 1,500 | 1,634 | |
Harris Corp. | 6.150% | 12/15/40 | 845 | 1,057 | |
Harris Corp. | 5.054% | 4/27/45 | 2,300 | 2,608 | |
Honeywell International Inc. | 5.700% | 3/15/36 | 1,700 | 2,242 | |
Honeywell International Inc. | 5.700% | 3/15/37 | 3,100 | 4,113 | |
Honeywell International Inc. | 5.375% | 3/1/41 | 2,670 | 3,491 | |
Illinois Tool Works Inc. | 4.875% | 9/15/41 | 3,450 | 4,169 | |
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 1,750 | 1,892 | |
Ingersoll-Rand Global Holding Co. Ltd. | 5.750% | 6/15/43 | 1,750 | 2,153 | |
Ingersoll-Rand Luxembourg Finance SA | 4.650% | 11/1/44 | 1,200 | 1,291 | |
Lafarge SA | 7.125% | 7/15/36 | 1,350 | 1,644 | |
Lockheed Martin Corp. | 3.600% | 3/1/35 | 3,200 | 3,248 | |
Lockheed Martin Corp. | 4.500% | 5/15/36 | 1,650 | 1,867 | |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 2,535 | 3,369 | |
Lockheed Martin Corp. | 5.500% | 11/15/39 | 3,600 | 4,466 | |
Lockheed Martin Corp. | 5.720% | 6/1/40 | 2,189 | 2,846 | |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 1,625 | 1,892 | |
Lockheed Martin Corp. | 4.070% | 12/15/42 | 3,075 | 3,277 | |
Lockheed Martin Corp. | 3.800% | 3/1/45 | 250 | 254 | |
Lockheed Martin Corp. | 4.700% | 5/15/46 | 6,425 | 7,543 | |
Northrop Grumman Corp. | 5.050% | 11/15/40 | 1,900 | 2,281 | |
Northrop Grumman Corp. | 4.750% | 6/1/43 | 1,375 | 1,635 | |
Northrop Grumman Corp. | 3.850% | 4/15/45 | 2,116 | 2,201 | |
Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 1,315 | 1,974 | |
Owens Corning | 7.000% | 12/1/36 | 1,375 | 1,675 | |
Parker Hannifin Corp. | 6.250% | 5/15/38 | 1,095 | 1,528 | |
Parker-Hannifin Corp. | 4.200% | 11/21/34 | 1,650 | 1,851 | |
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 1,650 | 1,951 | |
Precision Castparts Corp. | 4.200% | 6/15/35 | 100 | 114 | |
Precision Castparts Corp. | 3.900% | 1/15/43 | 2,375 | 2,580 | |
Precision Castparts Corp. | 4.375% | 6/15/45 | 500 | 593 | |
Raytheon Co. | 7.200% | 8/15/27 | 700 | 998 | |
Raytheon Co. | 4.875% | 10/15/40 | 2,300 | 2,809 | |
Raytheon Co. | 4.700% | 12/15/41 | 2,450 | 2,941 | |
Republic Services Inc. | 2.900% | 7/1/26 | 1,400 | 1,420 | |
Republic Services Inc. | 6.200% | 3/1/40 | 2,310 | 3,131 | |
Republic Services Inc. | 5.700% | 5/15/41 | 2,625 | 3,349 | |
Rockwell Automation Inc. | 6.700% | 1/15/28 | 300 | 417 | |
Rockwell Automation Inc. | 6.250% | 12/1/37 | 800 | 1,088 | |
Rockwell Collins Inc. | 4.800% | 12/15/43 | 1,025 | 1,234 | |
Sonoco Products Co. | 5.750% | 11/1/40 | 2,050 | 2,451 | |
Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 1,400 | 1,656 | |
Tyco International Finance SA | 5.125% | 9/14/45 | 1,945 | 2,246 | |
United Technologies Corp. | 6.700% | 8/1/28 | 1,175 | 1,582 |
79
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United Technologies Corp. | 7.500% | 9/15/29 | 1,850 | 2,727 |
United Technologies Corp. | 5.400% | 5/1/35 | 2,275 | 2,807 |
United Technologies Corp. | 6.050% | 6/1/36 | 4,525 | 6,030 |
United Technologies Corp. | 6.125% | 7/15/38 | 2,275 | 3,118 |
United Technologies Corp. | 5.700% | 4/15/40 | 4,835 | 6,347 |
United Technologies Corp. | 4.500% | 6/1/42 | 9,750 | 11,186 |
United Technologies Corp. | 4.150% | 5/15/45 | 1,700 | 1,867 |
Valmont Industries Inc. | 5.000% | 10/1/44 | 825 | 766 |
Valmont Industries Inc. | 5.250% | 10/1/54 | 1,000 | 901 |
Waste Management Inc. | 3.900% | 3/1/35 | 2,650 | 2,795 |
Waste Management Inc. | 4.100% | 3/1/45 | 4,370 | 4,768 |
WW Grainger Inc. | 4.600% | 6/15/45 | 4,500 | 5,348 |
WW Grainger Inc. | 3.750% | 5/15/46 | 1,500 | 1,549 |
Communication (7.1%) | ||||
21st Century Fox America Inc. | 6.550% | 3/15/33 | 725 | 913 |
21st Century Fox America Inc. | 6.200% | 12/15/34 | 4,015 | 4,995 |
21st Century Fox America Inc. | 6.400% | 12/15/35 | 4,330 | 5,505 |
21st Century Fox America Inc. | 8.150% | 10/17/36 | 1,225 | 1,730 |
21st Century Fox America Inc. | 6.150% | 3/1/37 | 2,805 | 3,487 |
21st Century Fox America Inc. | 6.650% | 11/15/37 | 3,370 | 4,423 |
21st Century Fox America Inc. | 7.850% | 3/1/39 | 825 | 1,192 |
21st Century Fox America Inc. | 6.900% | 8/15/39 | 2,550 | 3,413 |
21st Century Fox America Inc. | 6.150% | 2/15/41 | 5,375 | 6,721 |
21st Century Fox America Inc. | 5.400% | 10/1/43 | 3,735 | 4,389 |
21st Century Fox America Inc. | 4.750% | 9/15/44 | 2,525 | 2,796 |
21st Century Fox America Inc. | 7.750% | 12/1/45 | 1,995 | 2,895 |
America Movil SAB de CV | 6.375% | 3/1/35 | 3,460 | 4,234 |
America Movil SAB de CV | 6.125% | 11/15/37 | 2,225 | 2,650 |
America Movil SAB de CV | 6.125% | 3/30/40 | 5,960 | 7,216 |
America Movil SAB de CV | 4.375% | 7/16/42 | 4,300 | 4,331 |
American Tower Corp. | 3.375% | 10/15/26 | 3,900 | 3,913 |
Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 875 | 1,050 |
AT&T Corp. | 8.250% | 11/15/31 | 1,846 | 2,677 |
AT&T Inc. | 6.150% | 9/15/34 | 2,450 | 2,865 |
AT&T Inc. | 4.500% | 5/15/35 | 9,000 | 9,197 |
AT&T Inc. | 6.500% | 9/1/37 | 2,460 | 3,027 |
AT&T Inc. | 6.300% | 1/15/38 | 6,790 | 8,169 |
AT&T Inc. | 6.400% | 5/15/38 | 1,925 | 2,333 |
AT&T Inc. | 6.550% | 2/15/39 | 4,710 | 5,833 |
AT&T Inc. | 6.350% | 3/15/40 | 2,360 | 2,818 |
AT&T Inc. | 6.000% | 8/15/40 | 3,800 | 4,448 |
AT&T Inc. | 5.350% | 9/1/40 | 7,881 | 8,581 |
AT&T Inc. | 6.375% | 3/1/41 | 3,625 | 4,415 |
AT&T Inc. | 5.550% | 8/15/41 | 6,655 | 7,463 |
AT&T Inc. | 5.150% | 3/15/42 | 5,000 | 5,397 |
AT&T Inc. | 4.300% | 12/15/42 | 8,275 | 7,923 |
AT&T Inc. | 4.800% | 6/15/44 | 5,275 | 5,432 |
AT&T Inc. | 4.350% | 6/15/45 | 11,070 | 10,614 |
AT&T Inc. | 4.750% | 5/15/46 | 11,500 | 11,818 |
AT&T Inc. | 5.650% | 2/15/47 | 6,000 | 6,878 |
AT&T Mobility LLC | 7.125% | 12/15/31 | 1,950 | 2,566 |
Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 2,618 | 3,347 |
BellSouth LLC | 6.875% | 10/15/31 | 1,702 | 2,043 |
BellSouth LLC | 6.550% | 6/15/34 | 915 | 1,079 |
BellSouth LLC | 6.000% | 11/15/34 | 1,271 | 1,431 |
BellSouth Telecommunications LLC | 6.375% | 6/1/28 | 1,815 | 2,181 |
British Telecommunications plc | 9.375% | 12/15/30 | 8,825 | 13,670 |
CBS Corp. | 7.875% | 7/30/30 | 2,615 | 3,713 |
CBS Corp. | 5.500% | 5/15/33 | 1,223 | 1,361 |
CBS Corp. | 5.900% | 10/15/40 | 900 | 1,027 |
CBS Corp. | 4.850% | 7/1/42 | 2,200 | 2,232 |
CBS Corp. | 4.900% | 8/15/44 | 1,405 | 1,437 |
80
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
3 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 6.384% | 10/23/35 | 6,704 | 7,906 | |
3 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 6.484% | 10/23/45 | 11,425 | 13,632 | |
3 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 6.834% | 10/23/55 | 1,625 | 1,926 | |
Comcast Corp. | 4.250% | 1/15/33 | 5,357 | 5,913 | |
Comcast Corp. | 7.050% | 3/15/33 | 950 | 1,332 | |
Comcast Corp. | 4.200% | 8/15/34 | 3,050 | 3,351 | |
Comcast Corp. | 5.650% | 6/15/35 | 4,650 | 5,956 | |
Comcast Corp. | 4.400% | 8/15/35 | 2,700 | 3,027 | |
Comcast Corp. | 6.500% | 11/15/35 | 6,265 | 8,586 | |
Comcast Corp. | 6.450% | 3/15/37 | 6,530 | 8,990 | |
Comcast Corp. | 6.950% | 8/15/37 | 5,585 | 8,058 | |
Comcast Corp. | 6.400% | 5/15/38 | 2,575 | 3,538 | |
Comcast Corp. | 6.550% | 7/1/39 | 4,325 | 6,052 | |
Comcast Corp. | 6.400% | 3/1/40 | 2,800 | 3,906 | |
Comcast Corp. | 4.650% | 7/15/42 | 2,605 | 2,991 | |
Comcast Corp. | 4.500% | 1/15/43 | 2,225 | 2,495 | |
Comcast Corp. | 4.750% | 3/1/44 | 1,335 | 1,558 | |
Comcast Corp. | 4.600% | 8/15/45 | 4,435 | 5,097 | |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 11,230 | 16,983 | |
Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 2,465 | 3,930 | |
Discovery Communications LLC | 6.350% | 6/1/40 | 2,850 | 2,964 | |
Discovery Communications LLC | 4.950% | 5/15/42 | 1,600 | 1,390 | |
Discovery Communications LLC | 4.875% | 4/1/43 | 2,850 | 2,571 | |
Grupo Televisa SAB | 8.500% | 3/11/32 | 1,260 | 1,616 | |
Grupo Televisa SAB | 6.625% | 1/15/40 | 1,035 | 1,170 | |
Grupo Televisa SAB | 5.000% | 5/13/45 | 4,400 | 4,194 | |
Grupo Televisa SAB | 6.125% | 1/31/46 | 3,400 | 3,683 | |
GTE Corp. | 6.940% | 4/15/28 | 2,225 | 2,877 | |
Historic TW Inc. | 6.625% | 5/15/29 | 5,575 | 7,235 | |
Koninklijke KPN NV | 8.375% | 10/1/30 | 3,325 | 4,635 | |
Moody's Corp. | 5.250% | 7/15/44 | 1,700 | 2,070 | |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 3,695 | 5,125 | |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 3,725 | 4,956 | |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 6,225 | 6,939 | |
New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 2,585 | 3,860 | |
Orange SA | 9.000% | 3/1/31 | 8,209 | 12,667 | |
Orange SA | 5.375% | 1/13/42 | 3,025 | 3,709 | |
Orange SA | 5.500% | 2/6/44 | 2,810 | 3,505 | |
Qwest Corp. | 6.875% | 9/15/33 | 2,624 | 2,572 | |
Qwest Corp. | 7.125% | 11/15/43 | 1,500 | 1,457 | |
Rogers Communications Inc. | 7.500% | 8/15/38 | 2,605 | 3,548 | |
Rogers Communications Inc. | 4.500% | 3/15/43 | 2,275 | 2,411 | |
Rogers Communications Inc. | 5.450% | 10/1/43 | 650 | 775 | |
Rogers Communications Inc. | 5.000% | 3/15/44 | 2,465 | 2,791 | |
S&P Global Inc. | 6.550% | 11/15/37 | 1,150 | 1,400 | |
TCI Communications Inc. | 7.125% | 2/15/28 | 1,095 | 1,523 | |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 6,675 | 8,576 | |
Telefonica Europe BV | 8.250% | 9/15/30 | 3,761 | 5,418 | |
Thomson Reuters Corp. | 5.500% | 8/15/35 | 1,940 | 2,135 | |
Thomson Reuters Corp. | 5.850% | 4/15/40 | 625 | 727 | |
Thomson Reuters Corp. | 4.500% | 5/23/43 | 300 | 300 | |
Thomson Reuters Corp. | 5.650% | 11/23/43 | 2,525 | 2,975 | |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 3,785 | 4,428 | |
Time Warner Cable Inc. | 7.300% | 7/1/38 | 5,905 | 7,416 | |
Time Warner Cable Inc. | 6.750% | 6/15/39 | 5,075 | 6,043 | |
Time Warner Cable Inc. | 5.875% | 11/15/40 | 3,350 | 3,649 | |
Time Warner Cable Inc. | 5.500% | 9/1/41 | 4,725 | 4,961 | |
Time Warner Cable Inc. | 4.500% | 9/15/42 | 4,075 | 3,800 | |
Time Warner Cos. Inc. | 6.950% | 1/15/28 | 2,550 | 3,304 | |
Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 3,325 | 4,470 | |
Time Warner Inc. | 7.625% | 4/15/31 | 5,075 | 6,963 |
81
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Time Warner Inc. | 7.700% | 5/1/32 | 5,766 | 8,037 |
Time Warner Inc. | 6.500% | 11/15/36 | 2,850 | 3,551 |
Time Warner Inc. | 6.200% | 3/15/40 | 2,350 | 2,911 |
Time Warner Inc. | 6.100% | 7/15/40 | 4,235 | 5,151 |
Time Warner Inc. | 6.250% | 3/29/41 | 2,575 | 3,242 |
Time Warner Inc. | 5.375% | 10/15/41 | 2,350 | 2,700 |
Time Warner Inc. | 4.900% | 6/15/42 | 1,825 | 1,950 |
Time Warner Inc. | 5.350% | 12/15/43 | 1,385 | 1,583 |
Time Warner Inc. | 4.650% | 6/1/44 | 4,300 | 4,527 |
Time Warner Inc. | 4.850% | 7/15/45 | 950 | 1,032 |
Verizon Communications Inc. | 7.750% | 12/1/30 | 3,200 | 4,502 |
Verizon Communications Inc. | 6.400% | 9/15/33 | 5,710 | 7,295 |
Verizon Communications Inc. | 5.050% | 3/15/34 | 4,600 | 5,108 |
Verizon Communications Inc. | 4.400% | 11/1/34 | 8,208 | 8,492 |
Verizon Communications Inc. | 5.850% | 9/15/35 | 3,925 | 4,755 |
Verizon Communications Inc. | 4.272% | 1/15/36 | 9,500 | 9,732 |
Verizon Communications Inc. | 6.250% | 4/1/37 | 2,275 | 2,855 |
Verizon Communications Inc. | 6.400% | 2/15/38 | 2,515 | 3,171 |
Verizon Communications Inc. | 6.900% | 4/15/38 | 2,225 | 2,962 |
Verizon Communications Inc. | 7.350% | 4/1/39 | 2,210 | 3,081 |
Verizon Communications Inc. | 6.000% | 4/1/41 | 2,575 | 3,206 |
Verizon Communications Inc. | 4.750% | 11/1/41 | 3,750 | 4,033 |
Verizon Communications Inc. | 3.850% | 11/1/42 | 2,515 | 2,376 |
Verizon Communications Inc. | 6.550% | 9/15/43 | 15,065 | 20,352 |
Verizon Communications Inc. | 4.862% | 8/21/46 | 13,713 | 14,912 |
Verizon Communications Inc. | 4.522% | 9/15/48 | 15,998 | 16,674 |
Verizon Communications Inc. | 5.012% | 8/21/54 | 19,318 | 20,528 |
Verizon Communications Inc. | 4.672% | 3/15/55 | 17,760 | 17,864 |
Viacom Inc. | 4.850% | 12/15/34 | 1,750 | 1,623 |
Viacom Inc. | 6.875% | 4/30/36 | 3,810 | 4,182 |
Viacom Inc. | 4.500% | 2/27/42 | 700 | 579 |
Viacom Inc. | 4.375% | 3/15/43 | 6,837 | 5,504 |
Viacom Inc. | 4.875% | 6/15/43 | 550 | 478 |
Viacom Inc. | 5.850% | 9/1/43 | 4,325 | 4,329 |
Viacom Inc. | 5.250% | 4/1/44 | 1,800 | 1,670 |
Vodafone Group plc | 7.875% | 2/15/30 | 2,800 | 3,745 |
Vodafone Group plc | 6.250% | 11/30/32 | 1,150 | 1,341 |
Vodafone Group plc | 6.150% | 2/27/37 | 4,500 | 5,226 |
Vodafone Group plc | 4.375% | 2/19/43 | 5,875 | 5,587 |
Walt Disney Co. | 7.000% | 3/1/32 | 1,865 | 2,688 |
Walt Disney Co. | 4.375% | 8/16/41 | 1,025 | 1,194 |
Walt Disney Co. | 4.125% | 12/1/41 | 2,805 | 3,153 |
Walt Disney Co. | 3.700% | 12/1/42 | 1,352 | 1,436 |
Walt Disney Co. | 4.125% | 6/1/44 | 3,483 | 3,941 |
WPP Finance 2010 | 5.125% | 9/7/42 | 875 | 932 |
WPP Finance 2010 | 5.625% | 11/15/43 | 1,515 | 1,758 |
Consumer Cyclical (3.5%) | ||||
Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 2,500 | 2,622 |
Amazon.com Inc. | 4.800% | 12/5/34 | 5,475 | 6,444 |
Amazon.com Inc. | 4.950% | 12/5/44 | 4,900 | 5,982 |
Bed Bath & Beyond Inc. | 4.915% | 8/1/34 | 900 | 836 |
Bed Bath & Beyond Inc. | 5.165% | 8/1/44 | 2,975 | 2,620 |
BorgWarner Inc. | 4.375% | 3/15/45 | 1,750 | 1,803 |
Cummins Inc. | 7.125% | 3/1/28 | 950 | 1,334 |
Cummins Inc. | 4.875% | 10/1/43 | 1,625 | 1,874 |
CVS Health Corp. | 5.300% | 12/5/43 | 3,680 | 4,569 |
CVS Health Corp. | 5.125% | 7/20/45 | 15,725 | 19,489 |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 4,940 | 8,007 |
Darden Restaurants Inc. | 6.800% | 10/15/37 | 875 | 1,025 |
eBay Inc. | 4.000% | 7/15/42 | 2,510 | 2,121 |
Ford Holdings LLC | 9.300% | 3/1/30 | 1,225 | 1,732 |
Ford Motor Co. | 6.625% | 10/1/28 | 1,900 | 2,399 |
Ford Motor Co. | 6.375% | 2/1/29 | 1,025 | 1,246 |
82
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Ford Motor Co. | 7.450% | 7/16/31 | 6,450 | 8,618 |
Ford Motor Co. | 4.750% | 1/15/43 | 6,239 | 6,556 |
Ford Motor Co. | 7.400% | 11/1/46 | 1,325 | 1,861 |
General Motors Co. | 5.000% | 4/1/35 | 3,880 | 3,880 |
General Motors Co. | 6.600% | 4/1/36 | 2,894 | 3,343 |
General Motors Co. | 6.250% | 10/2/43 | 5,215 | 5,815 |
General Motors Co. | 5.200% | 4/1/45 | 4,345 | 4,331 |
General Motors Co. | 6.750% | 4/1/46 | 2,128 | 2,538 |
Harley-Davidson Inc. | 4.625% | 7/28/45 | 1,025 | 1,145 |
Home Depot Inc. | 5.875% | 12/16/36 | 11,300 | 15,391 |
Home Depot Inc. | 5.400% | 9/15/40 | 1,725 | 2,239 |
Home Depot Inc. | 5.950% | 4/1/41 | 1,975 | 2,714 |
Home Depot Inc. | 4.200% | 4/1/43 | 2,225 | 2,505 |
Home Depot Inc. | 4.875% | 2/15/44 | 3,750 | 4,588 |
Home Depot Inc. | 4.400% | 3/15/45 | 4,424 | 5,112 |
Home Depot Inc. | 4.250% | 4/1/46 | 4,875 | 5,584 |
Johnson Controls Inc. | 6.000% | 1/15/36 | 850 | 1,008 |
Johnson Controls Inc. | 5.700% | 3/1/41 | 1,050 | 1,227 |
Johnson Controls Inc. | 5.250% | 12/1/41 | 1,135 | 1,272 |
Johnson Controls Inc. | 4.625% | 7/2/44 | 1,575 | 1,670 |
Johnson Controls Inc. | 4.950% | 7/2/64 | 1,300 | 1,299 |
Kohl's Corp. | 5.550% | 7/17/45 | 1,100 | 1,014 |
Lowe's Cos. Inc. | 6.875% | 2/15/28 | 550 | 759 |
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 1,300 | 1,776 |
Lowe's Cos. Inc. | 5.800% | 10/15/36 | 2,250 | 2,922 |
Lowe's Cos. Inc. | 6.650% | 9/15/37 | 827 | 1,180 |
Lowe's Cos. Inc. | 5.800% | 4/15/40 | 2,825 | 3,708 |
Lowe's Cos. Inc. | 5.125% | 11/15/41 | 3,025 | 3,711 |
Lowe's Cos. Inc. | 4.650% | 4/15/42 | 4,260 | 4,934 |
Lowe's Cos. Inc. | 5.000% | 9/15/43 | 2,700 | 3,313 |
Lowe's Cos. Inc. | 4.250% | 9/15/44 | 127 | 141 |
Lowe's Cos. Inc. | 4.375% | 9/15/45 | 1,400 | 1,600 |
Lowe's Cos. Inc. | 3.700% | 4/15/46 | 4,550 | 4,681 |
Macy's Retail Holdings Inc. | 6.900% | 4/1/29 | 2,300 | 2,522 |
Macy's Retail Holdings Inc. | 4.500% | 12/15/34 | 1,928 | 1,689 |
Macy's Retail Holdings Inc. | 6.375% | 3/15/37 | 2,675 | 2,750 |
Macy's Retail Holdings Inc. | 5.125% | 1/15/42 | 500 | 441 |
Macy's Retail Holdings Inc. | 4.300% | 2/15/43 | 2,400 | 1,900 |
McDonald's Corp. | 4.700% | 12/9/35 | 2,500 | 2,819 |
McDonald's Corp. | 6.300% | 10/15/37 | 2,375 | 3,149 |
McDonald's Corp. | 6.300% | 3/1/38 | 2,000 | 2,649 |
McDonald's Corp. | 5.700% | 2/1/39 | 1,725 | 2,144 |
McDonald's Corp. | 3.700% | 2/15/42 | 3,275 | 3,222 |
McDonald's Corp. | 3.625% | 5/1/43 | 2,475 | 2,387 |
McDonald's Corp. | 4.600% | 5/26/45 | 1,780 | 1,988 |
McDonald's Corp. | 4.875% | 12/9/45 | 5,704 | 6,618 |
Metropolitan Museum of Art New York Revenue | 3.400% | 7/1/45 | 1,100 | 1,163 |
NIKE Inc. | 3.625% | 5/1/43 | 1,475 | 1,556 |
NIKE Inc. | 3.875% | 11/1/45 | 3,459 | 3,829 |
Nordstrom Inc. | 6.950% | 3/15/28 | 850 | 1,048 |
Nordstrom Inc. | 5.000% | 1/15/44 | 2,274 | 2,226 |
QVC Inc. | 5.450% | 8/15/34 | 1,500 | 1,381 |
QVC Inc. | 5.950% | 3/15/43 | 575 | 535 |
Starbucks Corp. | 4.300% | 6/15/45 | 975 | 1,158 |
Starwood Hotels & Resorts Worldwide Inc. | 4.500% | 10/1/34 | 1,004 | 1,024 |
Target Corp. | 6.350% | 11/1/32 | 1,829 | 2,480 |
Target Corp. | 6.500% | 10/15/37 | 2,512 | 3,559 |
Target Corp. | 7.000% | 1/15/38 | 1,794 | 2,687 |
Target Corp. | 4.000% | 7/1/42 | 3,750 | 4,046 |
Target Corp. | 3.625% | 4/15/46 | 3,500 | 3,579 |
Tiffany & Co. | 4.900% | 10/1/44 | 1,025 | 1,026 |
VF Corp. | 6.450% | 11/1/37 | 2,190 | 3,020 |
Visa Inc. | 4.150% | 12/14/35 | 5,040 | 5,703 |
Visa Inc. | 4.300% | 12/14/45 | 10,875 | 12,569 |
83
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 2,737 | 3,623 | |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 4,225 | 6,436 | |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 7,140 | 9,382 | |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 9,350 | 13,531 | |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 7,000 | 9,918 | |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 2,850 | 3,816 | |
Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 3,750 | 4,625 | |
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 4,310 | 5,379 | |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 5,685 | 7,631 | |
Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 3,793 | 4,191 | |
Wal-Mart Stores Inc. | 4.750% | 10/2/43 | 3,775 | 4,653 | |
Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 3,275 | 3,822 | |
Walgreen Co. | 4.400% | 9/15/42 | 1,775 | 1,800 | |
Walgreens Boots Alliance Inc. | 4.500% | 11/18/34 | 1,700 | 1,781 | |
Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 5,025 | 5,384 | |
Walgreens Boots Alliance Inc. | 4.650% | 6/1/46 | 2,000 | 2,139 | |
Western Union Co. | 6.200% | 11/17/36 | 1,950 | 2,079 | |
Western Union Co. | 6.200% | 6/21/40 | 325 | 335 | |
Consumer Noncyclical (8.4%) | |||||
Abbott Laboratories | 6.150% | 11/30/37 | 3,075 | 4,047 | |
Abbott Laboratories | 6.000% | 4/1/39 | 1,225 | 1,613 | |
AbbVie Inc. | 4.500% | 5/14/35 | 8,564 | 8,943 | |
AbbVie Inc. | 4.300% | 5/14/36 | 2,500 | 2,554 | |
AbbVie Inc. | 4.400% | 11/6/42 | 9,841 | 10,028 | |
AbbVie Inc. | 4.700% | 5/14/45 | 10,220 | 10,806 | |
AbbVie Inc. | 4.450% | 5/14/46 | 5,000 | 5,109 | |
Actavis Funding SCS | 4.550% | 3/15/35 | 8,965 | 9,281 | |
Actavis Funding SCS | 4.850% | 6/15/44 | 5,575 | 5,882 | |
Actavis Funding SCS | 4.750% | 3/15/45 | 8,275 | 8,635 | |
Actavis Inc. | 4.625% | 10/1/42 | 5,175 | 5,315 | |
Ahold Finance USA LLC | 6.875% | 5/1/29 | 1,575 | 2,086 | |
4 | Allina Health System | 4.805% | 11/15/45 | 850 | 1,027 |
Altria Group Inc. | 9.950% | 11/10/38 | 3,174 | 5,726 | |
Altria Group Inc. | 10.200% | 2/6/39 | 2,546 | 4,738 | |
Altria Group Inc. | 4.250% | 8/9/42 | 3,476 | 3,764 | |
Altria Group Inc. | 4.500% | 5/2/43 | 3,397 | 3,845 | |
Altria Group Inc. | 5.375% | 1/31/44 | 1,655 | 2,128 | |
AmerisourceBergen Corp. | 4.250% | 3/1/45 | 1,720 | 1,827 | |
Amgen Inc. | 4.950% | 10/1/41 | 3,010 | 3,281 | |
Amgen Inc. | 4.400% | 5/1/45 | 1,695 | 1,769 | |
3 | Amgen Inc. | 4.563% | 6/15/48 | 12,856 | 13,374 |
3 | Amgen Inc. | 4.663% | 6/15/51 | 16,793 | 17,550 |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 1,675 | 2,219 | |
Anheuser-Busch Cos. LLC | 5.950% | 1/15/33 | 650 | 809 | |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 1,575 | 1,949 | |
Anheuser-Busch Cos. LLC | 6.450% | 9/1/37 | 650 | 863 | |
Anheuser-Busch Cos. LLC | 6.500% | 2/1/43 | 140 | 191 | |
Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 20,640 | 23,221 | |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 4,190 | 4,337 | |
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 3,575 | 4,044 | |
Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 37,416 | 43,882 | |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 5,143 | 8,205 | |
Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 2,034 | 3,169 | |
Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 1,225 | 1,643 | |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 4,625 | 4,641 | |
Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 1,540 | 1,951 | |
Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 1,615 | 1,977 | |
Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 2,160 | 2,485 | |
Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 1,660 | 1,784 | |
Ascension Health | 3.945% | 11/15/46 | 2,250 | 2,419 | |
4 | Ascension Health | 4.847% | 11/15/53 | 1,379 | 1,730 |
AstraZeneca plc | 6.450% | 9/15/37 | 8,750 | 11,918 | |
AstraZeneca plc | 4.000% | 9/18/42 | 4,000 | 4,112 |
84
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
AstraZeneca plc | 4.375% | 11/16/45 | 3,125 | 3,413 | |
Baxalta Inc. | 5.250% | 6/23/45 | 3,550 | 3,852 | |
Becton Dickinson & Co. | 6.000% | 5/15/39 | 850 | 1,088 | |
Becton Dickinson & Co. | 5.000% | 11/12/40 | 1,000 | 1,135 | |
Becton Dickinson & Co. | 4.875% | 5/15/44 | 1,400 | 1,615 | |
Becton Dickinson & Co. | 4.685% | 12/15/44 | 4,008 | 4,532 | |
Biogen Inc. | 5.200% | 9/15/45 | 5,900 | 6,641 | |
Boston Scientific Corp. | 7.000% | 11/15/35 | 1,300 | 1,697 | |
Boston Scientific Corp. | 7.375% | 1/15/40 | 1,005 | 1,337 | |
Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 1,307 | 1,759 | |
Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 750 | 1,025 | |
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 3,340 | 3,329 | |
Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 1,025 | 1,266 | |
Bristol-Myers Squibb Co. | 6.875% | 8/1/97 | 900 | 1,377 | |
Brown-Forman Corp. | 3.750% | 1/15/43 | 1,000 | 1,022 | |
Brown-Forman Corp. | 4.500% | 7/15/45 | 1,650 | 1,886 | |
Campbell Soup Co. | 3.800% | 8/2/42 | 1,100 | 1,098 | |
Cardinal Health Inc. | 4.600% | 3/15/43 | 2,775 | 2,962 | |
Cardinal Health Inc. | 4.900% | 9/15/45 | 1,250 | 1,397 | |
4 | Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 2,525 | 2,549 |
Celgene Corp. | 5.700% | 10/15/40 | 1,000 | 1,158 | |
Celgene Corp. | 5.250% | 8/15/43 | 6,200 | 6,925 | |
Celgene Corp. | 4.625% | 5/15/44 | 4,425 | 4,556 | |
Celgene Corp. | 5.000% | 8/15/45 | 1,000 | 1,103 | |
Children's Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 1,250 | 1,396 | |
Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 1,415 | 1,578 | |
Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 2,375 | 2,818 | |
Colgate-Palmolive Co. | 4.000% | 8/15/45 | 2,200 | 2,532 | |
ConAgra Foods Inc. | 7.125% | 10/1/26 | 1,473 | 1,925 | |
ConAgra Foods Inc. | 7.000% | 10/1/28 | 925 | 1,159 | |
ConAgra Foods Inc. | 8.250% | 9/15/30 | 1,200 | 1,666 | |
Danaher Corp. | 4.375% | 9/15/45 | 2,650 | 3,092 | |
Delhaize America LLC | 9.000% | 4/15/31 | 400 | 559 | |
Delhaize Group SA | 5.700% | 10/1/40 | 2,614 | 3,083 | |
Diageo Capital plc | 5.875% | 9/30/36 | 1,825 | 2,375 | |
Diageo Capital plc | 3.875% | 4/29/43 | 1,725 | 1,816 | |
Diageo Investment Corp. | 7.450% | 4/15/35 | 1,250 | 1,841 | |
Diageo Investment Corp. | 4.250% | 5/11/42 | 1,802 | 1,969 | |
Dignity Health California GO | 4.500% | 11/1/42 | 1,050 | 1,128 | |
Dignity Health California GO | 5.267% | 11/1/64 | 1,100 | 1,311 | |
Dr Pepper Snapple Group Inc. | 7.450% | 5/1/38 | 860 | 1,257 | |
Dr Pepper Snapple Group Inc. | 4.500% | 11/15/45 | 800 | 883 | |
Eli Lilly & Co. | 5.550% | 3/15/37 | 1,435 | 1,891 | |
Eli Lilly & Co. | 3.700% | 3/1/45 | 5,429 | 5,789 | |
Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 1,025 | 1,351 | |
Estee Lauder Cos. Inc. | 3.700% | 8/15/42 | 1,475 | 1,536 | |
Estee Lauder Cos. Inc. | 4.375% | 6/15/45 | 1,275 | 1,460 | |
Express Scripts Holding Co. | 3.400% | 3/1/27 | 5,250 | 5,262 | |
Express Scripts Holding Co. | 6.125% | 11/15/41 | 2,527 | 3,011 | |
Express Scripts Holding Co. | 4.800% | 7/15/46 | 5,000 | 4,993 | |
Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 2,325 | 2,417 | |
Genentech Inc. | 5.250% | 7/15/35 | 300 | 386 | |
General Mills Inc. | 5.400% | 6/15/40 | 1,675 | 2,076 | |
General Mills Inc. | 4.150% | 2/15/43 | 1,775 | 1,907 | |
Gilead Sciences Inc. | 4.600% | 9/1/35 | 1,779 | 1,985 | |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 3,145 | 3,945 | |
Gilead Sciences Inc. | 4.800% | 4/1/44 | 6,380 | 7,117 | |
Gilead Sciences Inc. | 4.500% | 2/1/45 | 6,500 | 7,063 | |
Gilead Sciences Inc. | 4.750% | 3/1/46 | 8,054 | 9,160 | |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 1,450 | 1,831 | |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 9,494 | 13,524 | |
GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 1,400 | 1,571 | |
Hasbro Inc. | 6.350% | 3/15/40 | 1,729 | 2,103 | |
Hasbro Inc. | 5.100% | 5/15/44 | 1,025 | 1,095 |
85
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Hershey Co. | 7.200% | 8/15/27 | 90 | 126 | |
Ingredion Inc. | 6.625% | 4/15/37 | 1,025 | 1,296 | |
JM Smucker Co. | 4.250% | 3/15/35 | 1,250 | 1,358 | |
JM Smucker Co. | 4.375% | 3/15/45 | 2,900 | 3,158 | |
Johnson & Johnson | 6.950% | 9/1/29 | 1,850 | 2,791 | |
Johnson & Johnson | 4.950% | 5/15/33 | 2,125 | 2,723 | |
Johnson & Johnson | 4.375% | 12/5/33 | 2,300 | 2,772 | |
Johnson & Johnson | 3.550% | 3/1/36 | 4,701 | 5,179 | |
Johnson & Johnson | 5.950% | 8/15/37 | 2,705 | 4,012 | |
Johnson & Johnson | 5.850% | 7/15/38 | 2,115 | 3,078 | |
Johnson & Johnson | 4.500% | 9/1/40 | 3,004 | 3,728 | |
Johnson & Johnson | 4.850% | 5/15/41 | 1,000 | 1,302 | |
Johnson & Johnson | 4.500% | 12/5/43 | 254 | 316 | |
Johnson & Johnson | 3.700% | 3/1/46 | 7,000 | 7,871 | |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 2,841 | 3,424 | |
Kellogg Co. | 7.450% | 4/1/31 | 300 | 415 | |
Kellogg Co. | 4.500% | 4/1/46 | 4,584 | 4,914 | |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 2,675 | 3,987 | |
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 1,220 | 1,632 | |
Kimberly-Clark Corp. | 3.700% | 6/1/43 | 980 | 1,063 | |
Koninklijke Philips NV | 6.875% | 3/11/38 | 2,805 | 3,689 | |
Koninklijke Philips NV | 5.000% | 3/15/42 | 1,390 | 1,511 | |
Kraft Foods Group Inc. | 6.875% | 1/26/39 | 3,150 | 4,303 | |
Kraft Foods Group Inc. | 6.500% | 2/9/40 | 3,925 | 5,177 | |
Kraft Foods Group Inc. | 5.000% | 6/4/42 | 5,515 | 6,362 | |
3 | Kraft Heinz Foods Co. | 5.000% | 7/15/35 | 4,482 | 5,134 |
3 | Kraft Heinz Foods Co. | 5.200% | 7/15/45 | 4,840 | 5,694 |
3 | Kraft Heinz Foods Co. | 4.375% | 6/1/46 | 10,225 | 10,745 |
Kroger Co. | 7.700% | 6/1/29 | 1,550 | 2,169 | |
Kroger Co. | 8.000% | 9/15/29 | 775 | 1,115 | |
Kroger Co. | 7.500% | 4/1/31 | 1,720 | 2,408 | |
Kroger Co. | 6.900% | 4/15/38 | 1,550 | 2,142 | |
Kroger Co. | 5.400% | 7/15/40 | 1,020 | 1,212 | |
Kroger Co. | 5.000% | 4/15/42 | 900 | 1,032 | |
Kroger Co. | 5.150% | 8/1/43 | 1,300 | 1,533 | |
Laboratory Corp. of America Holdings | 4.700% | 2/1/45 | 2,700 | 2,896 | |
Mattel Inc. | 5.450% | 11/1/41 | 1,750 | 1,878 | |
4 | Mayo Clinic | 3.774% | 11/15/43 | 900 | 935 |
4 | Mayo Clinic | 4.000% | 11/15/47 | 1,200 | 1,321 |
4 | Mayo Clinic | 4.128% | 11/15/52 | 1,050 | 1,191 |
McKesson Corp. | 6.000% | 3/1/41 | 2,790 | 3,527 | |
McKesson Corp. | 4.883% | 3/15/44 | 1,225 | 1,399 | |
Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 1,335 | 1,628 | |
Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 1,500 | 1,603 | |
Medtronic Inc. | 4.375% | 3/15/35 | 7,928 | 8,956 | |
Medtronic Inc. | 6.500% | 3/15/39 | 1,350 | 1,891 | |
Medtronic Inc. | 5.550% | 3/15/40 | 1,535 | 1,944 | |
Medtronic Inc. | 4.500% | 3/15/42 | 1,950 | 2,211 | |
Medtronic Inc. | 4.625% | 3/15/44 | 3,661 | 4,287 | |
Medtronic Inc. | 4.625% | 3/15/45 | 15,179 | 17,770 | |
Memorial Sloan-Kettering Cancer Center New York GO | 4.200% | 7/1/55 | 1,250 | 1,418 | |
Memorial Sloan-Kettering Cancer Center New York GO | 5.000% | 7/1/42 | 975 | 1,223 | |
Memorial Sloan-Kettering Cancer Center New York GO | 4.125% | 7/1/52 | 1,400 | 1,560 | |
Merck & Co. Inc. | 6.500% | 12/1/33 | 3,795 | 5,319 | |
Merck & Co. Inc. | 6.550% | 9/15/37 | 3,505 | 5,056 | |
Merck & Co. Inc. | 3.600% | 9/15/42 | 1,275 | 1,306 | |
Merck & Co. Inc. | 4.150% | 5/18/43 | 5,034 | 5,639 | |
Merck & Co. Inc. | 3.700% | 2/10/45 | 6,285 | 6,606 | |
Merck Sharp & Dohme Corp. | 5.950% | 12/1/28 | 1,300 | 1,719 | |
Molson Coors Brewing Co. | 3.000% | 7/15/26 | 6,000 | 6,003 | |
Molson Coors Brewing Co. | 5.000% | 5/1/42 | 3,675 | 4,111 | |
Molson Coors Brewing Co. | 4.200% | 7/15/46 | 3,125 | 3,147 | |
Mondelez International Inc. | 6.500% | 11/1/31 | 2,450 | 3,245 | |
Mondelez International Inc. | 6.500% | 2/9/40 | 2,089 | 2,874 |
86
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Mylan Inc. | 5.400% | 11/29/43 | 1,240 | 1,321 | |
New York & Presbyterian Hospital | 3.563% | 8/1/36 | 750 | 789 | |
New York & Presbyterian Hospital | 4.024% | 8/1/45 | 2,600 | 2,833 | |
New York & Presbyterian Hospital | 4.063% | 8/1/56 | 925 | 997 | |
New York & Presbyterian Hospital | 4.763% | 8/1/16 | 540 | 570 | |
Newell Brands Inc. | 5.375% | 4/1/36 | 2,002 | 2,307 | |
Newell Brands Inc. | 5.500% | 4/1/46 | 5,475 | 6,518 | |
Novant Health Inc. | 4.371% | 11/1/43 | 975 | 1,114 | |
Novartis Capital Corp. | 3.700% | 9/21/42 | 1,275 | 1,366 | |
Novartis Capital Corp. | 4.400% | 5/6/44 | 6,875 | 8,312 | |
Novartis Capital Corp. | 4.000% | 11/20/45 | 3,700 | 4,205 | |
NYU Hospitals Center | 4.784% | 7/1/44 | 1,150 | 1,316 | |
Partners Healthcare System Inc. | 4.117% | 7/1/55 | 1,000 | 1,119 | |
PepsiCo Inc. | 5.500% | 1/15/40 | 3,275 | 4,196 | |
PepsiCo Inc. | 4.875% | 11/1/40 | 3,740 | 4,468 | |
PepsiCo Inc. | 4.000% | 3/5/42 | 2,970 | 3,179 | |
PepsiCo Inc. | 3.600% | 8/13/42 | 1,625 | 1,636 | |
PepsiCo Inc. | 4.250% | 10/22/44 | 2,233 | 2,485 | |
PepsiCo Inc. | 4.600% | 7/17/45 | 2,349 | 2,789 | |
PepsiCo Inc. | 4.450% | 4/14/46 | 2,900 | 3,366 | |
Perrigo Co. plc | 5.300% | 11/15/43 | 1,600 | 1,686 | |
Perrigo Finance Unlimited Co. | 4.900% | 12/15/44 | 1,750 | 1,742 | |
Pfizer Inc. | 7.200% | 3/15/39 | 7,360 | 11,203 | |
Pfizer Inc. | 4.300% | 6/15/43 | 3,800 | 4,264 | |
Pfizer Inc. | 4.400% | 5/15/44 | 3,525 | 4,033 | |
Pharmacia Corp. | 6.600% | 12/1/28 | 2,950 | 4,060 | |
Philip Morris International Inc. | 6.375% | 5/16/38 | 4,290 | 5,926 | |
Philip Morris International Inc. | 4.375% | 11/15/41 | 2,450 | 2,685 | |
Philip Morris International Inc. | 4.500% | 3/20/42 | 4,678 | 5,251 | |
Philip Morris International Inc. | 3.875% | 8/21/42 | 3,675 | 3,780 | |
Philip Morris International Inc. | 4.125% | 3/4/43 | 3,000 | 3,203 | |
Philip Morris International Inc. | 4.875% | 11/15/43 | 1,185 | 1,409 | |
Philip Morris International Inc. | 4.250% | 11/10/44 | 3,000 | 3,298 | |
Procter & Gamble Co. | 5.500% | 2/1/34 | 1,500 | 2,012 | |
Procter & Gamble Co. | 5.800% | 8/15/34 | 650 | 904 | |
Procter & Gamble Co. | 5.550% | 3/5/37 | 5,945 | 8,257 | |
Quest Diagnostics Inc. | 5.750% | 1/30/40 | 300 | 349 | |
Quest Diagnostics Inc. | 4.700% | 3/30/45 | 1,175 | 1,234 | |
Reynolds American Inc. | 5.700% | 8/15/35 | 2,808 | 3,419 | |
Reynolds American Inc. | 7.250% | 6/15/37 | 2,125 | 2,890 | |
Reynolds American Inc. | 6.150% | 9/15/43 | 1,350 | 1,753 | |
Reynolds American Inc. | 5.850% | 8/15/45 | 7,475 | 9,546 | |
Southern Baptist Hospital of Florida Inc. | 4.857% | 7/15/45 | 600 | 734 | |
St. Jude Medical Inc. | 4.750% | 4/15/43 | 2,400 | 2,555 | |
Stryker Corp. | 4.100% | 4/1/43 | 2,325 | 2,371 | |
Stryker Corp. | 4.375% | 5/15/44 | 475 | 505 | |
Stryker Corp. | 4.625% | 3/15/46 | 5,100 | 5,719 | |
Sysco Corp. | 3.300% | 7/15/26 | 2,500 | 2,594 | |
Sysco Corp. | 5.375% | 9/21/35 | 2,550 | 3,036 | |
Sysco Corp. | 4.850% | 10/1/45 | 1,250 | 1,395 | |
Sysco Corp. | 4.500% | 4/1/46 | 1,625 | 1,733 | |
Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 2,306 | 2,763 | |
4 | Texas Health Resources | 4.330% | 11/15/55 | 1,000 | 1,127 |
The Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 3,925 | 5,632 | |
Thermo Fisher Scientific Inc. | 5.300% | 2/1/44 | 1,175 | 1,356 | |
Trinity Health Corp. | 4.125% | 12/1/45 | 1,175 | 1,304 | |
Tyson Foods Inc. | 4.875% | 8/15/34 | 2,570 | 2,848 | |
Tyson Foods Inc. | 5.150% | 8/15/44 | 2,223 | 2,566 | |
Unilever Capital Corp. | 5.900% | 11/15/32 | 4,433 | 6,156 | |
Whirlpool Corp. | 5.150% | 3/1/43 | 950 | 1,074 | |
Whirlpool Corp. | 4.500% | 6/1/46 | 1,975 | 2,061 | |
Wyeth LLC | 6.500% | 2/1/34 | 2,485 | 3,398 | |
Wyeth LLC | 6.000% | 2/15/36 | 510 | 680 | |
Wyeth LLC | 5.950% | 4/1/37 | 6,935 | 9,242 |
87
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Zimmer Biomet Holdings Inc. | 4.250% | 8/15/35 | 2,200 | 2,209 |
Zimmer Biomet Holdings Inc. | 5.750% | 11/30/39 | 2,000 | 2,363 |
Zimmer Biomet Holdings Inc. | 4.450% | 8/15/45 | 4,400 | 4,473 |
Zoetis Inc. | 4.700% | 2/1/43 | 3,770 | 3,731 |
Energy (5.1%) | ||||
Anadarko Finance Co. | 7.500% | 5/1/31 | 3,185 | 3,805 |
Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 5,975 | 6,834 |
Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 1,250 | 1,551 |
Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 2,470 | 2,767 |
Anadarko Petroleum Corp. | 4.500% | 7/15/44 | 2,125 | 1,941 |
Anadarko Petroleum Corp. | 6.600% | 3/15/46 | 3,600 | 4,344 |
Apache Corp. | 6.000% | 1/15/37 | 3,906 | 4,457 |
Apache Corp. | 5.100% | 9/1/40 | 5,250 | 5,494 |
Apache Corp. | 5.250% | 2/1/42 | 1,675 | 1,777 |
Apache Corp. | 4.750% | 4/15/43 | 6,115 | 6,252 |
Apache Finance Canada Corp. | 7.750% | 12/15/29 | 1,150 | 1,461 |
Baker Hughes Inc. | 5.125% | 9/15/40 | 4,627 | 5,173 |
Buckeye Partners LP | 5.850% | 11/15/43 | 1,350 | 1,314 |
Buckeye Partners LP | 5.600% | 10/15/44 | 1,025 | 962 |
Burlington Resources Finance Co. | 7.200% | 8/15/31 | 1,050 | 1,328 |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 2,175 | 2,857 |
Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 1,775 | 1,975 |
Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 875 | 953 |
Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 1,862 | 1,898 |
Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 2,090 | 2,275 |
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 2,690 | 2,926 |
Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 1,650 | 1,824 |
Columbia Pipeline Group Inc. | 5.800% | 6/1/45 | 2,200 | 2,541 |
Conoco Funding Co. | 7.250% | 10/15/31 | 1,945 | 2,485 |
ConocoPhillips | 5.900% | 10/15/32 | 2,850 | 3,342 |
ConocoPhillips | 5.900% | 5/15/38 | 2,275 | 2,721 |
ConocoPhillips | 6.500% | 2/1/39 | 6,575 | 8,457 |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 1,100 | 1,302 |
ConocoPhillips Co. | 4.150% | 11/15/34 | 2,675 | 2,674 |
ConocoPhillips Co. | 4.300% | 11/15/44 | 550 | 556 |
ConocoPhillips Co. | 5.950% | 3/15/46 | 3,000 | 3,736 |
ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 6,658 | 8,307 |
Devon Energy Corp. | 7.950% | 4/15/32 | 4,010 | 4,699 |
Devon Energy Corp. | 5.600% | 7/15/41 | 4,135 | 3,988 |
Devon Energy Corp. | 4.750% | 5/15/42 | 3,740 | 3,330 |
Devon Financing Co. LLC | 7.875% | 9/30/31 | 4,990 | 5,787 |
Dominion Gas Holdings LLC | 4.800% | 11/1/43 | 1,100 | 1,193 |
Dominion Gas Holdings LLC | 4.600% | 12/15/44 | 2,450 | 2,590 |
El Paso Natural Gas Co. LLC | 8.375% | 6/15/32 | 1,182 | 1,383 |
Enable Midstream Partners LP | 5.000% | 5/15/44 | 1,725 | 1,354 |
Enbridge Energy Partners LP | 7.500% | 4/15/38 | 2,170 | 2,554 |
Enbridge Energy Partners LP | 5.500% | 9/15/40 | 2,425 | 2,367 |
Enbridge Energy Partners LP | 7.375% | 10/15/45 | 750 | 915 |
Enbridge Inc. | 4.500% | 6/10/44 | 1,500 | 1,312 |
Encana Corp. | 6.500% | 8/15/34 | 3,500 | 3,469 |
Encana Corp. | 6.625% | 8/15/37 | 1,450 | 1,454 |
Encana Corp. | 6.500% | 2/1/38 | 4,400 | 4,372 |
Energy Transfer Partners LP | 8.250% | 11/15/29 | 1,250 | 1,540 |
Energy Transfer Partners LP | 4.900% | 3/15/35 | 1,952 | 1,757 |
Energy Transfer Partners LP | 6.625% | 10/15/36 | 1,501 | 1,573 |
Energy Transfer Partners LP | 7.500% | 7/1/38 | 2,075 | 2,287 |
Energy Transfer Partners LP | 6.050% | 6/1/41 | 2,400 | 2,354 |
Energy Transfer Partners LP | 6.500% | 2/1/42 | 3,280 | 3,426 |
Energy Transfer Partners LP | 5.150% | 2/1/43 | 1,424 | 1,274 |
Energy Transfer Partners LP | 5.950% | 10/1/43 | 500 | 493 |
Energy Transfer Partners LP | 5.150% | 3/15/45 | 3,000 | 2,787 |
Energy Transfer Partners LP | 6.125% | 12/15/45 | 4,300 | 4,463 |
Eni USA Inc. | 7.300% | 11/15/27 | 600 | 734 |
88
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
EnLink Midstream Partners LP | 5.600% | 4/1/44 | 1,975 | 1,659 |
EnLink Midstream Partners LP | 5.050% | 4/1/45 | 500 | 410 |
Enterprise Products Operating LLC | 6.875% | 3/1/33 | 2,020 | 2,470 |
Enterprise Products Operating LLC | 6.650% | 10/15/34 | 1,220 | 1,475 |
Enterprise Products Operating LLC | 5.750% | 3/1/35 | 505 | 563 |
Enterprise Products Operating LLC | 7.550% | 4/15/38 | 1,225 | 1,595 |
Enterprise Products Operating LLC | 6.125% | 10/15/39 | 1,650 | 1,954 |
Enterprise Products Operating LLC | 6.450% | 9/1/40 | 1,275 | 1,563 |
Enterprise Products Operating LLC | 5.950% | 2/1/41 | 2,353 | 2,763 |
Enterprise Products Operating LLC | 5.700% | 2/15/42 | 1,725 | 2,022 |
Enterprise Products Operating LLC | 4.850% | 8/15/42 | 3,460 | 3,682 |
Enterprise Products Operating LLC | 4.450% | 2/15/43 | 4,480 | 4,499 |
Enterprise Products Operating LLC | 4.850% | 3/15/44 | 5,500 | 5,845 |
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 5,000 | 5,503 |
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 2,775 | 2,993 |
Enterprise Products Operating LLC | 4.950% | 10/15/54 | 1,152 | 1,181 |
EOG Resources Inc. | 3.900% | 4/1/35 | 2,082 | 2,084 |
Exxon Mobil Corp. | 3.567% | 3/6/45 | 3,600 | 3,728 |
Exxon Mobil Corp. | 4.114% | 3/1/46 | 8,300 | 9,347 |
Halliburton Co. | 4.850% | 11/15/35 | 6,300 | 6,819 |
Halliburton Co. | 6.700% | 9/15/38 | 4,125 | 5,239 |
Halliburton Co. | 7.450% | 9/15/39 | 275 | 380 |
Halliburton Co. | 4.500% | 11/15/41 | 2,082 | 2,081 |
Halliburton Co. | 4.750% | 8/1/43 | 1,900 | 1,988 |
Halliburton Co. | 5.000% | 11/15/45 | 5,701 | 6,239 |
Hess Corp. | 7.875% | 10/1/29 | 2,550 | 3,038 |
Hess Corp. | 7.300% | 8/15/31 | 1,895 | 2,175 |
Hess Corp. | 7.125% | 3/15/33 | 1,375 | 1,521 |
Hess Corp. | 6.000% | 1/15/40 | 2,740 | 2,830 |
Hess Corp. | 5.600% | 2/15/41 | 4,428 | 4,426 |
Husky Energy Inc. | 6.800% | 9/15/37 | 1,350 | 1,550 |
Kerr-McGee Corp. | 7.875% | 9/15/31 | 1,200 | 1,424 |
Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 425 | 464 |
Kinder Morgan Energy Partners LP | 7.750% | 3/15/32 | 500 | 561 |
Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 1,600 | 1,743 |
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 2,575 | 2,646 |
Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 1,950 | 2,047 |
Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 3,979 | 4,400 |
Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 3,375 | 3,531 |
Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 375 | 394 |
Kinder Morgan Energy Partners LP | 7.500% | 11/15/40 | 1,500 | 1,698 |
Kinder Morgan Energy Partners LP | 6.375% | 3/1/41 | 1,750 | 1,822 |
Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 1,929 | 1,871 |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 1,675 | 1,579 |
Kinder Morgan Energy Partners LP | 4.700% | 11/1/42 | 1,650 | 1,488 |
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 1,000 | 943 |
Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 3,000 | 3,003 |
Kinder Morgan Energy Partners LP | 5.400% | 9/1/44 | 1,600 | 1,583 |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 4,474 | 5,063 |
Kinder Morgan Inc. | 5.300% | 12/1/34 | 4,300 | 4,224 |
Kinder Morgan Inc. | 5.550% | 6/1/45 | 6,000 | 6,102 |
Magellan Midstream Partners LP | 6.400% | 5/1/37 | 475 | 560 |
Magellan Midstream Partners LP | 4.200% | 12/1/42 | 1,150 | 1,097 |
Magellan Midstream Partners LP | 5.150% | 10/15/43 | 2,075 | 2,233 |
Magellan Midstream Partners LP | 4.200% | 3/15/45 | 300 | 283 |
Marathon Oil Corp. | 6.800% | 3/15/32 | 1,600 | 1,632 |
Marathon Oil Corp. | 6.600% | 10/1/37 | 2,675 | 2,695 |
Marathon Oil Corp. | 5.200% | 6/1/45 | 1,652 | 1,445 |
Marathon Petroleum Corp. | 6.500% | 3/1/41 | 4,075 | 4,345 |
Marathon Petroleum Corp. | 4.750% | 9/15/44 | 1,850 | 1,577 |
Marathon Petroleum Corp. | 5.850% | 12/15/45 | 900 | 875 |
Marathon Petroleum Corp. | 5.000% | 9/15/54 | 2,700 | 2,258 |
National Oilwell Varco Inc. | 3.950% | 12/1/42 | 3,625 | 2,867 |
Noble Energy Inc. | 8.000% | 4/1/27 | 1,075 | 1,273 |
89
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Noble Energy Inc. | 6.000% | 3/1/41 | 3,045 | 3,313 |
Noble Energy Inc. | 5.250% | 11/15/43 | 3,565 | 3,621 |
Noble Energy Inc. | 5.050% | 11/15/44 | 1,900 | 1,913 |
Occidental Petroleum Corp. | 4.625% | 6/15/45 | 2,500 | 2,835 |
Occidental Petroleum Corp. | 4.400% | 4/15/46 | 3,850 | 4,236 |
ONEOK Partners LP | 6.650% | 10/1/36 | 2,725 | 2,871 |
ONEOK Partners LP | 6.850% | 10/15/37 | 650 | 704 |
ONEOK Partners LP | 6.125% | 2/1/41 | 2,725 | 2,857 |
ONEOK Partners LP | 6.200% | 9/15/43 | 1,450 | 1,541 |
Petro-Canada | 7.000% | 11/15/28 | 1,425 | 1,814 |
Petro-Canada | 5.350% | 7/15/33 | 1,450 | 1,594 |
Petro-Canada | 5.950% | 5/15/35 | 2,480 | 2,938 |
Petro-Canada | 6.800% | 5/15/38 | 3,875 | 4,980 |
Phillips 66 | 4.650% | 11/15/34 | 3,800 | 3,991 |
Phillips 66 | 5.875% | 5/1/42 | 5,676 | 6,818 |
Phillips 66 | 4.875% | 11/15/44 | 4,529 | 4,943 |
Phillips 66 Partners LP | 4.680% | 2/15/45 | 1,000 | 930 |
Pioneer Natural Resources Co. | 7.200% | 1/15/28 | 800 | 986 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.700% | 5/15/36 | 845 | 883 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.650% | 1/15/37 | 1,950 | 2,016 |
Plains All American Pipeline LP / PAA Finance Corp. | 5.150% | 6/1/42 | 2,161 | 1,912 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.300% | 1/31/43 | 2,900 | 2,303 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.700% | 6/15/44 | 2,375 | 2,029 |
Shell International Finance BV | 4.125% | 5/11/35 | 5,700 | 6,100 |
Shell International Finance BV | 6.375% | 12/15/38 | 9,300 | 12,638 |
Shell International Finance BV | 5.500% | 3/25/40 | 2,725 | 3,381 |
Shell International Finance BV | 3.625% | 8/21/42 | 1,900 | 1,852 |
Shell International Finance BV | 4.550% | 8/12/43 | 3,650 | 3,994 |
Shell International Finance BV | 4.375% | 5/11/45 | 10,114 | 10,999 |
Shell International Finance BV | 4.000% | 5/10/46 | 7,250 | 7,430 |
Southern Natural Gas Co. LLC | 8.000% | 3/1/32 | 858 | 952 |
Spectra Energy Capital LLC | 6.750% | 2/15/32 | 905 | 961 |
Spectra Energy Partners LP | 5.950% | 9/25/43 | 1,450 | 1,716 |
Spectra Energy Partners LP | 4.500% | 3/15/45 | 1,825 | 1,863 |
Suncor Energy Inc. | 7.150% | 2/1/32 | 800 | 1,001 |
Suncor Energy Inc. | 5.950% | 12/1/34 | 855 | 1,011 |
Suncor Energy Inc. | 6.500% | 6/15/38 | 3,415 | 4,447 |
Suncor Energy Inc. | 6.850% | 6/1/39 | 2,575 | 3,421 |
Sunoco Logistics Partners Operations LP | 6.850% | 2/15/40 | 850 | 901 |
Sunoco Logistics Partners Operations LP | 6.100% | 2/15/42 | 1,600 | 1,646 |
Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 900 | 825 |
Sunoco Logistics Partners Operations LP | 5.300% | 4/1/44 | 2,750 | 2,713 |
Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 2,150 | 2,127 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 3/15/27 | 1,830 | 2,001 |
Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 1,400 | 1,535 |
Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 960 | 1,132 |
Texas Eastern Transmission LP | 7.000% | 7/15/32 | 1,375 | 1,687 |
Tosco Corp. | 7.800% | 1/1/27 | 155 | 198 |
Tosco Corp. | 8.125% | 2/15/30 | 2,700 | 3,601 |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 2,200 | 2,347 |
TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 1,525 | 1,737 |
TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 3,150 | 3,706 |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 2,400 | 2,940 |
TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 2,945 | 4,041 |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 1,665 | 2,343 |
TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 3,225 | 3,922 |
TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 3,150 | 3,530 |
Transcontinental Gas Pipe Line Co. LLC | 5.400% | 8/15/41 | 1,275 | 1,283 |
Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 1,075 | 983 |
Valero Energy Corp. | 7.500% | 4/15/32 | 1,841 | 2,193 |
Valero Energy Corp. | 6.625% | 6/15/37 | 5,839 | 6,416 |
Valero Energy Corp. | 10.500% | 3/15/39 | 250 | 364 |
Valero Energy Corp. | 4.900% | 3/15/45 | 3,000 | 2,777 |
Western Gas Partners LP | 5.450% | 4/1/44 | 1,250 | 1,195 |
90
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Williams Partners LP | 6.300% | 4/15/40 | 2,500 | 2,378 | |
Williams Partners LP | 5.800% | 11/15/43 | 2,325 | 2,168 | |
Williams Partners LP | 5.400% | 3/4/44 | 1,700 | 1,513 | |
Williams Partners LP | 4.900% | 1/15/45 | 1,625 | 1,381 | |
Williams Partners LP | 5.100% | 9/15/45 | 4,200 | 3,601 | |
XTO Energy Inc. | 6.750% | 8/1/37 | 440 | 647 | |
Other Industrial (0.2%) | |||||
California Institute of Technology GO | 4.321% | 8/1/45 | 1,000 | 1,194 | |
California Institute of Technology GO | 4.700% | 11/1/11 | 1,675 | 1,837 | |
4 | Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 1,475 | 1,639 |
4 | Massachusetts Institute of Technology GO | 3.959% | 7/1/38 | 1,050 | 1,199 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 2,575 | 3,679 | |
Massachusetts Institute of Technology GO | 4.678% | 7/1/14 | 1,925 | 2,295 | |
4 | Northwestern University Illinois GO | 3.688% | 12/1/38 | 1,250 | 1,361 |
4 | Northwestern University Illinois GO | 4.643% | 12/1/44 | 2,250 | 2,840 |
President & Fellows of Harvard College Massachusetts | |||||
GO | 3.619% | 10/1/37 | 900 | 986 | |
4 | Rice University Texas GO | 3.774% | 5/15/55 | 150 | 166 |
Trustees of Dartmouth College | 3.474% | 6/1/46 | 1,250 | 1,333 | |
4 | University of Notre Dame DU LAC Indiana GO | 3.438% | 2/15/45 | 1,400 | 1,462 |
University of Pennsylvania GO | 4.674% | 9/1/12 | 1,400 | 1,604 | |
Wesleyan University Connecticut GO | 4.781% | 7/1/16 | 800 | 864 | |
4 | William Marsh Rice University | 3.574% | 5/15/45 | 2,400 | 2,580 |
Technology (2.8%) | |||||
Analog Devices Inc. | 5.300% | 12/15/45 | 1,000 | 1,212 | |
Apple Inc. | 4.500% | 2/23/36 | 1,500 | 1,691 | |
Apple Inc. | 3.850% | 5/4/43 | 10,010 | 10,045 | |
Apple Inc. | 4.450% | 5/6/44 | 4,075 | 4,440 | |
Apple Inc. | 3.450% | 2/9/45 | 5,200 | 4,885 | |
Apple Inc. | 4.375% | 5/13/45 | 6,525 | 7,060 | |
Apple Inc. | 4.650% | 2/23/46 | 17,707 | 19,987 | |
Applied Materials Inc. | 5.100% | 10/1/35 | 1,750 | 2,006 | |
Applied Materials Inc. | 5.850% | 6/15/41 | 2,205 | 2,685 | |
Cisco Systems Inc. | 5.900% | 2/15/39 | 4,950 | 6,721 | |
Cisco Systems Inc. | 5.500% | 1/15/40 | 6,760 | 8,865 | |
Corning Inc. | 7.250% | 8/15/36 | 600 | 725 | |
Corning Inc. | 4.700% | 3/15/37 | 2,825 | 2,970 | |
Corning Inc. | 5.750% | 8/15/40 | 1,450 | 1,721 | |
3 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.350% | 7/15/46 | 7,600 | 8,170 |
Equifax Inc. | 7.000% | 7/1/37 | 750 | 973 | |
3 | Hewlett Packard Enterprise Co. | 6.350% | 10/15/45 | 8,550 | 8,494 |
HP Enterprise Services LLC | 7.450% | 10/15/29 | 876 | 1,065 | |
HP Inc. | 6.000% | 9/15/41 | 1,585 | 1,531 | |
Intel Corp. | 4.000% | 12/15/32 | 3,130 | 3,372 | |
Intel Corp. | 4.800% | 10/1/41 | 5,145 | 5,846 | |
Intel Corp. | 4.250% | 12/15/42 | 3,020 | 3,244 | |
Intel Corp. | 4.900% | 7/29/45 | 6,395 | 7,448 | |
Intel Corp. | 4.100% | 5/19/46 | 4,000 | 4,160 | |
International Business Machines Corp. | 6.500% | 1/15/28 | 1,725 | 2,355 | |
International Business Machines Corp. | 5.875% | 11/29/32 | 2,750 | 3,572 | |
International Business Machines Corp. | 5.600% | 11/30/39 | 3,228 | 4,083 | |
International Business Machines Corp. | 4.000% | 6/20/42 | 4,969 | 5,260 | |
International Business Machines Corp. | 4.700% | 2/19/46 | 2,000 | 2,303 | |
Juniper Networks Inc. | 5.950% | 3/15/41 | 1,350 | 1,349 | |
Microsoft Corp. | 3.500% | 2/12/35 | 9,575 | 9,854 | |
Microsoft Corp. | 4.200% | 11/3/35 | 1,235 | 1,387 | |
Microsoft Corp. | 5.200% | 6/1/39 | 1,205 | 1,502 | |
Microsoft Corp. | 4.500% | 10/1/40 | 2,965 | 3,374 | |
Microsoft Corp. | 5.300% | 2/8/41 | 3,175 | 4,003 | |
Microsoft Corp. | 3.500% | 11/15/42 | 2,825 | 2,773 | |
Microsoft Corp. | 3.750% | 5/1/43 | 185 | 186 | |
Microsoft Corp. | 4.875% | 12/15/43 | 1,900 | 2,265 | |
Microsoft Corp. | 3.750% | 2/12/45 | 7,475 | 7,595 |
91
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Microsoft Corp. | 4.450% | 11/3/45 | 9,740 | 11,005 | |
Microsoft Corp. | 4.000% | 2/12/55 | 8,750 | 8,684 | |
Microsoft Corp. | 4.750% | 11/3/55 | 3,500 | 3,966 | |
Motorola Solutions Inc. | 5.500% | 9/1/44 | 1,225 | 1,089 | |
Oracle Corp. | 2.650% | 7/15/26 | 13,225 | 13,242 | |
Oracle Corp. | 3.250% | 5/15/30 | 2,004 | 2,130 | |
Oracle Corp. | 4.300% | 7/8/34 | 7,455 | 7,929 | |
Oracle Corp. | 3.900% | 5/15/35 | 4,575 | 4,655 | |
Oracle Corp. | 3.850% | 7/15/36 | 7,825 | 7,870 | |
Oracle Corp. | 6.500% | 4/15/38 | 4,190 | 5,711 | |
Oracle Corp. | 6.125% | 7/8/39 | 4,225 | 5,545 | |
Oracle Corp. | 5.375% | 7/15/40 | 8,664 | 10,433 | |
Oracle Corp. | 4.500% | 7/8/44 | 4,125 | 4,652 | |
Oracle Corp. | 4.125% | 5/15/45 | 2,452 | 2,534 | |
Oracle Corp. | 4.000% | 7/15/46 | 5,900 | 5,932 | |
Oracle Corp. | 4.375% | 5/15/55 | 3,075 | 3,208 | |
QUALCOMM Inc. | 4.650% | 5/20/35 | 2,475 | 2,673 | |
QUALCOMM Inc. | 4.800% | 5/20/45 | 5,475 | 5,740 | |
Seagate HDD Cayman | 4.875% | 6/1/27 | 2,000 | 1,445 | |
Seagate HDD Cayman | 5.750% | 12/1/34 | 1,550 | 1,089 | |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 2,250 | 3,124 | |
Verisk Analytics Inc. | 5.500% | 6/15/45 | 1,275 | 1,311 | |
Xerox Corp. | 6.750% | 12/15/39 | 1,175 | 1,134 | |
Transportation (1.9%) | |||||
4 | American Airlines 2014-1 Class A Pass Through Trust | 3.700% | 4/1/28 | 2,215 | 2,298 |
4 | American Airlines 2015-1 Class A Pass Through Trust | 3.375% | 11/1/28 | 3,045 | 3,113 |
4 | American Airlines 2015-2 Class AA Pass Through Trust | 3.600% | 9/22/27 | 1,800 | 1,892 |
4 | American Airlines 2016-1 Class A Pass Through Trust | 4.100% | 1/15/28 | 925 | 981 |
4 | American Airlines 2016-1 Class AA Pass Through Trust | 3.575% | 1/15/28 | 2,000 | 2,095 |
4 | American Airlines 2016-2 Class A Pass Through Trust | 3.650% | 6/15/28 | 975 | 1,009 |
4 | American Airlines 2016-2 Class AA Pass Through Trust | 3.200% | 6/15/28 | 2,575 | 2,665 |
Burlington Northern Santa Fe LLC | 7.950% | 8/15/30 | 905 | 1,365 | |
Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 2,160 | 2,865 | |
Burlington Northern Santa Fe LLC | 6.150% | 5/1/37 | 1,670 | 2,201 | |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 2,275 | 2,944 | |
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 2,175 | 2,618 | |
Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 2,230 | 2,755 | |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 525 | 627 | |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 2,060 | 2,286 | |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 2,780 | 3,067 | |
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 2,050 | 2,290 | |
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 2,250 | 2,760 | |
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 2,350 | 2,803 | |
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 2,845 | 3,248 | |
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 3,465 | 3,763 | |
Burlington Northern Santa Fe LLC | 4.700% | 9/1/45 | 3,375 | 3,965 | |
Burlington Northern Santa Fe LLC | 3.900% | 8/1/46 | 1,850 | 1,954 | |
Canadian National Railway Co. | 6.900% | 7/15/28 | 1,950 | 2,802 | |
Canadian National Railway Co. | 6.250% | 8/1/34 | 2,420 | 3,358 | |
Canadian National Railway Co. | 6.200% | 6/1/36 | 2,292 | 3,158 | |
Canadian National Railway Co. | 6.375% | 11/15/37 | 490 | 692 | |
Canadian National Railway Co. | 3.500% | 11/15/42 | 1,000 | 1,011 | |
Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 1,115 | 1,516 | |
Canadian Pacific Railway Co. | 5.750% | 3/15/33 | 765 | 901 | |
Canadian Pacific Railway Co. | 4.800% | 9/15/35 | 1,025 | 1,171 | |
Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 1,710 | 2,140 | |
Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 1,720 | 1,975 | |
Canadian Pacific Railway Co. | 6.125% | 9/15/15 | 2,950 | 3,704 | |
Canadian Pacific Railway Ltd. | 5.750% | 1/15/42 | 900 | 1,101 | |
CSX Corp. | 6.000% | 10/1/36 | 1,095 | 1,400 | |
CSX Corp. | 6.150% | 5/1/37 | 2,230 | 2,902 | |
CSX Corp. | 6.220% | 4/30/40 | 2,475 | 3,326 | |
CSX Corp. | 5.500% | 4/15/41 | 1,810 | 2,270 |
92
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
CSX Corp. | 4.750% | 5/30/42 | 1,950 | 2,218 | |
CSX Corp. | 4.400% | 3/1/43 | 1,150 | 1,264 | |
CSX Corp. | 4.100% | 3/15/44 | 2,400 | 2,560 | |
CSX Corp. | 3.950% | 5/1/50 | 2,325 | 2,332 | |
CSX Corp. | 4.500% | 8/1/54 | 1,665 | 1,788 | |
4 | Delta Air Lines 2015-1 Class AA Pass Through Trust | 3.625% | 7/30/27 | 1,005 | 1,060 |
FedEx Corp. | 4.900% | 1/15/34 | 1,625 | 1,845 | |
FedEx Corp. | 3.900% | 2/1/35 | 2,020 | 2,057 | |
FedEx Corp. | 3.875% | 8/1/42 | 1,940 | 1,897 | |
FedEx Corp. | 4.100% | 4/15/43 | 1,700 | 1,719 | |
FedEx Corp. | 5.100% | 1/15/44 | 1,940 | 2,254 | |
FedEx Corp. | 4.100% | 2/1/45 | 1,070 | 1,089 | |
FedEx Corp. | 4.750% | 11/15/45 | 4,575 | 5,094 | |
FedEx Corp. | 4.550% | 4/1/46 | 4,750 | 5,147 | |
FedEx Corp. | 4.500% | 2/1/65 | 785 | 802 | |
3 | Kansas City Southern | 4.300% | 5/15/43 | 1,450 | 1,482 |
3 | Kansas City Southern | 4.950% | 8/15/45 | 1,730 | 1,937 |
3,4 | Latam Airlines 2015-1 Pass Through Trust A | 4.200% | 11/15/27 | 2,629 | 2,340 |
Norfolk Southern Corp. | 7.800% | 5/15/27 | 2,092 | 2,963 | |
Norfolk Southern Corp. | 7.250% | 2/15/31 | 660 | 945 | |
Norfolk Southern Corp. | 7.050% | 5/1/37 | 845 | 1,185 | |
Norfolk Southern Corp. | 4.837% | 10/1/41 | 1,873 | 2,152 | |
Norfolk Southern Corp. | 3.950% | 10/1/42 | 1,635 | 1,680 | |
Norfolk Southern Corp. | 4.800% | 8/15/43 | 1,304 | 1,515 | |
Norfolk Southern Corp. | 4.450% | 6/15/45 | 3,660 | 4,053 | |
Norfolk Southern Corp. | 4.650% | 1/15/46 | 1,750 | 2,025 | |
Norfolk Southern Corp. | 7.900% | 5/15/97 | 325 | 494 | |
Norfolk Southern Corp. | 6.000% | 3/15/05 | 1,930 | 2,323 | |
Norfolk Southern Corp. | 6.000% | 5/23/11 | 1,880 | 2,324 | |
4 | Spirit Airlines Class A Pass Through Certificates Series | ||||
2015-1 | 4.100% | 10/1/29 | 1,715 | 1,732 | |
Union Pacific Corp. | 6.625% | 2/1/29 | 2,055 | 2,876 | |
Union Pacific Corp. | 3.375% | 2/1/35 | 625 | 630 | |
Union Pacific Corp. | 4.750% | 9/15/41 | 2,300 | 2,713 | |
Union Pacific Corp. | 4.300% | 6/15/42 | 80 | 89 | |
Union Pacific Corp. | 4.250% | 4/15/43 | 1,050 | 1,162 | |
Union Pacific Corp. | 4.750% | 12/15/43 | 2,040 | 2,410 | |
Union Pacific Corp. | 4.821% | 2/1/44 | 2,110 | 2,536 | |
Union Pacific Corp. | 4.850% | 6/15/44 | 1,065 | 1,277 | |
Union Pacific Corp. | 4.150% | 1/15/45 | 400 | 440 | |
Union Pacific Corp. | 4.050% | 11/15/45 | 1,200 | 1,301 | |
Union Pacific Corp. | 4.050% | 3/1/46 | 3,000 | 3,290 | |
Union Pacific Corp. | 3.875% | 2/1/55 | 1,910 | 1,938 | |
Union Pacific Corp. | 4.375% | 11/15/65 | 2,350 | 2,522 | |
4 | Union Pacific Railroad Co. 2007-3 Pass Through Trust | 6.176% | 1/2/31 | 717 | 873 |
4 | United Airlines 2014-2 Class A Pass Through Trust | 3.750% | 3/3/28 | 2,583 | 2,718 |
4 | United Airlines 2015-1 Class AA Pass Through Trust | 3.450% | 12/1/27 | 2,000 | 2,060 |
4 | United Airlines 2016-1 Class AA Pass Through Trust | 3.100% | 7/7/28 | 3,350 | 3,442 |
United Parcel Service Inc. | 6.200% | 1/15/38 | 4,860 | 6,970 | |
United Parcel Service Inc. | 4.875% | 11/15/40 | 1,355 | 1,707 | |
United Parcel Service Inc. | 3.625% | 10/1/42 | 2,510 | 2,674 | |
United Parcel Service of America Inc. | 8.375% | 4/1/30 | 500 | 743 | |
3,453,411 | |||||
Utilities (6.5%) | |||||
Electric (6.0%) | |||||
AEP Texas Central Co. | 6.650% | 2/15/33 | 1,952 | 2,516 | |
Alabama Power Co. | 6.125% | 5/15/38 | 1,460 | 1,947 | |
Alabama Power Co. | 6.000% | 3/1/39 | 1,490 | 1,971 | |
Alabama Power Co. | 5.500% | 3/15/41 | 1,125 | 1,435 | |
Alabama Power Co. | 5.200% | 6/1/41 | 1,365 | 1,685 | |
Alabama Power Co. | 4.100% | 1/15/42 | 755 | 819 | |
Alabama Power Co. | 3.850% | 12/1/42 | 1,100 | 1,154 | |
Alabama Power Co. | 4.150% | 8/15/44 | 1,975 | 2,165 |
93
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Alabama Power Co. | 3.750% | 3/1/45 | 1,470 | 1,530 | |
Alabama Power Co. | 4.300% | 1/2/46 | 1,400 | 1,590 | |
Ameren Illinois Co. | 4.800% | 12/15/43 | 1,138 | 1,381 | |
Ameren Illinois Co. | 4.300% | 7/1/44 | 743 | 847 | |
Ameren Illinois Co. | 4.150% | 3/15/46 | 1,152 | 1,291 | |
Appalachian Power Co | 4.400% | 5/15/44 | 740 | 796 | |
Appalachian Power Co. | 5.800% | 10/1/35 | 1,105 | 1,330 | |
Appalachian Power Co. | 6.375% | 4/1/36 | 1,005 | 1,264 | |
Appalachian Power Co. | 6.700% | 8/15/37 | 740 | 970 | |
Appalachian Power Co. | 7.000% | 4/1/38 | 1,543 | 2,072 | |
Appalachian Power Co. | 4.450% | 6/1/45 | 1,108 | 1,198 | |
Arizona Public Service Co. | 5.500% | 9/1/35 | 485 | 604 | |
Arizona Public Service Co. | 5.050% | 9/1/41 | 1,505 | 1,863 | |
Arizona Public Service Co. | 4.500% | 4/1/42 | 1,180 | 1,365 | |
Arizona Public Service Co. | 4.700% | 1/15/44 | 1,255 | 1,504 | |
Arizona Public Service Co. | 4.350% | 11/15/45 | 550 | 632 | |
Arizona Public Service Co. | 3.750% | 5/15/46 | 1,525 | 1,596 | |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 1,651 | 2,256 | |
Berkshire Hathaway Energy Co. | 8.480% | 9/15/28 | 1,025 | 1,585 | |
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 5,460 | 7,227 | |
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 3,125 | 4,064 | |
Berkshire Hathaway Energy Co. | 6.500% | 9/15/37 | 4,580 | 6,300 | |
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 875 | 1,060 | |
Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 1,264 | 1,411 | |
CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 1,105 | 1,562 | |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 2,475 | 2,538 | |
CenterPoint Energy Houston Electric LLC | 4.500% | 4/1/44 | 1,175 | 1,384 | |
3 | Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 1,325 | 1,393 |
Cleco Power LLC | 6.500% | 12/1/35 | 575 | 738 | |
Cleco Power LLC | 6.000% | 12/1/40 | 1,290 | 1,614 | |
Cleveland Electric Illuminating Co. | 5.950% | 12/15/36 | 730 | 804 | |
CMS Energy Corp. | 4.700% | 3/31/43 | 935 | 1,060 | |
CMS Energy Corp. | 4.875% | 3/1/44 | 805 | 943 | |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 2,235 | 2,977 | |
Commonwealth Edison Co. | 6.450% | 1/15/38 | 1,230 | 1,744 | |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 1,100 | 1,146 | |
Commonwealth Edison Co. | 4.600% | 8/15/43 | 1,990 | 2,347 | |
Commonwealth Edison Co. | 4.700% | 1/15/44 | 1,200 | 1,445 | |
Commonwealth Edison Co. | 3.700% | 3/1/45 | 1,885 | 1,959 | |
Commonwealth Edison Co. | 4.350% | 11/15/45 | 1,625 | 1,853 | |
Commonwealth Edison Co. | 3.650% | 6/15/46 | 3,200 | 3,281 | |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 1,250 | 1,712 | |
Connecticut Light & Power Co. | 4.300% | 4/15/44 | 1,015 | 1,158 | |
Connecticut Light & Power Co. | 4.150% | 6/1/45 | 50 | 56 | |
Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 2,445 | 2,988 | |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 2,270 | 2,928 | |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 370 | 493 | |
Consolidated Edison Co. of New York Inc. | 5.700% | 12/1/36 | 1,815 | 2,298 | |
Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 870 | 1,181 | |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 2,125 | 3,026 | |
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 790 | 1,004 | |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 1,970 | 2,565 | |
Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 675 | 729 | |
Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 3,300 | 3,463 | |
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 2,700 | 3,022 | |
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 727 | 829 | |
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 150 | 156 | |
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 2,837 | 3,255 | |
Consumers Energy Co. | 3.950% | 5/15/43 | 1,805 | 1,966 | |
Consumers Energy Co. | 4.100% | 11/15/45 | 925 | 1,039 | |
Consumers Energy Co. | 4.350% | 8/31/64 | 420 | 458 | |
Dominion Resources Inc. | 6.300% | 3/15/33 | 2,460 | 3,021 | |
Dominion Resources Inc. | 5.250% | 8/1/33 | 250 | 277 | |
Dominion Resources Inc. | 5.950% | 6/15/35 | 1,890 | 2,304 |
94
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Dominion Resources Inc. | 4.900% | 8/1/41 | 1,725 | 1,893 | |
Dominion Resources Inc. | 4.050% | 9/15/42 | 995 | 988 | |
Dominion Resources Inc. | 4.700% | 12/1/44 | 2,920 | 3,170 | |
DTE Electric Co. | 5.700% | 10/1/37 | 1,060 | 1,380 | |
DTE Electric Co. | 3.950% | 6/15/42 | 885 | 957 | |
DTE Electric Co. | 4.000% | 4/1/43 | 1,025 | 1,124 | |
DTE Electric Co. | 4.300% | 7/1/44 | 1,420 | 1,624 | |
DTE Electric Co. | 3.700% | 3/15/45 | 1,915 | 2,015 | |
DTE Electric Co. | 3.700% | 6/1/46 | 2,125 | 2,235 | |
DTE Energy Co. | 6.375% | 4/15/33 | 1,680 | 2,151 | |
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 925 | 1,200 | |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 1,225 | 1,648 | |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 1,410 | 1,874 | |
Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 2,025 | 2,733 | |
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 2,075 | 2,829 | |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 2,190 | 2,778 | |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 2,420 | 2,727 | |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 1,700 | 1,838 | |
Duke Energy Carolinas LLC | 3.750% | 6/1/45 | 2,010 | 2,126 | |
Duke Energy Carolinas LLC | 3.875% | 3/15/46 | 500 | 537 | |
Duke Energy Corp. | 4.800% | 12/15/45 | 2,175 | 2,519 | |
Duke Energy Florida LLC | 6.350% | 9/15/37 | 1,390 | 1,964 | |
Duke Energy Florida LLC | 6.400% | 6/15/38 | 2,900 | 4,123 | |
Duke Energy Florida LLC | 5.650% | 4/1/40 | 1,115 | 1,471 | |
Duke Energy Florida LLC | 3.850% | 11/15/42 | 1,490 | 1,573 | |
Duke Energy Indiana LLC | 6.120% | 10/15/35 | 1,055 | 1,402 | |
Duke Energy Indiana LLC | 6.350% | 8/15/38 | 1,915 | 2,697 | |
Duke Energy Indiana LLC | 6.450% | 4/1/39 | 750 | 1,079 | |
Duke Energy Indiana LLC | 4.200% | 3/15/42 | 870 | 953 | |
Duke Energy Indiana LLC | 4.900% | 7/15/43 | 1,880 | 2,266 | |
Duke Energy Indiana LLC | 3.750% | 5/15/46 | 2,900 | 3,011 | |
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 1,675 | 1,717 | |
Duke Energy Progress LLC | 6.300% | 4/1/38 | 1,075 | 1,497 | |
Duke Energy Progress LLC | 4.100% | 5/15/42 | 1,625 | 1,780 | |
Duke Energy Progress LLC | 4.100% | 3/15/43 | 1,115 | 1,220 | |
Duke Energy Progress LLC | 4.375% | 3/30/44 | 2,005 | 2,298 | |
Duke Energy Progress LLC | 4.150% | 12/1/44 | 1,705 | 1,883 | |
Duke Energy Progress LLC | 4.200% | 8/15/45 | 3,050 | 3,424 | |
El Paso Electric Co. | 6.000% | 5/15/35 | 550 | 680 | |
El Paso Electric Co. | 5.000% | 12/1/44 | 1,784 | 2,048 | |
3 | Emera US Finance LP | 4.750% | 6/15/46 | 3,000 | 3,062 |
Entergy Louisiana LLC | 3.050% | 6/1/31 | 1,525 | 1,563 | |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 2,206 | 2,326 | |
Entergy Mississippi Inc. | 2.850% | 6/1/28 | 2,800 | 2,861 | |
Entergy Texas Inc. | 5.150% | 6/1/45 | 945 | 1,010 | |
Exelon Corp. | 4.950% | 6/15/35 | 1,635 | 1,846 | |
Exelon Corp. | 5.625% | 6/15/35 | 2,268 | 2,686 | |
Exelon Corp. | 5.100% | 6/15/45 | 1,665 | 1,899 | |
Exelon Corp. | 4.450% | 4/15/46 | 3,600 | 3,859 | |
Exelon Generation Co. LLC | 6.250% | 10/1/39 | 3,010 | 3,307 | |
Exelon Generation Co. LLC | 5.750% | 10/1/41 | 835 | 866 | |
Exelon Generation Co. LLC | 5.600% | 6/15/42 | 3,225 | 3,383 | |
FirstEnergy Solutions Corp. | 6.800% | 8/15/39 | 685 | 692 | |
Florida Power & Light Co. | 5.625% | 4/1/34 | 1,199 | 1,554 | |
Florida Power & Light Co. | 4.950% | 6/1/35 | 755 | 918 | |
Florida Power & Light Co. | 5.650% | 2/1/37 | 1,193 | 1,581 | |
Florida Power & Light Co. | 5.950% | 2/1/38 | 2,325 | 3,194 | |
Florida Power & Light Co. | 5.960% | 4/1/39 | 1,985 | 2,761 | |
Florida Power & Light Co. | 5.690% | 3/1/40 | 1,315 | 1,783 | |
Florida Power & Light Co. | 5.250% | 2/1/41 | 1,770 | 2,287 | |
Florida Power & Light Co. | 5.125% | 6/1/41 | 850 | 1,080 | |
Florida Power & Light Co. | 4.125% | 2/1/42 | 2,125 | 2,405 | |
Florida Power & Light Co. | 4.050% | 6/1/42 | 2,117 | 2,367 | |
Florida Power & Light Co. | 3.800% | 12/15/42 | 1,765 | 1,916 |
95
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Florida Power & Light Co. | 4.050% | 10/1/44 | 1,682 | 1,895 | |
Georgia Power Co. | 5.650% | 3/1/37 | 1,775 | 2,195 | |
Georgia Power Co. | 5.950% | 2/1/39 | 1,630 | 2,119 | |
Georgia Power Co. | 5.400% | 6/1/40 | 1,410 | 1,739 | |
Georgia Power Co. | 4.750% | 9/1/40 | 1,545 | 1,762 | |
Georgia Power Co. | 4.300% | 3/15/42 | 2,455 | 2,688 | |
Georgia Power Co. | 4.300% | 3/15/43 | 1,270 | 1,402 | |
Iberdrola International BV | 6.750% | 7/15/36 | 1,565 | 2,027 | |
Indiana Michigan Power Co. | 6.050% | 3/15/37 | 1,040 | 1,289 | |
Indiana Michigan Power Co. | 4.550% | 3/15/46 | 1,473 | 1,634 | |
Interstate Power & Light Co. | 6.250% | 7/15/39 | 1,835 | 2,573 | |
ITC Holdings Corp. | 5.300% | 7/1/43 | 890 | 995 | |
Jersey Central Power & Light Co. | 6.150% | 6/1/37 | 980 | 1,155 | |
4 | John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 2,113 | 2,477 |
Kansas City Power & Light Co. | 6.050% | 11/15/35 | 680 | 861 | |
Kansas City Power & Light Co. | 5.300% | 10/1/41 | 1,545 | 1,850 | |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 2,565 | 3,220 | |
Kentucky Utilities Co. | 4.650% | 11/15/43 | 1,165 | 1,381 | |
Kentucky Utilities Co. | 4.375% | 10/1/45 | 1,250 | 1,438 | |
Louisville Gas & Electric Co. | 5.125% | 11/15/40 | 950 | 1,180 | |
Louisville Gas & Electric Co. | 4.650% | 11/15/43 | 525 | 625 | |
Louisville Gas & Electric Co. | 4.375% | 10/1/45 | 900 | 1,036 | |
MidAmerican Energy Co. | 6.750% | 12/30/31 | 1,655 | 2,305 | |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 1,550 | 2,018 | |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 1,930 | 2,526 | |
MidAmerican Energy Co. | 4.800% | 9/15/43 | 1,290 | 1,572 | |
MidAmerican Energy Co. | 4.400% | 10/15/44 | 920 | 1,066 | |
MidAmerican Energy Co. | 4.250% | 5/1/46 | 129 | 147 | |
MidAmerican Funding LLC | 6.927% | 3/1/29 | 150 | 211 | |
Mississippi Power Co. | 4.250% | 3/15/42 | 1,750 | 1,565 | |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 3,699 | 3,984 | |
Nevada Power Co. | 6.650% | 4/1/36 | 775 | 1,075 | |
Nevada Power Co. | 6.750% | 7/1/37 | 1,295 | 1,790 | |
Nevada Power Co. | 5.375% | 9/15/40 | 1,210 | 1,516 | |
Nevada Power Co. | 5.450% | 5/15/41 | 1,230 | 1,561 | |
Northern States Power Co. | 5.250% | 7/15/35 | 1,180 | 1,505 | |
Northern States Power Co. | 6.250% | 6/1/36 | 1,175 | 1,635 | |
Northern States Power Co. | 6.200% | 7/1/37 | 1,200 | 1,692 | |
Northern States Power Co. | 5.350% | 11/1/39 | 625 | 817 | |
Northern States Power Co. | 4.850% | 8/15/40 | 1,360 | 1,682 | |
Northern States Power Co. | 3.400% | 8/15/42 | 1,515 | 1,538 | |
Northern States Power Co. | 4.125% | 5/15/44 | 1,450 | 1,638 | |
Northern States Power Co. | 4.000% | 8/15/45 | 1,000 | 1,130 | |
Northern States Power Co. | 3.600% | 5/15/46 | 1,325 | 1,394 | |
NorthWestern Corp. | 4.176% | 11/15/44 | 1,380 | 1,515 | |
NSTAR Electric Co. | 5.500% | 3/15/40 | 1,705 | 2,217 | |
NSTAR Electric Co. | 4.400% | 3/1/44 | 610 | 705 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 1,165 | 1,452 | |
Oglethorpe Power Corp. | 5.375% | 11/1/40 | 1,655 | 1,998 | |
Oglethorpe Power Corp. | 4.200% | 12/1/42 | 485 | 509 | |
Oglethorpe Power Corp. | 4.550% | 6/1/44 | 1,770 | 1,913 | |
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 925 | 976 | |
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 440 | 511 | |
Ohio Edison Co. | 6.875% | 7/15/36 | 2,610 | 3,273 | |
Ohio Edison Co. | 8.250% | 10/15/38 | 475 | 715 | |
Ohio Power Co. | 6.600% | 2/15/33 | 945 | 1,224 | |
Ohio Power Co. | 5.850% | 10/1/35 | 1,080 | 1,323 | |
Oklahoma Gas & Electric Co. | 5.850% | 6/1/40 | 460 | 593 | |
Oklahoma Gas & Electric Co. | 5.250% | 5/15/41 | 555 | 681 | |
Oklahoma Gas & Electric Co. | 3.900% | 5/1/43 | 1,251 | 1,269 | |
Oklahoma Gas & Electric Co. | 4.550% | 3/15/44 | 655 | 756 | |
Oklahoma Gas & Electric Co. | 4.000% | 12/15/44 | 1,300 | 1,382 | |
Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 1,845 | 2,568 | |
Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 1,140 | 1,644 |
96
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 1,050 | 1,532 |
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 1,440 | 1,781 |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 1,130 | 1,279 |
Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 1,490 | 1,877 |
Oncor Electric Delivery Co. LLC | 3.750% | 4/1/45 | 1,495 | 1,542 |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 10,198 | 13,596 |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 2,925 | 3,820 |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 2,345 | 3,182 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 1,955 | 2,659 |
Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 2,295 | 2,924 |
Pacific Gas & Electric Co. | 4.500% | 12/15/41 | 595 | 674 |
Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 1,650 | 1,857 |
Pacific Gas & Electric Co. | 4.600% | 6/15/43 | 1,245 | 1,427 |
Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 2,180 | 2,642 |
Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 1,730 | 2,045 |
Pacific Gas & Electric Co. | 4.300% | 3/15/45 | 1,765 | 1,984 |
Pacific Gas & Electric Co. | 4.250% | 3/15/46 | 1,938 | 2,156 |
PacifiCorp | 7.700% | 11/15/31 | 1,120 | 1,738 |
PacifiCorp | 5.250% | 6/15/35 | 1,385 | 1,708 |
PacifiCorp | 6.100% | 8/1/36 | 570 | 767 |
PacifiCorp | 5.750% | 4/1/37 | 2,130 | 2,787 |
PacifiCorp | 6.250% | 10/15/37 | 2,353 | 3,251 |
PacifiCorp | 6.350% | 7/15/38 | 1,190 | 1,673 |
PacifiCorp | 6.000% | 1/15/39 | 2,620 | 3,544 |
PacifiCorp | 4.100% | 2/1/42 | 960 | 1,060 |
Peco Energy Co. | 5.950% | 10/1/36 | 1,140 | 1,515 |
Peco Energy Co. | 4.150% | 10/1/44 | 1,890 | 2,119 |
Pennsylvania Electric Co. | 6.150% | 10/1/38 | 1,140 | 1,309 |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 1,945 | 2,727 |
Potomac Electric Power Co. | 7.900% | 12/15/38 | 60 | 94 |
Potomac Electric Power Co. | 4.150% | 3/15/43 | 1,690 | 1,842 |
PPL Capital Funding Inc. | 4.700% | 6/1/43 | 1,775 | 1,931 |
PPL Capital Funding Inc. | 5.000% | 3/15/44 | 1,235 | 1,402 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 1,665 | 2,344 |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 1,675 | 2,117 |
PPL Electric Utilities Corp. | 4.750% | 7/15/43 | 75 | 91 |
PPL Electric Utilities Corp. | 4.125% | 6/15/44 | 1,020 | 1,131 |
Progress Energy Inc. | 7.750% | 3/1/31 | 2,480 | 3,475 |
Progress Energy Inc. | 7.000% | 10/30/31 | 1,225 | 1,647 |
Progress Energy Inc. | 6.000% | 12/1/39 | 1,525 | 1,944 |
PSEG Power LLC | 8.625% | 4/15/31 | 1,660 | 2,076 |
Public Service Co. of Colorado | 6.500% | 8/1/38 | 400 | 579 |
Public Service Co. of Colorado | 4.750% | 8/15/41 | 1,255 | 1,517 |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 1,765 | 1,838 |
Public Service Co. of Colorado | 3.950% | 3/15/43 | 205 | 224 |
Public Service Co. of Colorado | 4.300% | 3/15/44 | 1,875 | 2,157 |
Public Service Co. of Oklahoma | 6.625% | 11/15/37 | 525 | 678 |
Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 1,435 | 1,924 |
Public Service Electric & Gas Co. | 5.375% | 11/1/39 | 2,261 | 2,936 |
Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 2,195 | 2,436 |
Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 1,320 | 1,395 |
Public Service Electric & Gas Co. | 4.000% | 6/1/44 | 835 | 934 |
Public Service Electric & Gas Co. | 4.050% | 5/1/45 | 1,301 | 1,468 |
Public Service Electric & Gas Co. | 4.150% | 11/1/45 | 1,177 | 1,344 |
Public Service Electric & Gas Co. | 3.800% | 3/1/46 | 2,472 | 2,684 |
Puget Sound Energy Inc. | 7.020% | 12/1/27 | 1,461 | 2,005 |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 855 | 1,070 |
Puget Sound Energy Inc. | 6.724% | 6/15/36 | 275 | 394 |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 1,470 | 2,026 |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 1,400 | 1,880 |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 720 | 979 |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 965 | 1,297 |
Puget Sound Energy Inc. | 5.638% | 4/15/41 | 915 | 1,208 |
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 451 | 516 |
97
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 1,385 | 1,587 | |
San Diego Gas & Electric Co. | 5.350% | 5/15/35 | 800 | 1,005 | |
San Diego Gas & Electric Co. | 6.125% | 9/15/37 | 1,046 | 1,446 | |
San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 485 | 661 | |
San Diego Gas & Electric Co. | 5.350% | 5/15/40 | 1,160 | 1,493 | |
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 1,660 | 1,937 | |
San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 980 | 1,065 | |
San Diego Gas & Electric Co. | 4.300% | 4/1/42 | 1,150 | 1,322 | |
Sierra Pacific Power Co. | 6.750% | 7/1/37 | 885 | 1,267 | |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 850 | 1,124 | |
South Carolina Electric & Gas Co. | 5.300% | 5/15/33 | 1,475 | 1,757 | |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 1,825 | 2,351 | |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 1,015 | 1,262 | |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 1,835 | 1,995 | |
South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 1,455 | 1,647 | |
South Carolina Electric & Gas Co. | 4.100% | 6/15/46 | 385 | 407 | |
South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 1,750 | 1,816 | |
South Carolina Electric & Gas Co. | 5.100% | 6/1/65 | 1,590 | 1,837 | |
Southern California Edison Co. | 6.650% | 4/1/29 | 2,125 | 2,848 | |
Southern California Edison Co. | 6.000% | 1/15/34 | 1,185 | 1,565 | |
Southern California Edison Co. | 5.750% | 4/1/35 | 1,250 | 1,627 | |
Southern California Edison Co. | 5.350% | 7/15/35 | 2,345 | 2,917 | |
Southern California Edison Co. | 5.550% | 1/15/36 | 300 | 382 | |
Southern California Edison Co. | 5.625% | 2/1/36 | 1,585 | 2,051 | |
Southern California Edison Co. | 5.550% | 1/15/37 | 690 | 896 | |
Southern California Edison Co. | 5.950% | 2/1/38 | 2,090 | 2,821 | |
Southern California Edison Co. | 6.050% | 3/15/39 | 475 | 654 | |
Southern California Edison Co. | 5.500% | 3/15/40 | 305 | 400 | |
Southern California Edison Co. | 4.500% | 9/1/40 | 1,955 | 2,264 | |
Southern California Edison Co. | 3.900% | 12/1/41 | 3,210 | 3,446 | |
Southern California Edison Co. | 4.050% | 3/15/42 | 2,445 | 2,679 | |
Southern California Edison Co. | 3.900% | 3/15/43 | 425 | 460 | |
Southern California Edison Co. | 4.650% | 10/1/43 | 1,830 | 2,222 | |
Southern California Edison Co. | 3.600% | 2/1/45 | 1,415 | 1,474 | |
Southern Co. | 3.250% | 7/1/26 | 5,850 | 6,080 | |
Southern Co. | 4.250% | 7/1/36 | 1,950 | 2,064 | |
Southern Co. | 4.400% | 7/1/46 | 6,500 | 6,948 | |
Southern Power Co. | 5.150% | 9/15/41 | 1,570 | 1,690 | |
Southern Power Co. | 5.250% | 7/15/43 | 1,905 | 2,079 | |
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 1,135 | 1,414 | |
Southwestern Electric Power Co. | 3.900% | 4/1/45 | 910 | 902 | |
Southwestern Public Service Co. | 6.000% | 10/1/36 | 300 | 383 | |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 1,630 | 1,897 | |
Tampa Electric Co. | 6.550% | 5/15/36 | 780 | 1,073 | |
Tampa Electric Co. | 6.150% | 5/15/37 | 1,025 | 1,369 | |
Tampa Electric Co. | 4.100% | 6/15/42 | 1,250 | 1,339 | |
Tampa Electric Co. | 4.350% | 5/15/44 | 185 | 206 | |
Tampa Electric Co. | 4.200% | 5/15/45 | 1,480 | 1,615 | |
Toledo Edison Co. | 6.150% | 5/15/37 | 385 | 474 | |
TransAlta Corp. | 6.500% | 3/15/40 | 590 | 443 | |
Tri-State Generation & Transmission Assn. Inc. | 4.700% | 11/1/44 | 805 | 895 | |
3 | Tri-State Generation & Transmission Assn. Inc. | 4.250% | 6/1/46 | 975 | 1,034 |
Union Electric Co. | 5.300% | 8/1/37 | 1,640 | 2,048 | |
Union Electric Co. | 8.450% | 3/15/39 | 440 | 732 | |
Union Electric Co. | 3.900% | 9/15/42 | 1,670 | 1,801 | |
Union Electric Co. | 3.650% | 4/15/45 | 1,410 | 1,460 | |
Virginia Electric & Power Co. | 6.000% | 1/15/36 | 1,885 | 2,483 | |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 2,045 | 2,734 | |
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 1,925 | 2,663 | |
Virginia Electric & Power Co. | 8.875% | 11/15/38 | 1,950 | 3,270 | |
Virginia Electric & Power Co. | 4.000% | 1/15/43 | 1,725 | 1,845 | |
Virginia Electric & Power Co. | 4.650% | 8/15/43 | 1,485 | 1,761 | |
Virginia Electric & Power Co. | 4.450% | 2/15/44 | 1,845 | 2,113 | |
Virginia Electric & Power Co. | 4.200% | 5/15/45 | 1,298 | 1,446 |
98
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Westar Energy Inc. | 2.550% | 7/1/26 | 1,825 | 1,827 |
Westar Energy Inc. | 4.125% | 3/1/42 | 1,355 | 1,492 |
Westar Energy Inc. | 4.100% | 4/1/43 | 1,475 | 1,611 |
Westar Energy Inc. | 4.625% | 9/1/43 | 1,240 | 1,468 |
Westar Energy Inc. | 4.250% | 12/1/45 | 575 | 649 |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 620 | 789 |
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 750 | 982 |
Wisconsin Electric Power Co. | 3.650% | 12/15/42 | 375 | 392 |
Wisconsin Electric Power Co. | 4.250% | 6/1/44 | 805 | 904 |
Wisconsin Electric Power Co. | 4.300% | 12/15/45 | 1,025 | 1,172 |
Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 890 | 1,248 |
Wisconsin Power & Light Co. | 4.100% | 10/15/44 | 1,970 | 2,176 |
Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 1,105 | 1,147 |
Wisconsin Public Service Corp. | 4.752% | 11/1/44 | 2,380 | 2,906 |
Xcel Energy Inc. | 6.500% | 7/1/36 | 1,700 | 2,266 |
Xcel Energy Inc. | 4.800% | 9/15/41 | 685 | 785 |
Natural Gas (0.4%) | ||||
AGL Capital Corp. | 6.000% | 10/1/34 | 850 | 1,047 |
AGL Capital Corp. | 5.875% | 3/15/41 | 2,805 | 3,423 |
AGL Capital Corp. | 4.400% | 6/1/43 | 1,350 | 1,384 |
Atmos Energy Corp. | 5.500% | 6/15/41 | 1,575 | 2,007 |
Atmos Energy Corp. | 4.150% | 1/15/43 | 1,680 | 1,821 |
Atmos Energy Corp. | 4.125% | 10/15/44 | 1,450 | 1,581 |
CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 600 | 739 |
CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 1,600 | 1,858 |
KeySpan Corp. | 8.000% | 11/15/30 | 875 | 1,237 |
KeySpan Corp. | 5.803% | 4/1/35 | 1,000 | 1,214 |
NiSource Finance Corp. | 6.250% | 12/15/40 | 2,730 | 3,553 |
NiSource Finance Corp. | 5.950% | 6/15/41 | 2,875 | 3,595 |
Nisource Finance Corp. | 5.250% | 2/15/43 | 1,650 | 1,985 |
NiSource Finance Corp. | 4.800% | 2/15/44 | 1,825 | 2,097 |
ONE Gas Inc. | 4.658% | 2/1/44 | 1,782 | 2,054 |
Piedmont Natural Gas Co. Inc. | 4.100% | 9/18/34 | 850 | 905 |
Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 850 | 962 |
Sempra Energy | 6.000% | 10/15/39 | 3,461 | 4,261 |
Southern California Gas Co. | 5.750% | 11/15/35 | 75 | 96 |
Southern California Gas Co. | 3.750% | 9/15/42 | 1,550 | 1,643 |
Southern California Gas Co. | 4.450% | 3/15/44 | 1,525 | 1,795 |
Spire Inc. | 4.700% | 8/15/44 | 850 | 895 |
Other Utility (0.1%) | ||||
American Water Capital Corp. | 6.593% | 10/15/37 | 2,677 | 3,834 |
American Water Capital Corp. | 4.300% | 12/1/42 | 1,300 | 1,465 |
American Water Capital Corp. | 4.300% | 9/1/45 | 1,000 | 1,143 |
United Utilities plc | 6.875% | 8/15/28 | 1,325 | 1,564 |
Veolia Environnement SA | 6.750% | 6/1/38 | 1,525 | 2,013 |
663,603 | ||||
Total Corporate Bonds (Cost $4,525,352) | 4,989,223 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (5.1%) | ||||
Asian Development Bank | 6.220% | 8/15/27 | 2,275 | 3,195 |
Asian Development Bank | 5.820% | 6/16/28 | 1,480 | 2,015 |
CNOOC Finance 2013 Ltd. | 4.250% | 5/9/43 | 1,925 | 1,941 |
CNOOC Finance 2015 Australia Pty Ltd. | 4.200% | 5/5/45 | 500 | 504 |
CNOOC Nexen Finance 2014 ULC | 4.875% | 4/30/44 | 2,300 | 2,574 |
Ecopetrol SA | 5.375% | 6/26/26 | 2,100 | 2,027 |
Ecopetrol SA | 7.375% | 9/18/43 | 1,800 | 1,796 |
Ecopetrol SA | 5.875% | 5/28/45 | 7,125 | 6,190 |
European Investment Bank | 4.875% | 2/15/36 | 3,060 | 4,153 |
Export-Import Bank of Korea | 3.250% | 8/12/26 | 3,900 | 4,147 |
Hydro-Quebec | 8.500% | 12/1/29 | 1,321 | 2,121 |
Inter-American Development Bank | 3.875% | 10/28/41 | 1,730 | 2,130 |
Inter-American Development Bank | 3.200% | 8/7/42 | 1,780 | 1,953 |
99
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Inter-American Development Bank | 4.375% | 1/24/44 | 1,328 | 1,777 | |
International Bank for Reconstruction & Development | 4.750% | 2/15/35 | 1,725 | 2,306 | |
5 | KFW | 0.000% | 4/18/36 | 11,625 | 6,961 |
5 | KFW | 0.000% | 6/29/37 | 2,575 | 1,467 |
Korea Electric Power Corp. | 7.000% | 2/1/27 | 750 | 1,019 | |
Nexen Energy ULC | 7.875% | 3/15/32 | 1,800 | 2,484 | |
Nexen Energy ULC | 5.875% | 3/10/35 | 2,650 | 3,115 | |
Nexen Energy ULC | 6.400% | 5/15/37 | 4,055 | 5,059 | |
Nexen Energy ULC | 7.500% | 7/30/39 | 2,025 | 2,808 | |
4 | Oriental Republic of Uruguay | 4.375% | 10/27/27 | 4,000 | 4,210 |
4 | Oriental Republic of Uruguay | 7.625% | 3/21/36 | 2,043 | 2,748 |
4 | Oriental Republic of Uruguay | 4.125% | 11/20/45 | 2,600 | 2,317 |
4 | Oriental Republic of Uruguay | 5.100% | 6/18/50 | 13,350 | 13,304 |
3 | Petroleos Mexicanos | 6.875% | 8/4/26 | 9,500 | 10,613 |
Petroleos Mexicanos | 6.625% | 6/15/35 | 9,970 | 10,326 | |
Petroleos Mexicanos | 6.625% | 6/15/38 | 2,575 | 2,610 | |
Petroleos Mexicanos | 6.500% | 6/2/41 | 11,300 | 11,455 | |
Petroleos Mexicanos | 5.500% | 6/27/44 | 13,115 | 11,888 | |
Petroleos Mexicanos | 6.375% | 1/23/45 | 9,350 | 9,357 | |
Petroleos Mexicanos | 5.625% | 1/23/46 | 9,850 | 8,977 | |
Province of British Columbia | 7.250% | 9/1/36 | 500 | 819 | |
Quebec | 7.500% | 9/15/29 | 7,815 | 11,882 | |
Republic of Chile | 3.625% | 10/30/42 | 3,700 | 3,697 | |
Republic of Colombia | 10.375% | 1/28/33 | 1,025 | 1,536 | |
Republic of Colombia | 7.375% | 9/18/37 | 6,637 | 8,603 | |
Republic of Colombia | 6.125% | 1/18/41 | 8,325 | 9,603 | |
4 | Republic of Colombia | 5.625% | 2/26/44 | 8,575 | 9,475 |
4 | Republic of Colombia | 5.000% | 6/15/45 | 7,850 | 8,144 |
Republic of Italy | 5.375% | 6/15/33 | 5,825 | 7,046 | |
Republic of Korea | 4.125% | 6/10/44 | 2,150 | 2,840 | |
Republic of Panama | 8.875% | 9/30/27 | 2,560 | 3,757 | |
4 | Republic of Panama | 3.875% | 3/17/28 | 3,500 | 3,692 |
Republic of Panama | 9.375% | 4/1/29 | 3,485 | 5,315 | |
4 | Republic of Panama | 6.700% | 1/26/36 | 6,301 | 8,357 |
4 | Republic of Panama | 4.300% | 4/29/53 | 3,050 | 3,111 |
Republic of Peru | 4.125% | 8/25/27 | 5,200 | 5,691 | |
Republic of Peru | 8.750% | 11/21/33 | 8,150 | 12,800 | |
4 | Republic of Peru | 6.550% | 3/14/37 | 4,425 | 5,945 |
Republic of Peru | 5.625% | 11/18/50 | 7,340 | 9,125 | |
Republic of South Africa | 6.250% | 3/8/41 | 1,975 | 2,269 | |
Republic of South Africa | 5.375% | 7/24/44 | 2,100 | 2,170 | |
Republic of the Philippines | 9.500% | 2/2/30 | 5,700 | 9,753 | |
Republic of the Philippines | 7.750% | 1/14/31 | 8,225 | 12,737 | |
Republic of the Philippines | 6.375% | 1/15/32 | 4,700 | 6,628 | |
Republic of the Philippines | 6.375% | 10/23/34 | 9,175 | 13,304 | |
Republic of the Philippines | 5.000% | 1/13/37 | 4,375 | 5,559 | |
Republic of the Philippines | 3.950% | 1/20/40 | 8,702 | 10,014 | |
Republic of the Philippines | 3.700% | 3/1/41 | 500 | 557 | |
Republic of Turkey | 4.875% | 10/9/26 | 4,400 | 4,638 | |
Republic of Turkey | 11.875% | 1/15/30 | 4,150 | 7,227 | |
Republic of Turkey | 8.000% | 2/14/34 | 5,675 | 7,634 | |
Republic of Turkey | 6.875% | 3/17/36 | 10,700 | 13,023 | |
Republic of Turkey | 7.250% | 3/5/38 | 2,900 | 3,693 | |
Republic of Turkey | 6.750% | 5/30/40 | 6,300 | 7,639 | |
Republic of Turkey | 6.000% | 1/14/41 | 11,989 | 13,386 | |
Republic of Turkey | 4.875% | 4/16/43 | 12,780 | 12,477 | |
Republic of Turkey | 6.625% | 2/17/45 | 5,675 | 6,877 | |
State of Israel | 4.500% | 1/30/43 | 5,700 | 6,416 | |
Statoil ASA | 7.250% | 9/23/27 | 3,000 | 4,118 | |
Statoil ASA | 6.800% | 1/15/28 | 185 | 246 | |
Statoil ASA | 7.150% | 1/15/29 | 1,290 | 1,787 | |
Statoil ASA | 5.100% | 8/17/40 | 3,209 | 3,847 | |
Statoil ASA | 4.250% | 11/23/41 | 1,925 | 2,049 | |
Statoil ASA | 3.950% | 5/15/43 | 1,770 | 1,836 |
100
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Statoil ASA | 4.800% | 11/8/43 | 2,360 | 2,737 |
United Mexican States | 8.300% | 8/15/31 | 3,160 | 5,044 |
United Mexican States | 7.500% | 4/8/33 | 2,440 | 3,508 |
United Mexican States | 6.750% | 9/27/34 | 7,972 | 10,728 |
United Mexican States | 6.050% | 1/11/40 | 12,300 | 15,467 |
United Mexican States | 4.750% | 3/8/44 | 14,565 | 15,573 |
United Mexican States | 5.550% | 1/21/45 | 9,980 | 11,951 |
United Mexican States | 4.600% | 1/23/46 | 10,351 | 10,852 |
United Mexican States | 5.750% | 10/12/10 | 8,050 | 8,845 |
Total Sovereign Bonds (Cost $479,974) | 515,574 | |||
Taxable Municipal Bonds (5.0%) | ||||
Alameda County CA Joint Powers Authority Lease | ||||
Revenue | 7.046% | 12/1/44 | 1,100 | 1,616 |
American Municipal Power Ohio Inc. Revenue | ||||
(Hydroelectric Projects) | 6.449% | 2/15/44 | 680 | 912 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 7.834% | 2/15/41 | 645 | 985 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 6.053% | 2/15/43 | 550 | 714 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 5.939% | 2/15/47 | 2,800 | 3,570 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 6.270% | 2/15/50 | 450 | 589 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 7.499% | 2/15/50 | 175 | 258 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 8.084% | 2/15/50 | 2,995 | 4,862 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.793% | 4/1/30 | 600 | 792 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.918% | 4/1/40 | 1,095 | 1,602 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.263% | 4/1/49 | 4,400 | 6,720 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 7.043% | 4/1/50 | 2,800 | 4,400 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.907% | 10/1/50 | 1,840 | 2,895 |
California GO | 7.700% | 11/1/30 | 1,260 | 1,549 |
California GO | 7.500% | 4/1/34 | 6,780 | 10,284 |
California GO | 7.950% | 3/1/36 | 1,450 | 1,762 |
California GO | 7.550% | 4/1/39 | 10,500 | 16,614 |
California GO | 7.300% | 10/1/39 | 5,405 | 8,179 |
California GO | 7.350% | 11/1/39 | 3,425 | 5,208 |
California GO | 7.625% | 3/1/40 | 4,815 | 7,596 |
California GO | 7.600% | 11/1/40 | 5,750 | 9,301 |
California Public Works Board Lease Revenue (Various | ||||
Capital Projects) | 8.361% | 10/1/34 | 725 | 1,121 |
Central Puget Sound WA Regional Transit Authority | ||||
Sales & Use Tax Revenue | 5.491% | 11/1/39 | 800 | 1,083 |
Chicago IL GO | 7.375% | 1/1/33 | 2,600 | 2,736 |
Chicago IL GO | 7.781% | 1/1/35 | 675 | 735 |
Chicago IL GO | 5.432% | 1/1/42 | 900 | 768 |
Chicago IL GO | 6.314% | 1/1/44 | 1,050 | 980 |
Chicago IL Metropolitan Water Reclamation District GO | 5.720% | 12/1/38 | 1,655 | 2,056 |
Chicago IL O'Hare International Airport Revenue | 6.845% | 1/1/38 | 625 | 711 |
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 1,275 | 1,813 |
Chicago IL Transit Authority Sales Tax Receipts | ||||
Revenue | 6.200% | 12/1/40 | 1,450 | 1,781 |
Chicago IL Transit Authority Transfer Tax Receipts | ||||
Revenue | 6.899% | 12/1/40 | 5,650 | 7,360 |
Chicago IL Wastewater Transmission Revenue | 6.900% | 1/1/40 | 1,075 | 1,403 |
Chicago IL Water Revenue | 6.742% | 11/1/40 | 1,200 | 1,558 |
101
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Clark County NV Airport System Revenue | 6.881% | 7/1/42 | 1,650 | 1,888 | |
Clark County NV Airport System Revenue | 6.820% | 7/1/45 | 1,400 | 2,164 | |
Colorado Bridge Enterprise Revenue | 6.078% | 12/1/40 | 880 | 1,197 | |
Commonwealth Financing Authority Pennsylvania | |||||
Revenue | 6.218% | 6/1/39 | 1,190 | 1,502 | |
Connecticut GO | 5.632% | 12/1/29 | 2,000 | 2,510 | |
Connecticut GO | 5.090% | 10/1/30 | 750 | 895 | |
Connecticut GO | 5.850% | 3/15/32 | 3,350 | 4,357 | |
Connecticut Special Tax Revenue (Transportation | |||||
Infrastructure) | 5.459% | 11/1/30 | 900 | 1,112 | |
Cook County IL GO | 6.229% | 11/15/34 | 1,050 | 1,286 | |
Curators of the University of Missouri System Facilities | |||||
Revenue | 5.960% | 11/1/39 | 1,220 | 1,675 | |
Curators of the University of Missouri System Facilities | |||||
Revenue | 5.792% | 11/1/41 | 420 | 601 | |
Dallas County TX Hospital District Revenue | 5.621% | 8/15/44 | 850 | 1,144 | |
Dallas TX Area Rapid Transit Revenue | 4.922% | 12/1/41 | 890 | 1,131 | |
Dallas TX Area Rapid Transit Revenue | 5.999% | 12/1/44 | 1,745 | 2,523 | |
Dallas TX Area Rapid Transit Revenue | 5.022% | 12/1/48 | 1,665 | 2,200 | |
Dallas TX Convention Center Hotel Development Corp. | |||||
Hotel Revenue | 7.088% | 1/1/42 | 1,640 | 2,313 | |
Dallas TX Independent School District GO | 6.450% | 2/15/35 | 1,495 | 1,788 | |
Denver CO City & County School District No. 1 COP | 4.242% | 12/15/37 | 800 | 888 | |
Denver CO City & County School District No. 1 COP | 7.017% | 12/15/37 | 850 | 1,221 | |
Denver CO City & County School District No. 1 GO | 5.664% | 12/1/33 | 525 | 698 | |
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 675 | 885 | |
District of Columbia Income Tax Revenue | 5.582% | 12/1/35 | 735 | 973 | |
District of Columbia Water & Sewer Authority Public | |||||
Utility Revenue | 5.522% | 10/1/44 | 575 | 751 | |
District of Columbia Water & Sewer Authority Public | |||||
Utility Revenue | 4.814% | 10/1/14 | 1,575 | 1,839 | |
East Baton Rouge LA Sewer Commission Revenue | 6.087% | 2/1/45 | 700 | 781 | |
East Bay CA Municipal Utility District Water System | |||||
Revenue | 5.874% | 6/1/40 | 1,590 | 2,191 | |
George Washington University District of Columbia GO | 4.300% | 9/15/44 | 2,325 | 2,547 | |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 5,107 | 6,725 | |
Georgia Municipal Electric Power Authority Revenue | 6.655% | 4/1/57 | 2,825 | 3,674 | |
Georgia Municipal Electric Power Authority Revenue | 7.055% | 4/1/57 | 850 | 1,025 | |
Grand Parkway Transportation Corp. Texas System Toll | |||||
Revenue | 5.184% | 10/1/42 | 1,000 | 1,303 | |
Houston TX GO | 6.290% | 3/1/32 | 1,745 | 2,239 | |
Houston TX Utility System Revenue | 3.828% | 5/15/28 | 1,200 | 1,353 | |
Illinois GO | 5.100% | 6/1/33 | 24,940 | 23,941 | |
Illinois GO | 6.630% | 2/1/35 | 1,770 | 1,892 | |
Illinois GO | 6.725% | 4/1/35 | 2,000 | 2,159 | |
Illinois GO | 7.350% | 7/1/35 | 2,055 | 2,300 | |
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 1,670 | 2,248 | |
Illinois Toll Highway Authority Revenue | 5.851% | 12/1/34 | 600 | 802 | |
Indianapolis IN Local Public Improvement Revenue | 6.116% | 1/15/40 | 1,075 | 1,500 | |
6 | Industry CA Sales Tax Revenue | 5.125% | 1/1/51 | 1,000 | 1,099 |
JobsOhio Beverage System Statewide Liquor Profits | |||||
Revenue | 3.985% | 1/1/29 | 1,725 | 1,948 | |
JobsOhio Beverage System Statewide Liquor Profits | |||||
Revenue | 4.532% | 1/1/35 | 1,050 | 1,228 | |
Kansas Department of Transportation Highway | |||||
Revenue | 4.596% | 9/1/35 | 1,225 | 1,477 | |
Kansas Development Finance Authority Revenue | 4.727% | 4/15/37 | 1,700 | 1,885 | |
6 | Kansas Development Finance Authority Revenue | ||||
(Public Employees Retirement System) | 5.501% | 5/1/34 | 500 | 614 | |
Los Angeles CA Community College District GO | 6.600% | 8/1/42 | 1,550 | 2,368 | |
Los Angeles CA Community College District GO | 6.750% | 8/1/49 | 1,950 | 3,105 | |
Los Angeles CA Department of Airports International | |||||
Airport Revenue | 6.582% | 5/15/39 | 905 | 1,260 |
102
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Los Angeles CA Department of Water & Power | |||||
Revenue | 5.716% | 7/1/39 | 1,825 | 2,415 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.008% | 7/1/39 | 795 | 1,063 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.166% | 7/1/40 | 625 | 721 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.574% | 7/1/45 | 1,575 | 2,376 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.603% | 7/1/50 | 1,500 | 2,331 | |
Los Angeles CA Unified School District GO | 5.755% | 7/1/29 | 1,140 | 1,473 | |
Los Angeles CA Unified School District GO | 5.750% | 7/1/34 | 4,345 | 5,753 | |
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 2,760 | 3,978 | |
Los Angeles County CA Metropolitan Transportation | |||||
Authority Sales Tax Revenue | 5.735% | 6/1/39 | 2,300 | 3,042 | |
Los Angeles County CA Public Works Financing | |||||
Authority Lease Revenue | 7.488% | 8/1/33 | 1,760 | 2,489 | |
Los Angeles County CA Public Works Financing | |||||
Authority Lease Revenue | 7.618% | 8/1/40 | 700 | 1,078 | |
Maryland Transportation Authority Facilities Projects | |||||
Revenue | 5.888% | 7/1/43 | 850 | 1,153 | |
Massachusetts GO | 4.500% | 8/1/31 | 1,500 | 1,778 | |
Massachusetts GO | 5.456% | 12/1/39 | 3,135 | 4,255 | |
Massachusetts School Building Authority Dedicated | |||||
Sales Tax Revenue | 5.715% | 8/15/39 | 1,530 | 2,014 | |
Massachusetts Transportation Fund Revenue | 5.731% | 6/1/40 | 1,515 | 2,070 | |
Massachusetts Water Pollution Abatement Trust | |||||
Revenue | 5.192% | 8/1/40 | 900 | 1,116 | |
Metropolitan Government of Nashville & Davidson | |||||
County TN Convention Center Authority Tourism Tax | |||||
Revenue | 6.731% | 7/1/43 | 1,000 | 1,386 | |
Metropolitan Government of Nashville & Davidson | |||||
County TN GO | 5.707% | 7/1/34 | 1,200 | 1,539 | |
Metropolitan Washington DC/VA Airports Authority | |||||
Dulles Toll Road Revenue | 7.462% | 10/1/46 | 1,755 | 2,714 | |
Metropolitan Water District of Southern California | |||||
Revenue | 6.947% | 7/1/40 | 575 | 689 | |
Mississippi GO | 5.245% | 11/1/34 | 1,100 | 1,392 | |
Missouri Highways & Transportation Commission Road | |||||
Revenue | 5.445% | 5/1/33 | 600 | 766 | |
7 | New Jersey Economic Development Authority | ||||
Revenue (State Pension Funding) | 7.425% | 2/15/29 | 5,750 | 7,110 | |
New Jersey Transportation Trust Fund Authority | |||||
Transportation System Revenue | 5.754% | 12/15/28 | 2,500 | 2,704 | |
New Jersey Transportation Trust Fund Authority | |||||
Transportation System Revenue | 6.104% | 12/15/28 | 2,660 | 2,902 | |
New Jersey Transportation Trust Fund Authority | |||||
Transportation System Revenue | 6.561% | 12/15/40 | 1,425 | 1,689 | |
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 4,639 | 7,262 | |
New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 6,060 | 9,215 | |
New York City NY GO | 5.206% | 10/1/31 | 1,070 | 1,319 | |
New York City NY GO | 6.646% | 12/1/31 | 400 | 477 | |
New York City NY GO | 6.246% | 6/1/35 | 1,075 | 1,237 | |
New York City NY GO | 5.968% | 3/1/36 | 1,265 | 1,723 | |
New York City NY GO | 5.985% | 12/1/36 | 625 | 840 | |
New York City NY GO | 5.517% | 10/1/37 | 1,175 | 1,534 | |
New York City NY GO | 6.271% | 12/1/37 | 2,020 | 2,852 | |
New York City NY GO | 5.846% | 6/1/40 | 550 | 762 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.750% | 6/15/41 | 1,075 | 1,486 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.790% | 6/15/41 | 500 | 561 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.724% | 6/15/42 | 1,580 | 2,199 |
103
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.952% | 6/15/42 | 800 | 1,144 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 6.011% | 6/15/42 | 1,500 | 2,157 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.440% | 6/15/43 | 1,845 | 2,505 |
New York City NY Municipal Water Finance Authority | ||||
Water & Sewer System Revenue | 5.882% | 6/15/44 | 2,070 | 2,975 |
New York City NY Transitional Finance Authority | ||||
Building Aid Revenue | 6.828% | 7/15/40 | 1,100 | 1,574 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.267% | 5/1/27 | 250 | 306 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.767% | 8/1/36 | 775 | 1,016 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.508% | 8/1/37 | 2,215 | 2,900 |
New York City NY Transitional Finance Authority Future | ||||
Tax Revenue | 5.572% | 11/1/38 | 1,150 | 1,506 |
New York Metropolitan Transportation Authority | ||||
Revenue | 6.687% | 11/15/40 | 730 | 1,052 |
New York Metropolitan Transportation Authority | ||||
Revenue | 6.814% | 11/15/40 | 65 | 95 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 3,325 | 5,271 |
New York Metropolitan Transportation Authority | ||||
Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 575 | 789 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 6.548% | 11/15/31 | 500 | 679 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 5.871% | 11/15/39 | 700 | 919 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 6.648% | 11/15/39 | 1,750 | 2,488 |
New York Metropolitan Transportation Authority | ||||
Revenue (Transit Revenue) | 6.668% | 11/15/39 | 2,345 | 3,379 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.500% | 3/15/30 | 2,750 | 3,491 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.289% | 3/15/33 | 500 | 630 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.427% | 3/15/39 | 500 | 654 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.628% | 3/15/39 | 2,580 | 3,422 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.389% | 3/15/40 | 735 | 974 |
New York State Dormitory Authority Revenue (Personal | ||||
Income Tax) | 5.600% | 3/15/40 | 200 | 270 |
New York State Urban Development Corp. Revenue | ||||
(Personal Income Tax) | 5.770% | 3/15/39 | 1,625 | 2,084 |
New York State Urban Development Corp. Revenue | ||||
(Personal Income Tax) | 5.838% | 3/15/40 | 625 | 821 |
New York University Hospitals Center GO | 4.428% | 7/1/42 | 1,531 | 1,679 |
New York University Hospitals Center Revenue | 5.750% | 7/1/43 | 925 | 1,219 |
North Carolina Turnpike Authority Revenue | 6.700% | 1/1/39 | 170 | 190 |
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 3,135 | 4,803 |
Ohio State University General Receipts Revenue | 4.910% | 6/1/40 | 2,175 | 2,755 |
Ohio State University General Receipts Revenue | 3.798% | 12/1/46 | 1,700 | 1,851 |
Ohio State University General Receipts Revenue | 4.800% | 6/1/11 | 1,882 | 2,107 |
Ohio State University General Receipts Revenue | 5.590% | 12/1/14 | 900 | 1,108 |
Ohio Water Development Authority Water Pollution | ||||
Control Loan Fund Revenue | 4.879% | 12/1/34 | 1,125 | 1,357 |
Orange County CA Local Transportation Authority Sales | ||||
Tax Revenue | 6.908% | 2/15/41 | 1,060 | 1,544 |
Oregon Department of Transportation Highway User | ||||
Tax Revenue | 5.834% | 11/15/34 | 1,405 | 1,921 |
104
Vanguard® Long-Term Bond Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Oregon GO | 5.892% | 6/1/27 | 3,500 | 4,636 | |
8 | Oregon School Boards Association GO | 4.759% | 6/30/28 | 3,550 | 4,158 |
6 | Oregon School Boards Association GO | 5.528% | 6/30/28 | 1,500 | 1,854 |
Pennsylvania GO | 5.350% | 5/1/30 | 1,000 | 1,117 | |
Pennsylvania Public School Building Authority Lease | |||||
Revenue (School District of Philadelphia) | 5.000% | 9/15/27 | 1,098 | 1,211 | |
Pennsylvania Turnpike Commission Revenue | 6.105% | 12/1/39 | 600 | 826 | |
Pennsylvania Turnpike Commission Revenue | 5.511% | 12/1/45 | 1,575 | 2,069 | |
Pennsylvania Turnpike Commission Revenue | 5.561% | 12/1/49 | 850 | 1,149 | |
Phoenix AZ GO | 5.269% | 7/1/34 | 100 | 126 | |
Port Authority of New York & New Jersey Revenue | 6.040% | 12/1/29 | 2,260 | 2,959 | |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 2,195 | 2,886 | |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 1,025 | 1,346 | |
Port Authority of New York & New Jersey Revenue | 4.960% | 8/1/46 | 2,350 | 2,920 | |
Port Authority of New York & New Jersey Revenue | 5.310% | 8/1/46 | 1,200 | 1,316 | |
Port Authority of New York & New Jersey Revenue | 4.926% | 10/1/51 | 1,520 | 1,878 | |
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 7,625 | 8,724 | |
Port Authority of New York & New Jersey Revenue | 4.810% | 10/15/65 | 1,500 | 1,814 | |
Port of Seattle WA Revenue | 7.000% | 5/1/36 | 100 | 114 | |
President & Fellows of Harvard College Massachusetts | |||||
GO | 4.875% | 10/15/40 | 1,150 | 1,530 | |
Princeton University New Jersey GO | 5.700% | 3/1/39 | 1,400 | 1,990 | |
Regional Transportation District of Colorado Sales Tax | |||||
Revenue | 5.844% | 11/1/50 | 1,110 | 1,618 | |
Rutgers State University New Jersey Revenue | 5.665% | 5/1/40 | 1,185 | 1,517 | |
Sacramento CA Municipal Utility District Revenue | 6.156% | 5/15/36 | 905 | 1,193 | |
Sacramento CA Public Financing Authority Lease | |||||
Revenue | 5.637% | 4/1/50 | 1,100 | 1,324 | |
Salt River Project Arizona Agricultural Improvement & | |||||
Power District Revenue | 4.839% | 1/1/41 | 1,100 | 1,414 | |
San Antonio TX Electric & Gas Systems Revenue | 5.985% | 2/1/39 | 600 | 847 | |
San Antonio TX Electric & Gas Systems Revenue | 5.718% | 2/1/41 | 1,190 | 1,649 | |
San Antonio TX Electric & Gas Systems Revenue | 5.808% | 2/1/41 | 1,750 | 2,444 | |
San Antonio TX Electric & Gas Systems Revenue | 4.427% | 2/1/42 | 1,100 | 1,319 | |
San Diego County CA Regional Airport Authority | |||||
Revenue | 5.594% | 7/1/43 | 900 | 1,025 | |
San Diego County CA Regional Transportation | |||||
Commission Sales Tax Revenue | 5.911% | 4/1/48 | 1,365 | 1,947 | |
San Diego County CA Water Authority Revenue | 6.138% | 5/1/49 | 2,500 | 3,608 | |
San Francisco CA City & County Public Utilities | |||||
Commission Water Revenue | 6.000% | 11/1/40 | 1,325 | 1,756 | |
San Francisco CA City & County Public Utilities | |||||
Commission Water Revenue | 6.950% | 11/1/50 | 1,815 | 2,757 | |
Santa Clara Valley CA Transportation Authority Sales | |||||
Tax Revenue | 5.876% | 4/1/32 | 1,500 | 1,938 | |
Sonoma County CA Pension Obligation Revenue | 6.000% | 12/1/29 | 1,000 | 1,240 | |
South Carolina Public Service Authority Revenue | 5.784% | 12/1/41 | 250 | 316 | |
South Carolina Public Service Authority Revenue | 6.454% | 1/1/50 | 1,900 | 2,707 | |
Stanford University California GO | 3.460% | 5/1/47 | 950 | 1,038 | |
Texas GO | 5.517% | 4/1/39 | 3,790 | 5,279 | |
Texas Transportation Commission Revenue | 5.178% | 4/1/30 | 3,900 | 5,011 | |
Texas Transportation Commission Revenue | 4.631% | 4/1/33 | 1,460 | 1,813 | |
Texas Transportation Commission Revenue | 4.681% | 4/1/40 | 950 | 1,195 | |
Tufts University Massachusetts GO | 5.017% | 4/15/12 | 935 | 1,104 | |
University of California Regents General Revenue | 4.601% | 5/15/31 | 1,500 | 1,760 | |
University of California Regents Medical Center | |||||
Revenue | 6.548% | 5/15/48 | 900 | 1,299 | |
University of California Regents Medical Center | |||||
Revenue | 6.583% | 5/15/49 | 1,075 | 1,552 | |
University of California Revenue | 6.270% | 5/15/31 | 500 | 561 | |
University of California Revenue | 5.770% | 5/15/43 | 3,050 | 4,112 | |
University of California Revenue | 4.765% | 5/15/44 | 1,600 | 1,728 | |
University of California Revenue | 4.131% | 5/15/45 | 1,500 | 1,623 | |
University of California Revenue | 5.946% | 5/15/45 | 1,400 | 1,884 |
105
Vanguard® Long-Term Bond Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
University of California Revenue | 4.858% | 5/15/12 | 3,550 | 3,958 |
University of California Revenue | 4.767% | 5/15/15 | 1,550 | 1,685 |
University of Massachusetts Building Authority | ||||
Revenue | 5.450% | 11/1/40 | 575 | 742 |
University of North Carolina at Chapel Hill Revenue | 3.847% | 12/1/34 | 950 | 1,076 |
University of Southern California GO | 5.250% | 10/1/11 | 950 | 1,277 |
University of Texas System Revenue Financing System | ||||
Revenue | 5.262% | 7/1/39 | 1,920 | 2,590 |
University of Texas System Revenue Financing System | ||||
Revenue | 6.276% | 8/15/41 | 900 | 1,022 |
University of Texas System Revenue Financing System | ||||
Revenue | 5.134% | 8/15/42 | 550 | 715 |
University of Texas System Revenue Financing System | ||||
Revenue | 4.794% | 8/15/46 | 1,575 | 1,989 |
University of Virginia Revenue | 6.200% | 9/1/39 | 330 | 491 |
Utah Transit Authority Sales Tax Revenue | 5.937% | 6/15/39 | 990 | 1,374 |
Virginia Commonwealth Transportation Board Revenue | 5.350% | 5/15/35 | 640 | 797 |
Washington Convention Center Public Facilities District | ||||
Revenue | 6.790% | 7/1/40 | 600 | 807 |
Washington GO | 5.090% | 8/1/33 | 945 | 1,179 |
Washington GO | 5.481% | 8/1/39 | 1,160 | 1,564 |
Washington GO | 5.140% | 8/1/40 | 1,210 | 1,606 |
Total Taxable Municipal Bonds (Cost $416,011) | 508,889 | |||
Shares | ||||
Temporary Cash Investment (0.9%) | ||||
Money Market Fund (0.9%) | ||||
9 Vanguard Market Liquidity Fund (Cost | ||||
$94,842) | 0.538% | 94,842,129 | 94,842 | |
Total Investments (99.7%) (Cost $8,966,057) | 10,144,754 | |||
Other Assets and Liabilities—Net (0.3%) | 30,110 | |||
Net Assets (100%) | 10,174,864 |
1 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal
Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior
preferred stock.
3 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate value of these securities was $160,600,000, representing
1.6% of net assets.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
5 Guaranteed by the Federal Republic of Germany.
6 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
7 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
8 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
9 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
COP—Certificate of Participation.
GO—General Obligation Bond.
106
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© 2016 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA3142_082016
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
U.S. Government and Agency Obligations (62.9%) | ||||
U.S. Government Securities (40.3%) | ||||
United States Treasury Note/Bond | 4.500% | 5/15/17 | 41,605 | 43,042 |
United States Treasury Note/Bond | 8.750% | 5/15/17 | 183,135 | 196,154 |
United States Treasury Note/Bond | 2.500% | 6/30/17 | 209,395 | 213,453 |
United States Treasury Note/Bond | 2.375% | 7/31/17 | 170,594 | 173,953 |
United States Treasury Note/Bond | 0.875% | 8/15/17 | 198,645 | 199,390 |
United States Treasury Note/Bond | 4.750% | 8/15/17 | 641,705 | 671,788 |
United States Treasury Note/Bond | 8.875% | 8/15/17 | 115,330 | 126,070 |
United States Treasury Note/Bond | 0.625% | 8/31/17 | 99,731 | 99,840 |
United States Treasury Note/Bond | 1.875% | 8/31/17 | 41,875 | 42,516 |
United States Treasury Note/Bond | 1.000% | 9/15/17 | 473,982 | 476,499 |
United States Treasury Note/Bond | 0.625% | 9/30/17 | 103,215 | 103,327 |
United States Treasury Note/Bond | 1.875% | 9/30/17 | 55,175 | 56,080 |
United States Treasury Note/Bond | 0.875% | 10/15/17 | 551,460 | 553,699 |
United States Treasury Note/Bond | 0.750% | 10/31/17 | 301,377 | 302,130 |
United States Treasury Note/Bond | 1.875% | 10/31/17 | 298,321 | 303,494 |
United States Treasury Note/Bond | 0.875% | 11/15/17 | 604,081 | 606,630 |
United States Treasury Note/Bond | 4.250% | 11/15/17 | 215,725 | 226,613 |
United States Treasury Note/Bond | 0.625% | 11/30/17 | 474,865 | 475,235 |
United States Treasury Note/Bond | 0.875% | 11/30/17 | 88,000 | 88,371 |
United States Treasury Note/Bond | 2.250% | 11/30/17 | 30,600 | 31,322 |
United States Treasury Note/Bond | 1.000% | 12/15/17 | 356,470 | 358,698 |
United States Treasury Note/Bond | 0.750% | 12/31/17 | 44,235 | 44,353 |
United States Treasury Note/Bond | 1.000% | 12/31/17 | 33,300 | 33,513 |
United States Treasury Note/Bond | 2.750% | 12/31/17 | 400 | 413 |
United States Treasury Note/Bond | 0.875% | 1/15/18 | 236,175 | 237,245 |
United States Treasury Note/Bond | 0.750% | 1/31/18 | 325,000 | 325,913 |
United States Treasury Note/Bond | 0.875% | 1/31/18 | 657,510 | 660,594 |
United States Treasury Note/Bond | 2.625% | 1/31/18 | 278,308 | 287,222 |
United States Treasury Note/Bond | 1.000% | 2/15/18 | 383,000 | 385,574 |
United States Treasury Note/Bond | 3.500% | 2/15/18 | 182,405 | 190,983 |
United States Treasury Note/Bond | 0.750% | 2/28/18 | 14,718 | 14,759 |
United States Treasury Note/Bond | 2.750% | 2/28/18 | 428,100 | 443,486 |
United States Treasury Note/Bond | 1.000% | 3/15/18 | 542,008 | 545,736 |
United States Treasury Note/Bond | 0.750% | 3/31/18 | 138,065 | 138,453 |
United States Treasury Note/Bond | 0.875% | 3/31/18 | 150,145 | 150,896 |
United States Treasury Note/Bond | 2.875% | 3/31/18 | 94,354 | 98,084 |
United States Treasury Note/Bond | 0.750% | 4/15/18 | 222,110 | 222,734 |
United States Treasury Note/Bond | 0.625% | 4/30/18 | 63,983 | 64,033 |
United States Treasury Note/Bond | 0.750% | 4/30/18 | 174,167 | 174,684 |
United States Treasury Note/Bond | 1.000% | 5/15/18 | 156,559 | 157,758 |
United States Treasury Note/Bond | 9.125% | 5/15/18 | 20,890 | 24,229 |
United States Treasury Note/Bond | 0.875% | 5/31/18 | 214,198 | 215,402 |
United States Treasury Note/Bond | 1.000% | 5/31/18 | 652,760 | 657,858 |
United States Treasury Note/Bond | 2.375% | 5/31/18 | 204,901 | 211,849 |
United States Treasury Note/Bond | 1.125% | 6/15/18 | 343,381 | 346,870 |
United States Treasury Note/Bond | 0.625% | 6/30/18 | 62,750 | 62,789 |
United States Treasury Note/Bond | 1.375% | 6/30/18 | 137,070 | 139,169 |
United States Treasury Note/Bond | 2.375% | 6/30/18 | 554,504 | 574,000 |
United States Treasury Note/Bond | 0.875% | 7/15/18 | 443,519 | 445,945 |
United States Treasury Note/Bond | 1.375% | 7/31/18 | 222,793 | 226,273 |
United States Treasury Note/Bond | 2.250% | 7/31/18 | 26,604 | 27,510 |
United States Treasury Note/Bond | 1.000% | 8/15/18 | 251,158 | 253,197 |
United States Treasury Note/Bond | 4.000% | 8/15/18 | 400 | 429 |
United States Treasury Note/Bond | 1.500% | 8/31/18 | 578,775 | 589,806 |
United States Treasury Note/Bond | 1.000% | 9/15/18 | 786,785 | 793,174 |
United States Treasury Note/Bond | 1.375% | 9/30/18 | 275,200 | 279,801 |
United States Treasury Note/Bond | 0.875% | 10/15/18 | 105,401 | 105,978 |
United States Treasury Note/Bond | 1.250% | 10/31/18 | 153,280 | 155,435 |
United States Treasury Note/Bond | 1.750% | 10/31/18 | 159,775 | 163,868 |
United States Treasury Note/Bond | 1.250% | 11/15/18 | 447,557 | 453,921 |
United States Treasury Note/Bond | 3.750% | 11/15/18 | 257,786 | 276,718 |
1
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 9.000% | 11/15/18 | 125 | 150 |
United States Treasury Note/Bond | 1.250% | 11/30/18 | 295,160 | 299,404 |
United States Treasury Note/Bond | 1.375% | 11/30/18 | 400 | 407 |
United States Treasury Note/Bond | 1.250% | 12/15/18 | 286,483 | 290,646 |
United States Treasury Note/Bond | 1.375% | 12/31/18 | 68,175 | 69,379 |
United States Treasury Note/Bond | 1.500% | 12/31/18 | 177,440 | 181,099 |
United States Treasury Note/Bond | 1.125% | 1/15/19 | 295,153 | 298,521 |
United States Treasury Note/Bond | 1.250% | 1/31/19 | 94,800 | 96,222 |
United States Treasury Note/Bond | 1.500% | 1/31/19 | 275,000 | 280,758 |
United States Treasury Note/Bond | 0.750% | 2/15/19 | 626,537 | 627,809 |
United States Treasury Note/Bond | 2.750% | 2/15/19 | 258,075 | 272,027 |
United States Treasury Note/Bond | 8.875% | 2/15/19 | 72,220 | 87,713 |
United States Treasury Note/Bond | 1.375% | 2/28/19 | 122,070 | 124,301 |
United States Treasury Note/Bond | 1.500% | 2/28/19 | 70,545 | 72,066 |
United States Treasury Note/Bond | 1.000% | 3/15/19 | 735,920 | 742,242 |
United States Treasury Note/Bond | 1.500% | 3/31/19 | 30,965 | 31,667 |
United States Treasury Note/Bond | 1.625% | 3/31/19 | 331,485 | 339,875 |
United States Treasury Note/Bond | 0.875% | 4/15/19 | 345,495 | 347,167 |
United States Treasury Note/Bond | 1.250% | 4/30/19 | 12,781 | 12,981 |
United States Treasury Note/Bond | 1.625% | 4/30/19 | 375,075 | 384,744 |
United States Treasury Note/Bond | 0.875% | 5/15/19 | 567,645 | 570,392 |
United States Treasury Note/Bond | 3.125% | 5/15/19 | 576,534 | 616,349 |
United States Treasury Note/Bond | 1.125% | 5/31/19 | 203,315 | 205,824 |
United States Treasury Note/Bond | 1.500% | 5/31/19 | 230,930 | 236,163 |
United States Treasury Note/Bond | 0.875% | 6/15/19 | 123,980 | 124,600 |
United States Treasury Note/Bond | 1.000% | 6/30/19 | 13,462 | 13,578 |
United States Treasury Note/Bond | 1.625% | 6/30/19 | 301,575 | 309,681 |
United States Treasury Note/Bond | 0.875% | 7/31/19 | 83,706 | 84,046 |
United States Treasury Note/Bond | 1.625% | 7/31/19 | 230,496 | 236,726 |
United States Treasury Note/Bond | 3.625% | 8/15/19 | 735,167 | 800,876 |
United States Treasury Note/Bond | 8.125% | 8/15/19 | 6,636 | 8,148 |
United States Treasury Note/Bond | 1.625% | 8/31/19 | 371,544 | 381,646 |
United States Treasury Note/Bond | 1.000% | 9/30/19 | 38,600 | 38,896 |
United States Treasury Note/Bond | 1.750% | 9/30/19 | 354,421 | 365,497 |
United States Treasury Note/Bond | 1.250% | 10/31/19 | 600 | 610 |
United States Treasury Note/Bond | 1.500% | 10/31/19 | 505,710 | 517,564 |
United States Treasury Note/Bond | 3.375% | 11/15/19 | 578,485 | 628,651 |
United States Treasury Note/Bond | 1.000% | 11/30/19 | 147,175 | 148,164 |
United States Treasury Note/Bond | 1.500% | 11/30/19 | 503,150 | 514,944 |
United States Treasury Note/Bond | 1.125% | 12/31/19 | 95,000 | 96,039 |
United States Treasury Note/Bond | 1.625% | 12/31/19 | 39,053 | 40,133 |
United States Treasury Note/Bond | 1.250% | 1/31/20 | 556,865 | 565,045 |
United States Treasury Note/Bond | 1.375% | 1/31/20 | 160,508 | 163,619 |
United States Treasury Note/Bond | 3.625% | 2/15/20 | 477,635 | 525,695 |
United States Treasury Note/Bond | 8.500% | 2/15/20 | 15,275 | 19,471 |
United States Treasury Note/Bond | 1.250% | 2/29/20 | 77,506 | 78,669 |
United States Treasury Note/Bond | 1.375% | 2/29/20 | 196,685 | 200,434 |
United States Treasury Note/Bond | 1.125% | 3/31/20 | 300 | 303 |
United States Treasury Note/Bond | 1.375% | 3/31/20 | 175,643 | 178,991 |
United States Treasury Note/Bond | 1.125% | 4/30/20 | 209,925 | 212,024 |
United States Treasury Note/Bond | 1.375% | 4/30/20 | 128,298 | 130,743 |
United States Treasury Note/Bond | 3.500% | 5/15/20 | 601,005 | 660,637 |
United States Treasury Note/Bond | 8.750% | 5/15/20 | 70 | 91 |
United States Treasury Note/Bond | 1.375% | 5/31/20 | 292,855 | 298,299 |
United States Treasury Note/Bond | 1.500% | 5/31/20 | 118,577 | 121,356 |
United States Treasury Note/Bond | 1.625% | 6/30/20 | 77,335 | 79,546 |
United States Treasury Note/Bond | 1.875% | 6/30/20 | 270,460 | 280,856 |
United States Treasury Note/Bond | 1.625% | 7/31/20 | 334,265 | 343,771 |
United States Treasury Note/Bond | 2.000% | 7/31/20 | 105,803 | 110,432 |
United States Treasury Note/Bond | 2.625% | 8/15/20 | 375,247 | 401,222 |
United States Treasury Note/Bond | 8.750% | 8/15/20 | 192,190 | 253,360 |
United States Treasury Note/Bond | 1.375% | 8/31/20 | 375,500 | 382,424 |
United States Treasury Note/Bond | 2.125% | 8/31/20 | 155,666 | 163,303 |
United States Treasury Note/Bond | 2.000% | 9/30/20 | 30,741 | 32,115 |
2
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
United States Treasury Note/Bond | 1.375% | 10/31/20 | 205,217 | 208,968 |
United States Treasury Note/Bond | 1.750% | 10/31/20 | 232,227 | 240,065 |
United States Treasury Note/Bond | 2.625% | 11/15/20 | 725,899 | 777,844 |
United States Treasury Note/Bond | 1.625% | 11/30/20 | 394,003 | 405,579 |
United States Treasury Note/Bond | 2.000% | 11/30/20 | 310,855 | 324,843 |
United States Treasury Note/Bond | 1.750% | 12/31/20 | 283,948 | 293,753 |
United States Treasury Note/Bond | 2.375% | 12/31/20 | 342,770 | 363,926 |
United States Treasury Note/Bond | 1.375% | 1/31/21 | 459,027 | 467,202 |
United States Treasury Note/Bond | 2.125% | 1/31/21 | 104,586 | 109,978 |
United States Treasury Note/Bond | 3.625% | 2/15/21 | 391,842 | 438,620 |
United States Treasury Note/Bond | 7.875% | 2/15/21 | 209,734 | 275,112 |
United States Treasury Note/Bond | 1.125% | 2/28/21 | 133,979 | 134,942 |
United States Treasury Note/Bond | 2.000% | 2/28/21 | 426,858 | 446,600 |
United States Treasury Note/Bond | 1.250% | 3/31/21 | 725,623 | 734,243 |
United States Treasury Note/Bond | 2.250% | 3/31/21 | 364,501 | 385,744 |
United States Treasury Note/Bond | 1.375% | 4/30/21 | 102,710 | 104,507 |
United States Treasury Note/Bond | 2.250% | 4/30/21 | 369,725 | 391,387 |
United States Treasury Note/Bond | 3.125% | 5/15/21 | 391,810 | 431,112 |
United States Treasury Note/Bond | 8.125% | 5/15/21 | 110 | 147 |
United States Treasury Note/Bond | 1.375% | 5/31/21 | 475,925 | 484,549 |
United States Treasury Note/Bond | 2.000% | 5/31/21 | 226,160 | 236,866 |
United States Treasury Note/Bond | 1.125% | 6/30/21 | 499,544 | 502,276 |
United States Treasury Note/Bond | 2.125% | 6/30/21 | 344,450 | 362,857 |
United States Treasury Note/Bond | 2.250% | 7/31/21 | 224,925 | 238,351 |
United States Treasury Note/Bond | 2.125% | 8/15/21 | 71,200 | 75,049 |
United States Treasury Note/Bond | 8.125% | 8/15/21 | 35,690 | 48,326 |
United States Treasury Note/Bond | 2.000% | 8/31/21 | 359,915 | 377,011 |
United States Treasury Note/Bond | 2.125% | 9/30/21 | 363,791 | 383,458 |
United States Treasury Note/Bond | 2.000% | 10/31/21 | 258,940 | 271,281 |
United States Treasury Note/Bond | 2.000% | 11/15/21 | 335,482 | 351,783 |
United States Treasury Note/Bond | 8.000% | 11/15/21 | 49,276 | 67,100 |
United States Treasury Note/Bond | 1.875% | 11/30/21 | 362,398 | 377,459 |
United States Treasury Note/Bond | 2.125% | 12/31/21 | 328,010 | 345,896 |
United States Treasury Note/Bond | 1.500% | 1/31/22 | 190,965 | 194,874 |
United States Treasury Note/Bond | 2.000% | 2/15/22 | 81,791 | 85,701 |
United States Treasury Note/Bond | 1.750% | 2/28/22 | 548,357 | 566,864 |
United States Treasury Note/Bond | 1.750% | 3/31/22 | 244,550 | 252,728 |
United States Treasury Note/Bond | 1.750% | 4/30/22 | 257,300 | 265,904 |
United States Treasury Note/Bond | 1.750% | 5/15/22 | 31,220 | 32,264 |
United States Treasury Note/Bond | 1.875% | 5/31/22 | 259,720 | 270,189 |
United States Treasury Note/Bond | 2.125% | 6/30/22 | 220,235 | 232,280 |
United States Treasury Note/Bond | 2.000% | 7/31/22 | 246,925 | 258,577 |
United States Treasury Note/Bond | 1.625% | 8/15/22 | 38,789 | 39,783 |
United States Treasury Note/Bond | 7.250% | 8/15/22 | 3,014 | 4,104 |
United States Treasury Note/Bond | 1.875% | 8/31/22 | 410,019 | 426,293 |
United States Treasury Note/Bond | 1.750% | 9/30/22 | 322,915 | 333,210 |
United States Treasury Note/Bond | 1.875% | 10/31/22 | 371,940 | 386,587 |
United States Treasury Note/Bond | 1.625% | 11/15/22 | 135,200 | 138,411 |
United States Treasury Note/Bond | 2.000% | 11/30/22 | 277,520 | 290,486 |
United States Treasury Note/Bond | 2.125% | 12/31/22 | 361,593 | 381,256 |
United States Treasury Note/Bond | 1.750% | 1/31/23 | 309,602 | 319,132 |
United States Treasury Note/Bond | 2.000% | 2/15/23 | 60,251 | 63,123 |
United States Treasury Note/Bond | 7.125% | 2/15/23 | 163,535 | 225,116 |
United States Treasury Note/Bond | 1.500% | 2/28/23 | 240,125 | 243,727 |
United States Treasury Note/Bond | 1.500% | 3/31/23 | 448,350 | 454,865 |
United States Treasury Note/Bond | 1.625% | 4/30/23 | 118,332 | 121,031 |
United States Treasury Note/Bond | 1.750% | 5/15/23 | 685,448 | 707,300 |
United States Treasury Note/Bond | 1.625% | 5/31/23 | 367,450 | 375,832 |
United States Treasury Note/Bond | 1.375% | 6/30/23 | 250,225 | 251,594 |
United States Treasury Note/Bond | 2.500% | 8/15/23 | 526,785 | 570,740 |
United States Treasury Note/Bond | 6.250% | 8/15/23 | 308,228 | 413,217 |
United States Treasury Note/Bond | 2.750% | 11/15/23 | 419,162 | 462,126 |
United States Treasury Note/Bond | 2.750% | 2/15/24 | 459,279 | 507,145 |
United States Treasury Note/Bond | 2.500% | 5/15/24 | 657,918 | 714,769 |
3
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
United States Treasury Note/Bond | 2.375% | 8/15/24 | 455,390 | 490,328 | |
United States Treasury Note/Bond | 2.250% | 11/15/24 | 600,474 | 640,724 | |
United States Treasury Note/Bond | 7.500% | 11/15/24 | 1,325 | 1,971 | |
United States Treasury Note/Bond | 2.000% | 2/15/25 | 324,279 | 339,377 | |
United States Treasury Note/Bond | 7.625% | 2/15/25 | 2,112 | 3,186 | |
United States Treasury Note/Bond | 2.125% | 5/15/25 | 914,252 | 965,962 | |
United States Treasury Note/Bond | 2.000% | 8/15/25 | 638,325 | 667,547 | |
United States Treasury Note/Bond | 6.875% | 8/15/25 | 17,689 | 25,956 | |
United States Treasury Note/Bond | 2.250% | 11/15/25 | 750,907 | 801,473 | |
United States Treasury Note/Bond | 1.625% | 2/15/26 | 507,239 | 513,184 | |
United States Treasury Note/Bond | 6.000% | 2/15/26 | 35,679 | 50,263 | |
United States Treasury Note/Bond | 1.625% | 5/15/26 | 644,906 | 653,167 | |
United States Treasury Note/Bond | 6.750% | 8/15/26 | 32,360 | 48,469 | |
United States Treasury Note/Bond | 6.500% | 11/15/26 | 50,779 | 75,240 | |
United States Treasury Note/Bond | 6.375% | 8/15/27 | 63,585 | 95,079 | |
United States Treasury Note/Bond | 5.500% | 8/15/28 | 39,225 | 56,092 | |
United States Treasury Note/Bond | 5.250% | 11/15/28 | 3,485 | 4,906 | |
United States Treasury Note/Bond | 5.250% | 2/15/29 | 53,395 | 75,512 | |
United States Treasury Note/Bond | 6.125% | 8/15/29 | 75,455 | 115,470 | |
United States Treasury Note/Bond | 6.250% | 5/15/30 | 98,628 | 155,031 | |
United States Treasury Note/Bond | 5.375% | 2/15/31 | 295,760 | 438,648 | |
United States Treasury Note/Bond | 4.500% | 2/15/36 | 265,426 | 382,296 | |
United States Treasury Note/Bond | 4.750% | 2/15/37 | 49,000 | 72,895 | |
United States Treasury Note/Bond | 5.000% | 5/15/37 | 16,000 | 24,595 | |
United States Treasury Note/Bond | 4.375% | 2/15/38 | 79,403 | 113,224 | |
United States Treasury Note/Bond | 4.500% | 5/15/38 | 54,113 | 78,498 | |
United States Treasury Note/Bond | 3.500% | 2/15/39 | 167,651 | 211,659 | |
United States Treasury Note/Bond | 4.250% | 5/15/39 | 101,385 | 141,732 | |
United States Treasury Note/Bond | 4.500% | 8/15/39 | 71,772 | 103,812 | |
United States Treasury Note/Bond | 4.375% | 11/15/39 | 184,026 | 261,663 | |
United States Treasury Note/Bond | 4.625% | 2/15/40 | 225,787 | 332,047 | |
United States Treasury Note/Bond | 4.375% | 5/15/40 | 216,060 | 307,615 | |
United States Treasury Note/Bond | 3.875% | 8/15/40 | 123,672 | 164,251 | |
United States Treasury Note/Bond | 4.250% | 11/15/40 | 292,662 | 410,093 | |
United States Treasury Note/Bond | 4.750% | 2/15/41 | 208,930 | 313,690 | |
United States Treasury Note/Bond | 4.375% | 5/15/41 | 151,898 | 217,024 | |
United States Treasury Note/Bond | 3.750% | 8/15/41 | 43,510 | 56,821 | |
United States Treasury Note/Bond | 3.125% | 11/15/41 | 130,460 | 154,188 | |
United States Treasury Note/Bond | 3.125% | 2/15/42 | 36,027 | 42,608 | |
United States Treasury Note/Bond | 3.000% | 5/15/42 | 128,799 | 148,884 | |
United States Treasury Note/Bond | 2.750% | 8/15/42 | 456,815 | 503,712 | |
United States Treasury Note/Bond | 2.750% | 11/15/42 | 546,619 | 601,795 | |
United States Treasury Note/Bond | 3.125% | 2/15/43 | 200,938 | 237,045 | |
United States Treasury Note/Bond | 2.875% | 5/15/43 | 430,940 | 484,807 | |
United States Treasury Note/Bond | 3.625% | 8/15/43 | 281,900 | 363,958 | |
United States Treasury Note/Bond | 3.750% | 11/15/43 | 268,181 | 354,042 | |
United States Treasury Note/Bond | 3.625% | 2/15/44 | 401,117 | 517,377 | |
United States Treasury Note/Bond | 3.375% | 5/15/44 | 259,981 | 320,671 | |
United States Treasury Note/Bond | 3.125% | 8/15/44 | 320,450 | 377,480 | |
United States Treasury Note/Bond | 3.000% | 11/15/44 | 356,027 | 409,598 | |
United States Treasury Note/Bond | 2.500% | 2/15/45 | 410,489 | 427,742 | |
United States Treasury Note/Bond | 3.000% | 5/15/45 | 563,469 | 648,164 | |
United States Treasury Note/Bond | 2.875% | 8/15/45 | 396,828 | 445,685 | |
United States Treasury Note/Bond | 3.000% | 11/15/45 | 146,185 | 168,227 | |
United States Treasury Note/Bond | 2.500% | 2/15/46 | 455,473 | 474,689 | |
United States Treasury Note/Bond | 2.500% | 5/15/46 | 339,500 | 354,194 | |
67,919,497 | |||||
Agency Bonds and Notes (2.4%) | |||||
1 | AID-Israel | 5.500% | 9/18/23 | 542 | 686 |
1 | AID-Israel | 5.500% | 12/4/23 | 4,768 | 6,005 |
1 | AID-Israel | 5.500% | 4/26/24 | 20,405 | 25,857 |
1 | AID-Jordan | 1.945% | 6/23/19 | 7,750 | 8,025 |
1 | AID-Jordan | 2.503% | 10/30/20 | 10,100 | 10,739 |
1 | AID-Jordan | 2.578% | 6/30/22 | 3,400 | 3,635 |
4
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
1 | AID-Tunisia | 2.452% | 7/24/21 | 3,275 | 3,478 |
1 | AID-Ukraine | 1.844% | 5/16/19 | 4,650 | 4,786 |
1 | AID-Ukraine | 1.847% | 5/29/20 | 11,500 | 11,790 |
2 | Federal Farm Credit Banks | 1.125% | 9/22/17 | 5,000 | 5,031 |
2 | Federal Farm Credit Banks | 1.000% | 9/25/17 | 5,975 | 6,003 |
2 | Federal Farm Credit Banks | 1.125% | 12/18/17 | 16,800 | 16,918 |
2 | Federal Farm Credit Banks | 1.110% | 2/20/18 | 5,800 | 5,843 |
2 | Federal Farm Credit Banks | 0.750% | 4/18/18 | 20,000 | 20,024 |
2 | Federal Farm Credit Banks | 1.100% | 6/1/18 | 10,000 | 10,077 |
2 | Federal Farm Credit Banks | 5.150% | 11/15/19 | 15,675 | 17,875 |
2 | Federal Farm Credit Banks | 3.500% | 12/20/23 | 5,000 | 5,672 |
2 | Federal Home Loan Banks | 0.860% | 8/1/17 | 13,800 | 13,841 |
2 | Federal Home Loan Banks | 0.750% | 8/28/17 | 9,000 | 9,015 |
2 | Federal Home Loan Banks | 0.625% | 10/26/17 | 53,000 | 53,001 |
2 | Federal Home Loan Banks | 5.000% | 11/17/17 | 7,690 | 8,149 |
2 | Federal Home Loan Banks | 1.000% | 12/19/17 | 52,000 | 52,270 |
2 | Federal Home Loan Banks | 1.375% | 3/9/18 | 31,000 | 31,365 |
2 | Federal Home Loan Banks | 0.875% | 3/19/18 | 49,650 | 49,820 |
2 | Federal Home Loan Banks | 1.125% | 4/25/18 | 39,125 | 39,436 |
2 | Federal Home Loan Banks | 2.750% | 6/8/18 | 26,950 | 28,014 |
2 | Federal Home Loan Banks | 0.875% | 6/29/18 | 63,675 | 63,904 |
2 | Federal Home Loan Banks | 5.375% | 8/15/18 | 4,820 | 5,295 |
2 | Federal Home Loan Banks | 1.125% | 6/21/19 | 77,000 | 77,680 |
2 | Federal Home Loan Banks | 1.875% | 3/13/20 | 795 | 821 |
2 | Federal Home Loan Banks | 4.125% | 3/13/20 | 8,100 | 9,025 |
2 | Federal Home Loan Banks | 3.375% | 6/12/20 | 25,725 | 28,069 |
2 | Federal Home Loan Banks | 5.250% | 12/11/20 | 6,850 | 8,076 |
2 | Federal Home Loan Banks | 1.375% | 2/18/21 | 24,475 | 24,764 |
2 | Federal Home Loan Banks | 2.250% | 6/11/21 | 30,750 | 32,322 |
2 | Federal Home Loan Banks | 5.625% | 6/11/21 | 19,450 | 23,588 |
2 | Federal Home Loan Banks | 2.125% | 3/10/23 | 26,920 | 27,982 |
2 | Federal Home Loan Banks | 2.875% | 6/14/24 | 40,400 | 44,090 |
2 | Federal Home Loan Banks | 5.375% | 8/15/24 | 24,600 | 31,528 |
2 | Federal Home Loan Banks | 2.875% | 9/13/24 | 14,985 | 16,357 |
2 | Federal Home Loan Banks | 5.500% | 7/15/36 | 19,780 | 28,621 |
3 | Federal Home Loan Mortgage Corp. | 0.750% | 7/14/17 | 37,125 | 37,189 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 7/28/17 | 136,906 | 137,517 |
3 | Federal Home Loan Mortgage Corp. | 5.500% | 8/23/17 | 33,450 | 35,315 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 87,850 | 88,270 |
3 | Federal Home Loan Mortgage Corp. | 5.125% | 11/17/17 | 26,045 | 27,643 |
3 | Federal Home Loan Mortgage Corp. | 1.000% | 12/15/17 | 70,000 | 70,361 |
3 | Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 31,725 | 31,776 |
3 | Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 29,170 | 29,268 |
3 | Federal Home Loan Mortgage Corp. | 0.750% | 4/9/18 | 30,000 | 30,035 |
3 | Federal Home Loan Mortgage Corp. | 4.875% | 6/13/18 | 22,750 | 24,589 |
3 | Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 60,848 | 65,694 |
3 | Federal Home Loan Mortgage Corp. | 1.125% | 4/15/19 | 60,000 | 60,530 |
3 | Federal Home Loan Mortgage Corp. | 1.750% | 5/30/19 | 62,007 | 63,712 |
3 | Federal Home Loan Mortgage Corp. | 1.250% | 8/1/19 | 31,910 | 32,294 |
3 | Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 103,270 | 104,446 |
3 | Federal Home Loan Mortgage Corp. | 0.000% | 11/29/19 | 150 | 144 |
3 | Federal Home Loan Mortgage Corp. | 1.375% | 5/1/20 | 65,570 | 66,508 |
3 | Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 119,444 | 126,459 |
3 | Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 3,606 | 5,496 |
3 | Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 74,014 | 114,727 |
3 | Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 8,104 | 12,253 |
3 | Federal National Mortgage Assn. | 0.875% | 8/28/17 | 8,055 | 8,080 |
3 | Federal National Mortgage Assn. | 1.000% | 9/27/17 | 25,300 | 25,420 |
3 | Federal National Mortgage Assn. | 0.875% | 10/26/17 | 82,150 | 82,410 |
3,4 | Federal National Mortgage Assn. | 0.900% | 11/7/17 | 70 | 70 |
3 | Federal National Mortgage Assn. | 0.875% | 12/20/17 | 51,400 | 51,574 |
3,4 | Federal National Mortgage Assn. | 1.000% | 12/28/17 | 70 | 70 |
3 | Federal National Mortgage Assn. | 0.875% | 2/8/18 | 79,070 | 79,361 |
3 | Federal National Mortgage Assn. | 0.875% | 3/28/18 | 30,850 | 30,952 |
5
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
3 | Federal National Mortgage Assn. | 0.875% | 5/21/18 | 190,315 | 190,998 |
3 | Federal National Mortgage Assn. | 1.125% | 7/20/18 | 100,775 | 101,660 |
3 | Federal National Mortgage Assn. | 1.875% | 9/18/18 | 33,363 | 34,205 |
3 | Federal National Mortgage Assn. | 1.125% | 10/19/18 | 63,950 | 64,520 |
3 | Federal National Mortgage Assn. | 1.625% | 11/27/18 | 70,440 | 71,918 |
3 | Federal National Mortgage Assn. | 1.125% | 12/14/18 | 62,072 | 62,601 |
3 | Federal National Mortgage Assn. | 1.375% | 1/28/19 | 75,000 | 76,128 |
3 | Federal National Mortgage Assn. | 1.875% | 2/19/19 | 53,110 | 54,603 |
3 | Federal National Mortgage Assn. | 1.000% | 2/26/19 | 32,450 | 32,617 |
3 | Federal National Mortgage Assn. | 1.750% | 6/20/19 | 48,425 | 49,738 |
3 | Federal National Mortgage Assn. | 1.750% | 9/12/19 | 67,575 | 69,437 |
3 | Federal National Mortgage Assn. | 0.000% | 10/9/19 | 19,695 | 18,924 |
3 | Federal National Mortgage Assn. | 1.750% | 11/26/19 | 61,950 | 63,682 |
3 | Federal National Mortgage Assn. | 1.625% | 1/21/20 | 30,800 | 31,543 |
3 | Federal National Mortgage Assn. | 1.500% | 6/22/20 | 52,100 | 53,084 |
3 | Federal National Mortgage Assn. | 1.500% | 11/30/20 | 41,400 | 42,107 |
3 | Federal National Mortgage Assn. | 1.875% | 12/28/20 | 40,000 | 41,333 |
3 | Federal National Mortgage Assn. | 1.375% | 2/26/21 | 32,100 | 32,452 |
3 | Federal National Mortgage Assn. | 2.625% | 9/6/24 | 47,585 | 51,102 |
3 | Federal National Mortgage Assn. | 2.125% | 4/24/26 | 34,025 | 35,031 |
3 | Federal National Mortgage Assn. | 6.250% | 5/15/29 | 3,995 | 5,814 |
3 | Federal National Mortgage Assn. | 7.125% | 1/15/30 | 26,389 | 41,433 |
3 | Federal National Mortgage Assn. | 7.250% | 5/15/30 | 47,677 | 75,908 |
3 | Federal National Mortgage Assn. | 6.625% | 11/15/30 | 24,700 | 37,769 |
3 | Federal National Mortgage Assn. | 5.625% | 7/15/37 | 7,765 | 11,426 |
2 | Financing Corp. | 9.800% | 4/6/18 | 1,750 | 2,027 |
2 | Financing Corp. | 10.350% | 8/3/18 | 4,910 | 5,882 |
2 | Financing Corp. | 9.650% | 11/2/18 | 10,615 | 12,778 |
2 | Financing Corp. | 9.700% | 4/5/19 | 1,575 | 1,951 |
Private Export Funding Corp. | 2.250% | 12/15/17 | 4,600 | 4,701 | |
Private Export Funding Corp. | 1.875% | 7/15/18 | 4,300 | 4,388 | |
Private Export Funding Corp. | 4.375% | 3/15/19 | 8,760 | 9,569 | |
Private Export Funding Corp. | 1.450% | 8/15/19 | 13,800 | 14,030 | |
Private Export Funding Corp. | 2.250% | 3/15/20 | 8,000 | 8,331 | |
Private Export Funding Corp. | 2.300% | 9/15/20 | 2,475 | 2,586 | |
Private Export Funding Corp. | 4.300% | 12/15/21 | 10,975 | 12,629 | |
Private Export Funding Corp. | 2.800% | 5/15/22 | 2,625 | 2,810 | |
Private Export Funding Corp. | 2.050% | 11/15/22 | 8,335 | 8,569 | |
Private Export Funding Corp. | 3.550% | 1/15/24 | 4,200 | 4,714 | |
Private Export Funding Corp. | 2.450% | 7/15/24 | 8,300 | 8,654 | |
Private Export Funding Corp. | 3.250% | 6/15/25 | 2,475 | 2,745 | |
Resolution Funding Corp. | 8.125% | 10/15/19 | 450 | 553 | |
Resolution Funding Corp. | 8.875% | 7/15/20 | 180 | 235 | |
Resolution Funding Corp. | 8.625% | 1/15/30 | 110 | 189 | |
Small Business Administration Variable Rate Interest | |||||
Only Custodial Receipts (U.S. Government | |||||
Guaranteed) | 2.719% | 7/15/17 | 4,449 | 2 | |
2 | Tennessee Valley Authority | 5.500% | 7/18/17 | 17,208 | 18,081 |
2 | Tennessee Valley Authority | 4.500% | 4/1/18 | 6,360 | 6,769 |
2 | Tennessee Valley Authority | 1.750% | 10/15/18 | 6,460 | 6,603 |
2 | Tennessee Valley Authority | 3.875% | 2/15/21 | 10,915 | 12,202 |
2 | Tennessee Valley Authority | 1.875% | 8/15/22 | 7,300 | 7,467 |
2 | Tennessee Valley Authority | 2.875% | 9/15/24 | 9,637 | 10,388 |
2 | Tennessee Valley Authority | 6.750% | 11/1/25 | 17,306 | 24,210 |
2 | Tennessee Valley Authority | 7.125% | 5/1/30 | 27,165 | 41,636 |
2 | Tennessee Valley Authority | 4.650% | 6/15/35 | 15,169 | 19,226 |
2 | Tennessee Valley Authority | 5.880% | 4/1/36 | 10,200 | 14,786 |
2 | Tennessee Valley Authority | 6.150% | 1/15/38 | 920 | 1,385 |
2 | Tennessee Valley Authority | 5.500% | 6/15/38 | 2,550 | 3,575 |
2 | Tennessee Valley Authority | 5.250% | 9/15/39 | 9,178 | 12,539 |
2 | Tennessee Valley Authority | 3.500% | 12/15/42 | 9,015 | 9,750 |
2 | Tennessee Valley Authority | 4.875% | 1/15/48 | 6,951 | 8,832 |
2 | Tennessee Valley Authority | 5.375% | 4/1/56 | 6,250 | 8,791 |
2 | Tennessee Valley Authority | 4.625% | 9/15/60 | 7,468 | 9,353 |
6
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
2 | Tennessee Valley Authority | 4.250% | 9/15/65 | 14,725 | 17,234 |
4,001,843 | |||||
Conventional Mortgage-Backed Securities (20.0%) | |||||
3,4 | Fannie Mae Pool | 2.000% | 8/1/28–10/1/28 | 75,180 | 76,540 |
3,4,5 | Fannie Mae Pool | 2.500% | 1/1/23–2/1/43 | 989,762 | 1,026,298 |
3,4,5 | Fannie Mae Pool | 3.000% | 9/1/20–7/1/46 | 2,895,150 | 3,026,530 |
3,4,5 | Fannie Mae Pool | 3.500% | 10/1/18–7/1/46 | 3,902,357 | 4,134,661 |
3,4,5 | Fannie Mae Pool | 4.000% | 6/1/18–7/1/46 | 2,541,105 | 2,732,436 |
3,4,5 | Fannie Mae Pool | 4.500% | 1/1/18–7/1/46 | 1,238,119 | 1,354,332 |
3,4 | Fannie Mae Pool | 5.000% | 3/1/17–3/1/44 | 655,608 | 727,548 |
3,4 | Fannie Mae Pool | 5.500% | 11/1/16–2/1/42 | 539,499 | 607,436 |
3,4 | Fannie Mae Pool | 6.000% | 7/1/16–5/1/41 | 354,679 | 406,160 |
3,4 | Fannie Mae Pool | 6.500% | 7/1/16–10/1/39 | 98,771 | 113,692 |
3,4 | Fannie Mae Pool | 7.000% | 8/1/16–11/1/38 | 32,654 | 37,473 |
3,4 | Fannie Mae Pool | 7.500% | 10/1/16–12/1/32 | 2,790 | 3,118 |
3,4 | Fannie Mae Pool | 8.000% | 7/1/17–9/1/31 | 961 | 1,076 |
3,4 | Fannie Mae Pool | 8.500% | 11/1/18–5/1/32 | 433 | 490 |
3,4 | Fannie Mae Pool | 9.000% | 2/1/17–8/1/30 | 106 | 113 |
3,4 | Fannie Mae Pool | 9.500% | 3/1/17–11/1/25 | 136 | 157 |
3,4 | Fannie Mae Pool | 10.000% | 12/1/17 | 1 | 1 |
3,4 | Freddie Mac Gold Pool | 2.000% | 1/1/28–1/1/29 | 50,231 | 51,264 |
3,4,5 | Freddie Mac Gold Pool | 2.500% | 4/1/27–3/1/43 | 724,697 | 751,407 |
3,4,5 | Freddie Mac Gold Pool | 3.000% | 3/1/21–7/1/46 | 1,895,248 | 1,978,667 |
3,4,5 | Freddie Mac Gold Pool | 3.500% | 12/1/20–7/1/46 | 2,431,036 | 2,570,482 |
3,4,5 | Freddie Mac Gold Pool | 4.000% | 3/1/18–7/1/46 | 1,570,253 | 1,684,322 |
3,4,5 | Freddie Mac Gold Pool | 4.500% | 12/1/17–7/1/46 | 739,592 | 806,463 |
3,4 | Freddie Mac Gold Pool | 5.000% | 12/1/16–8/1/44 | 388,127 | 427,029 |
3,4 | Freddie Mac Gold Pool | 5.500% | 8/1/16–6/1/41 | 312,587 | 349,887 |
3,4 | Freddie Mac Gold Pool | 6.000% | 8/1/16–5/1/40 | 190,180 | 216,876 |
3,4 | Freddie Mac Gold Pool | 6.500% | 7/1/16–9/1/39 | 53,005 | 61,372 |
3,4 | Freddie Mac Gold Pool | 7.000% | 10/1/16–12/1/38 | 19,793 | 22,963 |
3,4 | Freddie Mac Gold Pool | 7.500% | 4/1/20–2/1/32 | 1,589 | 1,819 |
3,4 | Freddie Mac Gold Pool | 8.000% | 4/1/20–1/1/32 | 1,706 | 1,940 |
3,4 | Freddie Mac Gold Pool | 8.500% | 3/1/21–7/1/31 | 327 | 374 |
3,4 | Freddie Mac Gold Pool | 9.000% | 7/1/20–3/1/31 | 252 | 280 |
3,4 | Freddie Mac Gold Pool | 9.500% | 2/1/17–6/1/25 | 28 | 30 |
3,4 | Freddie Mac Gold Pool | 10.000% | 11/1/16–4/1/25 | 3 | 3 |
3,4 | Freddie Mac Non Gold Pool | 8.500% | 6/1/18 | 2 | 2 |
3,4 | Freddie Mac Non Gold Pool | 9.500% | 3/1/20 | 2 | 2 |
4 | Ginnie Mae I Pool | 3.000% | 1/15/26–6/15/45 | 255,869 | 268,150 |
4,5 | Ginnie Mae I Pool | 3.500% | 11/15/25–7/1/46 | 313,761 | 334,308 |
4,5 | Ginnie Mae I Pool | 4.000% | 8/15/18–7/1/46 | 387,519 | 417,714 |
4,5 | Ginnie Mae I Pool | 4.500% | 5/15/18–7/1/46 | 372,478 | 412,191 |
4 | Ginnie Mae I Pool | 4.750% | 8/15/33 | 13 | 14 |
4,5 | Ginnie Mae I Pool | 5.000% | 1/15/17–7/1/46 | 226,439 | 253,443 |
4 | Ginnie Mae I Pool | 5.500% | 2/15/17–2/15/41 | 122,812 | 139,035 |
4 | Ginnie Mae I Pool | 6.000% | 2/15/17–6/15/41 | 92,434 | 106,173 |
4 | Ginnie Mae I Pool | 6.500% | 9/15/23–1/15/39 | 24,422 | 27,710 |
4 | Ginnie Mae I Pool | 7.000% | 9/15/22–9/15/36 | 6,163 | 6,938 |
4 | Ginnie Mae I Pool | 7.250% | 9/15/25 | 30 | 31 |
4 | Ginnie Mae I Pool | 7.500% | 5/15/17–6/15/32 | 2,776 | 3,060 |
4 | Ginnie Mae I Pool | 7.750% | 2/15/30 | 2 | 2 |
4 | Ginnie Mae I Pool | 8.000% | 1/15/17–12/15/30 | 1,874 | 2,088 |
4 | Ginnie Mae I Pool | 8.250% | 6/15/27 | 1 | 2 |
4 | Ginnie Mae I Pool | 8.500% | 1/15/17–3/15/31 | 399 | 427 |
4 | Ginnie Mae I Pool | 9.000% | 8/15/16–1/15/31 | 403 | 424 |
4 | Ginnie Mae I Pool | 9.500% | 10/15/17–9/15/25 | 120 | 133 |
4 | Ginnie Mae I Pool | 10.000% | 2/15/18–2/15/25 | 24 | 27 |
4 | Ginnie Mae I Pool | 10.500% | 9/15/17–4/15/25 | 18 | 18 |
4 | Ginnie Mae II Pool | 2.500% | 6/20/27–1/20/43 | 59,058 | 61,388 |
4,5 | Ginnie Mae II Pool | 3.000% | 10/20/26–7/1/46 | 1,443,801 | 1,514,676 |
4,5 | Ginnie Mae II Pool | 3.500% | 9/20/25–8/1/46 | 3,347,555 | 3,558,837 |
4,5 | Ginnie Mae II Pool | 4.000% | 9/20/25–7/1/46 | 1,678,129 | 1,800,921 |
7
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4,5 | Ginnie Mae II Pool | 4.500% | 4/20/18–7/1/46 | 819,104 | 885,297 |
4 | Ginnie Mae II Pool | 5.000% | 12/20/32–11/20/44 | 391,139 | 430,566 |
4 | Ginnie Mae II Pool | 5.500% | 8/20/23–4/20/45 | 127,218 | 140,599 |
4 | Ginnie Mae II Pool | 6.000% | 7/20/23–12/20/41 | 48,335 | 54,241 |
4 | Ginnie Mae II Pool | 6.500% | 12/20/23–9/20/40 | 20,745 | 23,450 |
4 | Ginnie Mae II Pool | 7.000% | 3/20/28–11/20/38 | 4,059 | 4,642 |
4 | Ginnie Mae II Pool | 7.500% | 8/20/30 | 5 | 5 |
4 | Ginnie Mae II Pool | 8.500% | 10/20/30 | 10 | 12 |
33,619,765 | |||||
Nonconventional Mortgage-Backed Securities (0.2%) | |||||
3,4,6 | Fannie Mae Pool | 1.956% | 4/1/37 | 1,817 | 1,888 |
3,4,6 | Fannie Mae Pool | 2.083% | 9/1/37 | 2,054 | 2,201 |
3,4 | Fannie Mae Pool | 2.114% | 3/1/43 | 9,041 | 9,274 |
3,4,6 | Fannie Mae Pool | 2.126% | 12/1/41 | 4,014 | 4,129 |
3,4,6 | Fannie Mae Pool | 2.138% | 7/1/34 | 317 | 337 |
3,4 | Fannie Mae Pool | 2.184% | 6/1/42 | 5,940 | 6,209 |
3,4 | Fannie Mae Pool | 2.189% | 6/1/43 | 7,673 | 7,908 |
3,4,6 | Fannie Mae Pool | 2.208% | 1/1/35 | 205 | 213 |
3,4 | Fannie Mae Pool | 2.217% | 9/1/42 | 6,221 | 6,501 |
3,4 | Fannie Mae Pool | 2.222% | 10/1/42 | 4,858 | 5,010 |
3,4 | Fannie Mae Pool | 2.267% | 7/1/43 | 10,565 | 10,921 |
3,4,6 | Fannie Mae Pool | 2.327% | 12/1/35 | 9 | 9 |
3,4,6 | Fannie Mae Pool | 2.335% | 2/1/37 | 4 | 4 |
3,4,6 | Fannie Mae Pool | 2.341% | 8/1/35 | 1,854 | 1,976 |
3,4,6 | Fannie Mae Pool | 2.383% | 10/1/34 | 20 | 20 |
3,4 | Fannie Mae Pool | 2.387% | 7/1/42 | 6,918 | 7,162 |
3,4 | Fannie Mae Pool | 2.410% | 9/1/40–5/1/42 | 11,871 | 12,430 |
3,4,6 | Fannie Mae Pool | 2.414% | 7/1/35 | 831 | 875 |
3,4,6 | Fannie Mae Pool | 2.415% | 6/1/36 | 46 | 49 |
3,4 | Fannie Mae Pool | 2.419% | 5/1/43 | 14,721 | 15,311 |
3,4,6 | Fannie Mae Pool | 2.439% | 12/1/33 | 577 | 614 |
3,4,6 | Fannie Mae Pool | 2.445% | 7/1/39 | 496 | 517 |
3,4,6 | Fannie Mae Pool | 2.450% | 11/1/33–7/1/37 | 829 | 884 |
3,4 | Fannie Mae Pool | 2.451% | 10/1/42 | 5,880 | 6,082 |
3,4 | Fannie Mae Pool | 2.453% | 8/1/40–9/1/43 | 3,812 | 3,987 |
3,4,6 | Fannie Mae Pool | 2.482% | 9/1/34 | 779 | 817 |
3,4,6 | Fannie Mae Pool | 2.485% | 11/1/36 | 900 | 954 |
3,4,6 | Fannie Mae Pool | 2.488% | 7/1/38 | 421 | 446 |
3,4,6 | Fannie Mae Pool | 2.496% | 1/1/35 | 6 | 6 |
3,4,6 | Fannie Mae Pool | 2.501% | 12/1/36 | 15 | 16 |
3,4,6 | Fannie Mae Pool | 2.518% | 9/1/33 | 4 | 4 |
3,4,6 | Fannie Mae Pool | 2.519% | 2/1/36 | 1,450 | 1,476 |
3,4,6 | Fannie Mae Pool | 2.535% | 10/1/39 | 1,159 | 1,207 |
3,4,6 | Fannie Mae Pool | 2.544% | 8/1/37–10/1/40 | 5,652 | 5,962 |
3,4,6 | Fannie Mae Pool | 2.566% | 7/1/42 | 2,084 | 2,237 |
3,4,6 | Fannie Mae Pool | 2.568% | 6/1/37 | 1,428 | 1,508 |
3,4,6 | Fannie Mae Pool | 2.573% | 12/1/40 | 2,250 | 2,371 |
3,4,6 | Fannie Mae Pool | 2.576% | 7/1/38–11/1/39 | 1,087 | 1,144 |
3,4,6 | Fannie Mae Pool | 2.577% | 7/1/36 | 533 | 550 |
3,4,6 | Fannie Mae Pool | 2.612% | 12/1/41 | 3,856 | 4,131 |
3,4 | Fannie Mae Pool | 2.619% | 11/1/41 | 3,916 | 4,176 |
3,4,6 | Fannie Mae Pool | 2.623% | 12/1/35 | 1,263 | 1,340 |
3,4,6 | Fannie Mae Pool | 2.634% | 1/1/37 | 1,873 | 2,008 |
3,4,6 | Fannie Mae Pool | 2.649% | 4/1/36 | 236 | 245 |
3,4,6 | Fannie Mae Pool | 2.650% | 11/1/32 | 16 | 17 |
3,4,6 | Fannie Mae Pool | 2.674% | 10/1/40 | 2,396 | 2,523 |
3,4,6 | Fannie Mae Pool | 2.685% | 9/1/33–12/1/40 | 4,982 | 5,256 |
3,4,6 | Fannie Mae Pool | 2.690% | 11/1/36–12/1/40 | 2,860 | 3,019 |
3,4,6 | Fannie Mae Pool | 2.708% | 10/1/37 | 67 | 72 |
3,4,6 | Fannie Mae Pool | 2.710% | 11/1/35–1/1/40 | 1,726 | 1,793 |
3,4 | Fannie Mae Pool | 2.712% | 1/1/42 | 3,721 | 3,945 |
3,4 | Fannie Mae Pool | 2.724% | 12/1/43 | 5,448 | 5,644 |
3,4,6 | Fannie Mae Pool | 2.725% | 2/1/36 | 843 | 899 |
8
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
3,4,6 | Fannie Mae Pool | 2.748% | 5/1/36 | 97 | 103 |
3,4 | Fannie Mae Pool | 2.750% | 3/1/42 | 5,372 | 5,645 |
3,4 | Fannie Mae Pool | 2.753% | 2/1/41–1/1/42 | 5,542 | 5,766 |
3,4,6 | Fannie Mae Pool | 2.770% | 11/1/34 | 828 | 869 |
3,4 | Fannie Mae Pool | 2.775% | 11/1/41 | 3,842 | 4,146 |
3,4,6 | Fannie Mae Pool | 2.793% | 1/1/37 | 74 | 78 |
3,4,6 | Fannie Mae Pool | 2.796% | 1/1/35 | 1,295 | 1,390 |
3,4,6 | Fannie Mae Pool | 2.805% | 5/1/42 | 531 | 554 |
3,4,6 | Fannie Mae Pool | 2.806% | 5/1/33 | 11 | 11 |
3,4,6 | Fannie Mae Pool | 2.818% | 5/1/35 | 1,224 | 1,286 |
3,4,6 | Fannie Mae Pool | 2.828% | 3/1/41 | 3,689 | 3,879 |
3,4,6 | Fannie Mae Pool | 2.841% | 4/1/36–4/1/37 | 927 | 971 |
3,4,6 | Fannie Mae Pool | 2.848% | 5/1/40 | 1,118 | 1,167 |
3,4 | Fannie Mae Pool | 2.899% | 12/1/40 | 1,744 | 1,844 |
3,4,6 | Fannie Mae Pool | 2.915% | 3/1/42 | 1,714 | 1,842 |
3,4,6 | Fannie Mae Pool | 2.936% | 4/1/37 | 393 | 423 |
3,4,6 | Fannie Mae Pool | 2.939% | 3/1/41 | 3,028 | 3,230 |
3,4 | Fannie Mae Pool | 2.947% | 9/1/43 | 8,108 | 8,500 |
3,4,6 | Fannie Mae Pool | 2.957% | 4/1/37 | 100 | 106 |
3,4,6 | Fannie Mae Pool | 2.975% | 2/1/42 | 3,412 | 3,656 |
3,4,6 | Fannie Mae Pool | 2.999% | 5/1/41 | 2,476 | 2,611 |
3,4,6 | Fannie Mae Pool | 3.012% | 10/1/36 | 938 | 1,016 |
3,4,6 | Fannie Mae Pool | 3.043% | 5/1/40 | 560 | 581 |
3,4 | Fannie Mae Pool | 3.058% | 2/1/41 | 1,854 | 1,964 |
3,4 | Fannie Mae Pool | 3.138% | 2/1/41 | 1,863 | 1,975 |
3,4,6 | Fannie Mae Pool | 3.162% | 5/1/36 | 91 | 92 |
3,4 | Fannie Mae Pool | 3.359% | 8/1/42 | 5,753 | 5,994 |
3,4 | Fannie Mae Pool | 3.568% | 4/1/41 | 3,496 | 3,686 |
3,4 | Fannie Mae Pool | 3.580% | 8/1/39 | 1,047 | 1,153 |
3,4 | Fannie Mae Pool | 3.582% | 6/1/41 | 900 | 969 |
3,4 | Fannie Mae Pool | 3.586% | 7/1/41 | 6,349 | 6,784 |
3,4 | Fannie Mae Pool | 3.749% | 6/1/41 | 3,665 | 3,925 |
3,4,6 | Fannie Mae Pool | 3.796% | 8/1/39 | 2,913 | 3,023 |
3,4 | Fannie Mae Pool | 3.832% | 9/1/40 | 4,123 | 4,399 |
3,4,6 | Fannie Mae Pool | 4.034% | 11/1/39 | 1,119 | 1,183 |
3,4,6 | Fannie Mae Pool | 4.282% | 12/1/39 | 2,309 | 2,422 |
3,4 | Fannie Mae Pool | 4.847% | 3/1/38 | 386 | 403 |
3,4 | Fannie Mae Pool | 5.520% | 4/1/37 | 1,014 | 1,076 |
3,4 | Fannie Mae Pool | 5.576% | 10/1/37 | 1,631 | 1,725 |
3,4 | Fannie Mae Pool | 5.852% | 12/1/37 | 1,116 | 1,214 |
3,4,6 | Fannie Mae Pool | 6.004% | 10/1/37 | 1,755 | 1,841 |
3,4,6 | Freddie Mac Non Gold Pool | 1.735% | 10/1/37 | 57 | 58 |
3,4,6 | Freddie Mac Non Gold Pool | 2.230% | 6/1/37 | 1,811 | 1,859 |
3,4,6 | Freddie Mac Non Gold Pool | 2.247% | 5/1/37 | 104 | 110 |
3,4,6 | Freddie Mac Non Gold Pool | 2.333% | 3/1/37 | 563 | 595 |
3,4 | Freddie Mac Non Gold Pool | 2.334% | 5/1/42 | 1,168 | 1,202 |
3,4,6 | Freddie Mac Non Gold Pool | 2.408% | 8/1/37 | 77 | 78 |
3,4,6 | Freddie Mac Non Gold Pool | 2.430% | 1/1/37 | 1,818 | 1,921 |
3,4,6 | Freddie Mac Non Gold Pool | 2.479% | 7/1/35 | 844 | 891 |
3,4,6 | Freddie Mac Non Gold Pool | 2.492% | 10/1/37 | 1,298 | 1,371 |
3,4,6 | Freddie Mac Non Gold Pool | 2.500% | 8/1/34–1/1/38 | 614 | 655 |
3,4,6 | Freddie Mac Non Gold Pool | 2.515% | 12/1/36 | 682 | 726 |
3,4,6 | Freddie Mac Non Gold Pool | 2.531% | 11/1/36 | 450 | 467 |
3,4 | Freddie Mac Non Gold Pool | 2.548% | 11/1/43 | 2,105 | 2,179 |
3,4 | Freddie Mac Non Gold Pool | 2.573% | 2/1/42 | 2,015 | 2,119 |
3,4,6 | Freddie Mac Non Gold Pool | 2.586% | 12/1/34 | 35 | 36 |
3,4,6 | Freddie Mac Non Gold Pool | 2.587% | 12/1/34 | 1,190 | 1,255 |
3,4,6 | Freddie Mac Non Gold Pool | 2.602% | 1/1/35 | 216 | 233 |
3,4,6 | Freddie Mac Non Gold Pool | 2.612% | 12/1/36 | 1,426 | 1,479 |
3,4,6 | Freddie Mac Non Gold Pool | 2.619% | 12/1/40 | 3,243 | 3,363 |
3,4,6 | Freddie Mac Non Gold Pool | 2.621% | 11/1/34 | 1,523 | 1,601 |
3,4,6 | Freddie Mac Non Gold Pool | 2.630% | 6/1/40 | 1,441 | 1,485 |
3,4,6 | Freddie Mac Non Gold Pool | 2.634% | 12/1/34–12/1/35 | 1,128 | 1,191 |
3,4,6 | Freddie Mac Non Gold Pool | 2.635% | 7/1/38 | 815 | 829 |
9
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
3,4,6 | Freddie Mac Non Gold Pool | 2.641% | 6/1/35 | 5 | 5 |
3,4,6 | Freddie Mac Non Gold Pool | 2.652% | 2/1/37 | 397 | 423 |
3,4,6 | Freddie Mac Non Gold Pool | 2.654% | 4/1/37 | 33 | 34 |
3,4,6 | Freddie Mac Non Gold Pool | 2.655% | 3/1/37 | 97 | 102 |
3,4,6 | Freddie Mac Non Gold Pool | 2.662% | 3/1/37 | 279 | 296 |
3,4,6 | Freddie Mac Non Gold Pool | 2.676% | 3/1/36 | 11 | 11 |
3,4,6 | Freddie Mac Non Gold Pool | 2.717% | 1/1/37 | 851 | 903 |
3,4,6 | Freddie Mac Non Gold Pool | 2.725% | 6/1/34 | 4 | 4 |
3,4 | Freddie Mac Non Gold Pool | 2.750% | 2/1/42 | 2,896 | 3,034 |
3,4,6 | Freddie Mac Non Gold Pool | 2.755% | 11/1/40–12/1/40 | 2,262 | 2,346 |
3,4,6 | Freddie Mac Non Gold Pool | 2.757% | 6/1/41 | 263 | 267 |
3,4,6 | Freddie Mac Non Gold Pool | 2.761% | 6/1/37 | 1,410 | 1,507 |
3,4,6 | Freddie Mac Non Gold Pool | 2.762% | 11/1/40 | 2,148 | 2,218 |
3,4,6 | Freddie Mac Non Gold Pool | 2.763% | 6/1/37 | 1,351 | 1,442 |
3,4 | Freddie Mac Non Gold Pool | 2.773% | 6/1/36–1/1/41 | 3,908 | 4,104 |
3,4,6 | Freddie Mac Non Gold Pool | 2.776% | 11/1/33 | 3 | 4 |
3,4,6 | Freddie Mac Non Gold Pool | 2.851% | 5/1/36 | 1,178 | 1,243 |
3,4,6 | Freddie Mac Non Gold Pool | 2.875% | 4/1/33–5/1/38 | 237 | 249 |
3,4,6 | Freddie Mac Non Gold Pool | 2.890% | 4/1/35 | 97 | 102 |
3,4,6 | Freddie Mac Non Gold Pool | 2.932% | 6/1/40 | 1,571 | 1,680 |
3,4,6 | Freddie Mac Non Gold Pool | 2.947% | 5/1/33 | 36 | 37 |
3,4,6 | Freddie Mac Non Gold Pool | 2.973% | 2/1/36 | 506 | 519 |
3,4,6 | Freddie Mac Non Gold Pool | 2.980% | 3/1/41 | 964 | 1,024 |
3,4,6 | Freddie Mac Non Gold Pool | 2.983% | 10/1/36 | 790 | 827 |
3,4,6 | Freddie Mac Non Gold Pool | 3.005% | 5/1/40 | 796 | 851 |
3,4,6 | Freddie Mac Non Gold Pool | 3.010% | 3/1/37 | 1,176 | 1,251 |
3,4,6 | Freddie Mac Non Gold Pool | 3.024% | 2/1/41 | 806 | 858 |
3,4,6 | Freddie Mac Non Gold Pool | 3.035% | 2/1/41 | 3,376 | 3,592 |
3,4 | Freddie Mac Non Gold Pool | 3.054% | 1/1/41 | 722 | 764 |
3,4,6 | Freddie Mac Non Gold Pool | 3.068% | 5/1/40 | 639 | 674 |
3,4 | Freddie Mac Non Gold Pool | 3.115% | 6/1/41 | 1,331 | 1,385 |
3,4,6 | Freddie Mac Non Gold Pool | 3.173% | 3/1/37 | 102 | 102 |
3,4 | Freddie Mac Non Gold Pool | 3.443% | 3/1/42 | 2,634 | 2,797 |
3,4 | Freddie Mac Non Gold Pool | 3.591% | 6/1/40 | 2,859 | 3,033 |
3,4 | Freddie Mac Non Gold Pool | 3.680% | 9/1/40 | 2,629 | 2,796 |
3,4 | Freddie Mac Non Gold Pool | 4.071% | 12/1/39 | 535 | 576 |
3,4 | Freddie Mac Non Gold Pool | 4.723% | 9/1/37 | 1,454 | 1,504 |
3,4 | Freddie Mac Non Gold Pool | 5.258% | 3/1/38 | 1,840 | 1,979 |
3,4 | Freddie Mac Non Gold Pool | 5.893% | 5/1/37 | 1,864 | 1,948 |
3,4 | Freddie Mac Non Gold Pool | 6.155% | 12/1/36 | 706 | 762 |
3,4 | Freddie Mac Non Gold Pool | 6.260% | 8/1/37 | 388 | 418 |
4,6 | Ginnie Mae II Pool | 1.750% | 6/20/29–4/20/41 | 1,323 | 1,363 |
4 | Ginnie Mae II Pool | 2.000% | 10/20/38–6/20/43 | 34,730 | 36,102 |
4,6 | Ginnie Mae II Pool | 2.250% | 5/20/41 | 1,601 | 1,689 |
4 | Ginnie Mae II Pool | 2.500% | 1/20/41–1/20/42 | 8,687 | 8,856 |
4 | Ginnie Mae II Pool | 3.000% | 7/20/38–11/20/41 | 10,238 | 10,800 |
4 | Ginnie Mae II Pool | 3.500% | 7/20/41–1/20/44 | 14,284 | 14,876 |
4 | Ginnie Mae II Pool | 4.000% | 4/20/41–10/20/41 | 4,689 | 4,960 |
403,799 | |||||
Total U.S. Government and Agency Obligations (Cost $101,672,433) | 105,944,904 | ||||
Asset-Backed/Commercial Mortgage-Backed Securities (2.7%) | |||||
4 | AEP Texas Central Transition Funding II LLC 2006-A | 5.170% | 1/1/18 | 2,206 | 2,282 |
4 | Ally Auto Receivables Trust 2013-2 | 0.790% | 1/15/18 | 302 | 302 |
4 | Ally Auto Receivables Trust 2013-2 | 1.240% | 11/15/18 | 1,125 | 1,127 |
4 | Ally Auto Receivables Trust 2014-1 | 0.970% | 10/15/18 | 2,469 | 2,469 |
4 | Ally Auto Receivables Trust 2014-1 | 1.530% | 4/15/19 | 1,675 | 1,686 |
4 | Ally Auto Receivables Trust 2014-3 | 1.280% | 6/17/19 | 5,000 | 5,014 |
4 | Ally Auto Receivables Trust 2014-3 | 1.720% | 3/16/20 | 2,000 | 2,011 |
4 | Ally Auto Receivables Trust 2014-SN1 | 0.950% | 6/20/18 | 1,114 | 1,114 |
4 | Ally Auto Receivables Trust 2014-SN2 | 1.030% | 9/20/17 | 3,907 | 3,907 |
4 | Ally Auto Receivables Trust 2014-SN2 | 1.210% | 2/20/19 | 2,875 | 2,876 |
4 | Ally Auto Receivables Trust 2015-1 | 1.390% | 9/16/19 | 1,700 | 1,708 |
10
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Ally Auto Receivables Trust 2015-1 | 1.750% | 5/15/20 | 1,750 | 1,771 |
4 | Ally Auto Receivables Trust 2015-2 | 1.490% | 11/15/19 | 4,600 | 4,626 |
4 | Ally Auto Receivables Trust 2015-2 | 1.840% | 6/15/20 | 2,225 | 2,259 |
4 | Ally Master Owner Trust Series 2014-4 | 1.430% | 6/17/19 | 5,475 | 5,486 |
4 | Ally Master Owner Trust Series 2015-3 | 1.630% | 5/15/20 | 7,725 | 7,762 |
4 | American Express Credit Account Secured Note Trust | ||||
2013-3 | 0.980% | 5/15/19 | 1,516 | 1,517 | |
4 | American Express Credit Account Secured Note Trust | ||||
2014-3 | 1.490% | 4/15/20 | 8,200 | 8,231 | |
4 | American Express Credit Account Secured Note Trust | ||||
2014-4 | 1.430% | 6/15/20 | 4,550 | 4,580 | |
4 | AmeriCredit Automobile Receivables Trust 2013-4 | 0.960% | 4/9/18 | 10 | 10 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 0.900% | 9/10/18 | 269 | 269 |
4 | AmeriCredit Automobile Receivables Trust 2013-5 | 1.520% | 1/8/19 | 600 | 601 |
4 | AmeriCredit Automobile Receivables Trust 2014-1 | 0.900% | 2/8/19 | 368 | 368 |
4 | AmeriCredit Automobile Receivables Trust 2014-1 | 1.680% | 7/8/19 | 550 | 551 |
4 | AmeriCredit Automobile Receivables Trust 2014-2 | 0.940% | 2/8/19 | 1,198 | 1,198 |
4 | AmeriCredit Automobile Receivables Trust 2014-3 | 1.150% | 6/10/19 | 2,800 | 2,801 |
4 | AmeriCredit Automobile Receivables Trust 2015-2 | 1.270% | 1/8/20 | 3,700 | 3,703 |
4 | Banc of America Commercial Mortgage Trust 2006-2 | 6.009% | 5/10/45 | 1,152 | 1,151 |
4 | Banc of America Commercial Mortgage Trust 2006-3 | 5.889% | 7/10/44 | 140 | 140 |
4 | Banc of America Commercial Mortgage Trust 2006-5 | 5.448% | 9/10/47 | 2,175 | 2,189 |
4 | Banc of America Commercial Mortgage Trust 2008-1 | 6.436% | 2/10/51 | 15,534 | 16,228 |
4 | Banc of America Commercial Mortgage Trust 2015- | ||||
UBS7 | 3.429% | 9/15/48 | 2,350 | 2,516 | |
4 | Banc of America Commercial Mortgage Trust 2015- | ||||
UBS7 | 3.705% | 9/15/48 | 4,100 | 4,507 | |
7 | Banco Bilbao Vizcaya Argentaria SA | 5.750% | 7/20/17 | 1,975 | 2,056 |
Bank of Nova Scotia | 2.125% | 9/11/19 | 10,900 | 11,161 | |
Bank of Nova Scotia | 1.850% | 4/14/20 | 25,000 | 25,327 | |
Bank of Nova Scotia | 1.875% | 4/26/21 | 8,800 | 8,882 | |
4 | Barclays Dryrock Issuance Trust 2015-2 | 1.560% | 3/15/21 | 4,525 | 4,563 |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2006-PWR13 | 5.582% | 9/11/41 | 1,625 | 1,628 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR16 | 5.910% | 6/11/40 | 7,060 | 7,222 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR17 | 5.694% | 6/11/50 | 25,250 | 25,989 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR17 | 5.915% | 6/11/50 | 7,588 | 7,869 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-PWR18 | 5.700% | 6/11/50 | 10,114 | 10,389 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-TOP26 | 5.471% | 1/12/45 | 4,969 | 5,039 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-TOP26 | 5.513% | 1/12/45 | 6,500 | 6,637 | |
4 | Bear Stearns Commercial Mortgage Securities Trust | ||||
2007-TOP28 | 5.742% | 9/11/42 | 14,876 | 15,362 | |
4 | BMW Vehicle Owner Trust 2014-A | 0.970% | 11/26/18 | 4,108 | 4,107 |
4 | BMW Vehicle Owner Trust 2014-A | 1.500% | 2/25/21 | 3,400 | 3,413 |
4 | BMW Vehicle Owner Trust 2015-1 | 1.240% | 12/20/17 | 5,950 | 5,957 |
4 | BMW Vehicle Owner Trust 2015-2 | 1.400% | 9/20/18 | 5,800 | 5,821 |
4 | BMW Vehicle Owner Trust 2015-2 | 1.550% | 2/20/19 | 2,075 | 2,072 |
4 | Capital Auto Receivables Asset Trust 2013-3 | 1.310% | 12/20/17 | 314 | 314 |
4 | Capital Auto Receivables Asset Trust 2013-3 | 1.680% | 4/20/18 | 1,605 | 1,607 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 1.090% | 3/20/18 | 1,008 | 1,008 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 1.470% | 7/20/18 | 1,300 | 1,301 |
4 | Capital Auto Receivables Asset Trust 2013-4 | 2.060% | 10/22/18 | 1,430 | 1,435 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 1.320% | 6/20/18 | 2,104 | 2,104 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 1.690% | 10/22/18 | 785 | 787 |
4 | Capital Auto Receivables Asset Trust 2014-1 | 2.220% | 1/22/19 | 1,042 | 1,050 |
4 | Capital Auto Receivables Asset Trust 2014-2 | 1.260% | 5/21/18 | 950 | 950 |
4 | Capital Auto Receivables Asset Trust 2014-2 | 1.620% | 10/22/18 | 1,100 | 1,101 |
4 | Capital Auto Receivables Asset Trust 2014-3 | 1.480% | 11/20/18 | 2,100 | 2,103 |
11
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Capital Auto Receivables Asset Trust 2014-3 | 1.830% | 4/22/19 | 1,400 | 1,407 |
4 | Capital Auto Receivables Asset Trust 2015-1 | 1.610% | 6/20/19 | 11,475 | 11,529 |
4 | Capital Auto Receivables Asset Trust 2015-1 | 1.860% | 10/21/19 | 2,000 | 2,018 |
4 | Capital Auto Receivables Asset Trust 2015-2 | 1.730% | 9/20/19 | 5,800 | 5,837 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 1.720% | 1/22/19 | 5,025 | 5,051 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 1.940% | 1/21/20 | 5,025 | 5,085 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 1.970% | 1/21/20 | 2,900 | 2,926 |
4 | Capital Auto Receivables Asset Trust 2015-3 | 2.130% | 5/20/20 | 3,000 | 3,024 |
4 | Capital Auto Receivables Asset Trust 2015-4 | 1.830% | 3/20/20 | 4,550 | 4,573 |
4 | Capital Auto Receivables Asset Trust 2015-4 | 2.010% | 7/20/20 | 2,950 | 2,966 |
4 | Capital One Multi-Asset Execution Trust 2007-A7 | 5.750% | 7/15/20 | 10,300 | 10,846 |
4 | Capital One Multi-Asset Execution Trust 2014-A2 | 1.260% | 1/15/20 | 1,925 | 1,926 |
4 | Capital One Multi-Asset Execution Trust 2014-A5 | 1.480% | 7/15/20 | 7,000 | 7,021 |
4 | Capital One Multi-Asset Execution Trust 2015-A2 | 2.080% | 3/15/23 | 12,000 | 12,360 |
4 | Capital One Multi-Asset Execution Trust 2015-A5 | 1.600% | 5/17/21 | 5,675 | 5,747 |
4 | Capital One Multi-Asset Execution Trust 2015-A8 | 2.050% | 8/15/23 | 8,200 | 8,357 |
4 | CarMax Auto Owner Trust 2012-3 | 0.790% | 4/16/18 | 1,744 | 1,743 |
4 | CarMax Auto Owner Trust 2013-2 | 0.640% | 1/16/18 | 411 | 411 |
4 | CarMax Auto Owner Trust 2013-2 | 0.840% | 11/15/18 | 1,502 | 1,499 |
4 | CarMax Auto Owner Trust 2013-3 | 0.970% | 4/16/18 | 1,000 | 1,000 |
4 | CarMax Auto Owner Trust 2013-3 | 1.490% | 1/15/19 | 2,180 | 2,190 |
4 | CarMax Auto Owner Trust 2013-4 | 0.800% | 7/16/18 | 527 | 526 |
4 | CarMax Auto Owner Trust 2013-4 | 1.280% | 5/15/19 | 550 | 551 |
4 | CarMax Auto Owner Trust 2014-1 | 0.790% | 10/15/18 | 982 | 981 |
4 | CarMax Auto Owner Trust 2014-1 | 1.320% | 7/15/19 | 1,120 | 1,123 |
4 | CarMax Auto Owner Trust 2014-2 | 0.980% | 1/15/19 | 2,632 | 2,633 |
4 | CarMax Auto Owner Trust 2014-2 | 1.610% | 10/15/19 | 2,000 | 2,014 |
4 | CarMax Auto Owner Trust 2014-3 | 1.160% | 6/17/19 | 2,923 | 2,929 |
4 | CarMax Auto Owner Trust 2014-3 | 1.730% | 2/18/20 | 1,625 | 1,638 |
4 | CarMax Auto Owner Trust 2014-4 | 1.250% | 11/15/19 | 6,650 | 6,667 |
4 | CarMax Auto Owner Trust 2015-2 | 1.370% | 3/16/20 | 3,400 | 3,410 |
4 | CarMax Auto Owner Trust 2015-2 | 1.800% | 3/15/21 | 1,575 | 1,590 |
4 | CarMax Auto Owner Trust 2015-3 | 1.630% | 5/15/20 | 5,750 | 5,799 |
4 | CarMax Auto Owner Trust 2015-3 | 1.980% | 2/16/21 | 1,300 | 1,317 |
4 | CarMax Auto Owner Trust 2015-4 | 1.560% | 11/16/20 | 4,400 | 4,442 |
4 | CarMax Auto Owner Trust 2015-4 | 1.830% | 6/15/21 | 2,050 | 2,071 |
4 | CD 2006-CD3 Mortgage Trust | 5.617% | 10/15/48 | 3,628 | 3,622 |
4 | CD 2007-CD5 Mortgage Trust | 5.886% | 11/15/44 | 15,331 | 15,806 |
4 | CenterPoint Energy Transition Bond Co. II LLC 2005-A | 5.170% | 8/1/19 | 771 | 784 |
4 | CenterPoint Energy Transition Bond Co. II LLC 2005-A | 5.302% | 8/1/20 | 1,184 | 1,286 |
4 | CenterPoint Energy Transition Bond Co. IV LLC 2012-1 | 3.028% | 10/15/25 | 9,483 | 10,140 |
4 | CFCRE Commercial Mortgage Trust 2016-C3 | 3.865% | 1/10/48 | 5,800 | 6,407 |
4 | CFCRE Commercial Mortgage Trust 2016-C4 | 3.283% | 5/10/58 | 8,250 | 8,678 |
4 | CFCRE Commercial Mortgage Trust 2016-C4 | 3.691% | 5/10/58 | 5,900 | 6,206 |
4 | Chase Issuance Trust 2012-A4 | 1.580% | 8/16/21 | 8,596 | 8,709 |
4 | Chase Issuance Trust 2012-A7 | 2.160% | 9/16/24 | 20,440 | 20,759 |
4 | Chase Issuance Trust 2013-A1 | 1.300% | 2/18/20 | 13,650 | 13,726 |
4 | Chase Issuance Trust 2013-A8 | 1.010% | 10/15/18 | 10,225 | 10,231 |
4 | Chase Issuance Trust 2014-A1 | 1.150% | 1/15/19 | 14,400 | 14,429 |
4 | Chase Issuance Trust 2014-A2 | 2.770% | 3/15/23 | 11,150 | 11,841 |
4 | Chase Issuance Trust 2014-A6 | 1.260% | 7/15/19 | 13,700 | 13,681 |
4 | Chase Issuance Trust 2014-A7 | 1.380% | 11/15/19 | 11,225 | 11,278 |
4 | Chase Issuance Trust 2015-A2 | 1.590% | 2/18/20 | 25,052 | 25,320 |
4 | Chase Issuance Trust 2015-A4 | 1.840% | 4/15/22 | 8,400 | 8,575 |
4 | Chase Issuance Trust 2015-A5 | 1.360% | 4/15/20 | 16,950 | 17,073 |
4 | Chase Issuance Trust 2016-A2 | 1.370% | 6/15/21 | 11,525 | 11,596 |
4 | Citibank Credit Card Issuance Trust 2007-A8 | 5.650% | 9/20/19 | 10,600 | 11,175 |
4 | Citibank Credit Card Issuance Trust 2008-A1 | 5.350% | 2/7/20 | 11,546 | 12,336 |
4 | Citibank Credit Card Issuance Trust 2014-A1 | 2.880% | 1/23/23 | 10,460 | 11,136 |
4 | Citibank Credit Card Issuance Trust 2014-A4 | 1.230% | 4/24/19 | 18,050 | 18,043 |
4 | Citibank Credit Card Issuance Trust 2014-A5 | 2.680% | 6/7/23 | 12,342 | 13,025 |
4 | Citibank Credit Card Issuance Trust 2014-A6 | 2.150% | 7/15/21 | 27,675 | 28,507 |
4 | Citibank Credit Card Issuance Trust 2014-A8 | 1.730% | 4/9/20 | 16,450 | 16,659 |
4 | Citigroup Commercial Mortgage Trust 2006-C5 | 5.431% | 10/15/49 | 2,544 | 2,553 |
12
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Citigroup Commercial Mortgage Trust 2006-C5 | 5.462% | 10/15/49 | 3,375 | 3,400 |
4 | Citigroup Commercial Mortgage Trust 2007-C6 | 5.901% | 12/10/49 | 20,075 | 20,640 |
4 | Citigroup Commercial Mortgage Trust 2008-C7 | 6.345% | 12/10/49 | 18,708 | 19,363 |
4 | Citigroup Commercial Mortgage Trust 2012-GC8 | 3.024% | 9/10/45 | 5,450 | 5,774 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093% | 4/10/46 | 3,165 | 3,343 |
4 | Citigroup Commercial Mortgage Trust 2013-GC11 | 3.422% | 4/10/46 | 2,000 | 2,108 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.161% | 9/10/46 | 2,900 | 2,992 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 3.942% | 9/10/46 | 1,200 | 1,301 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 4.371% | 9/10/46 | 1,975 | 2,254 |
4 | Citigroup Commercial Mortgage Trust 2013-GC15 | 4.649% | 9/10/46 | 2,875 | 3,263 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 3.675% | 11/10/46 | 875 | 940 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 4.131% | 11/10/46 | 2,900 | 3,267 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 4.544% | 11/10/46 | 1,150 | 1,295 |
4 | Citigroup Commercial Mortgage Trust 2013-GC17 | 5.095% | 11/10/46 | 1,150 | 1,343 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 2.790% | 3/10/47 | 1,840 | 1,892 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 3.552% | 3/10/47 | 1,150 | 1,231 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.023% | 3/10/47 | 1,700 | 1,893 |
4 | Citigroup Commercial Mortgage Trust 2014-GC19 | 4.345% | 3/10/47 | 1,425 | 1,546 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.477% | 5/10/47 | 625 | 673 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 3.855% | 5/10/47 | 3,025 | 3,339 |
4 | Citigroup Commercial Mortgage Trust 2014-GC21 | 4.328% | 5/10/47 | 2,450 | 2,669 |
4 | Citigroup Commercial Mortgage Trust 2014-GC23 | 3.622% | 7/10/47 | 3,875 | 4,224 |
4 | Citigroup Commercial Mortgage Trust 2014-GC25 | 3.635% | 10/10/47 | 8,525 | 9,248 |
4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.137% | 2/10/48 | 11,450 | 12,036 |
4 | Citigroup Commercial Mortgage Trust 2015-GC27 | 3.571% | 2/10/48 | 4,550 | 4,812 |
4 | Citigroup Commercial Mortgage Trust 2015-GC29 | 2.674% | 4/10/48 | 2,275 | 2,356 |
4 | Citigroup Commercial Mortgage Trust 2015-GC29 | 3.192% | 4/10/48 | 9,075 | 9,570 |
4 | Citigroup Commercial Mortgage Trust 2015-GC29 | 3.758% | 4/10/48 | 4,365 | 4,550 |
4 | Citigroup Commercial Mortgage Trust 2015-GC31 | 3.762% | 6/10/48 | 4,625 | 5,086 |
4 | Citigroup Commercial Mortgage Trust 2015-GC33 | 3.778% | 9/10/58 | 5,725 | 6,300 |
4 | Citigroup Commercial Mortgage Trust 2016-C1 | 3.003% | 5/10/49 | 3,400 | 3,543 |
4 | Citigroup Commercial Mortgage Trust 2016-C1 | 3.209% | 5/10/49 | 6,500 | 6,835 |
4 | Citigroup Commercial Mortgage Trust 2016-C32 | 3.616% | 2/10/49 | 11,425 | 12,375 |
4 | Citigroup/Deutsche Bank Commercial Mortgage Trust | ||||
2016-C1 | 3.276% | 5/10/49 | 4,275 | 4,546 | |
4 | COBALT CMBS Commercial Mortgage Trust 2007-C2 | 5.484% | 4/15/47 | 2,870 | 2,922 |
4 | COBALT CMBS Commercial Mortgage Trust 2007-C3 | 5.956% | 5/15/46 | 10,508 | 10,777 |
4 | COMM 2007-C9 Mortgage Trust | 6.007% | 12/10/49 | 18,019 | 18,544 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.147% | 8/15/45 | 2,485 | 2,645 |
4 | COMM 2012-CCRE2 Mortgage Trust | 3.791% | 8/15/45 | 2,950 | 3,200 |
4,7 | COMM 2012-CCRE3 Mortgage Trust | 3.416% | 10/15/45 | 3,548 | 3,765 |
4 | COMM 2012-CCRE4 Mortgage Trust | 2.853% | 10/15/45 | 5,150 | 5,400 |
4 | COMM 2012-CCRE5 Mortgage Trust | 2.771% | 12/10/45 | 1,500 | 1,566 |
4 | COMM 2012-CR3 Mortgage Trust | 2.822% | 10/15/45 | 5,000 | 5,216 |
4 | COMM 2013-CCRE10 Mortgage Trust | 4.210% | 8/10/46 | 1,120 | 1,261 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.047% | 10/10/46 | 1,430 | 1,476 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.660% | 10/10/46 | 1,430 | 1,535 |
4 | COMM 2013-CCRE11 Mortgage Trust | 3.983% | 10/10/46 | 1,910 | 2,137 |
4 | COMM 2013-CCRE11 Mortgage Trust | 4.258% | 10/10/46 | 6,600 | 7,425 |
4 | COMM 2013-CCRE11 Mortgage Trust | 4.715% | 10/10/46 | 1,430 | 1,638 |
4 | COMM 2013-CCRE12 Mortgage Trust | 1.295% | 10/10/46 | 723 | 723 |
4 | COMM 2013-CCRE12 Mortgage Trust | 2.904% | 10/10/46 | 1,700 | 1,749 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.623% | 10/10/46 | 1,700 | 1,821 |
4 | COMM 2013-CCRE12 Mortgage Trust | 3.765% | 10/10/46 | 2,275 | 2,495 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.046% | 10/10/46 | 1,700 | 1,893 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.300% | 10/10/46 | 1,150 | 1,279 |
4 | COMM 2013-CCRE12 Mortgage Trust | 4.762% | 10/10/46 | 575 | 635 |
4 | COMM 2013-CCRE13 Mortgage Trust | 1.259% | 11/10/18 | 503 | 504 |
4 | COMM 2013-CCRE13 Mortgage Trust | 3.039% | 12/10/18 | 875 | 902 |
4 | COMM 2013-CCRE13 Mortgage Trust | 3.706% | 10/10/23 | 575 | 627 |
4 | COMM 2013-CCRE13 Mortgage Trust | 4.449% | 12/10/23 | 1,750 | 1,966 |
4 | COMM 2013-CCRE6 Mortgage Trust | 3.101% | 3/10/46 | 2,908 | 3,081 |
4 | COMM 2013-CCRE7 Mortgage Trust | 3.213% | 3/10/46 | 2,300 | 2,452 |
4 | COMM 2013-CCRE8 Mortgage Trust | 3.612% | 6/10/46 | 3,262 | 3,546 |
13
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | COMM 2013-CCRE9 Mortgage Trust | 4.375% | 7/10/45 | 4,060 | 4,594 |
4 | COMM 2013-CR13 Mortgage Trust | 4.194% | 11/10/23 | 5,850 | 6,598 |
4 | COMM 2013-LC13 Mortgage Trust | 3.009% | 8/10/46 | 1,680 | 1,731 |
4 | COMM 2013-LC13 Mortgage Trust | 4.205% | 8/10/46 | 1,680 | 1,892 |
4 | COMM 2013-LC6 Mortgage Trust | 2.941% | 1/10/46 | 5,246 | 5,526 |
4 | COMM 2013-LC6 Mortgage Trust | 3.282% | 1/10/46 | 2,547 | 2,671 |
4 | COMM 2014-CCRE14 Mortgage Trust | 3.147% | 2/10/47 | 2,375 | 2,449 |
4 | COMM 2014-CCRE14 Mortgage Trust | 4.526% | 2/10/47 | 1,950 | 2,202 |
4 | COMM 2014-CCRE14 Mortgage Trust | 4.752% | 2/10/47 | 1,175 | 1,281 |
4 | COMM 2014-CCRE15 Mortgage Trust | 2.928% | 2/10/47 | 4,124 | 4,246 |
4 | COMM 2014-CCRE15 Mortgage Trust | 3.595% | 2/10/47 | 1,422 | 1,521 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.074% | 2/10/47 | 2,641 | 2,954 |
4 | COMM 2014-CCRE15 Mortgage Trust | 4.865% | 2/10/47 | 1,320 | 1,486 |
4 | COMM 2014-CCRE16 Mortgage Trust | 3.653% | 4/10/47 | 2,206 | 2,362 |
4 | COMM 2014-CCRE16 Mortgage Trust | 4.278% | 4/10/47 | 2,950 | 3,273 |
4 | COMM 2014-CCRE19 Mortgage Trust | 3.796% | 8/10/47 | 8,400 | 9,239 |
4 | COMM 2014-CCRE19 Mortgage Trust | 4.080% | 8/10/47 | 2,250 | 2,455 |
4 | COMM 2014-CCRE21 Mortgage Trust | 3.095% | 12/10/47 | 4,429 | 4,644 |
4 | COMM 2014-CCRE21 Mortgage Trust | 3.528% | 12/10/47 | 8,575 | 9,257 |
4 | COMM 2014-CR14 Mortgage Trust | 4.236% | 2/10/47 | 1,775 | 2,008 |
4 | COMM 2014-CR17 Mortgage Trust | 3.012% | 5/10/47 | 2,800 | 2,902 |
4 | COMM 2014-CR17 Mortgage Trust | 3.598% | 5/10/47 | 1,400 | 1,488 |
4 | COMM 2014-CR17 Mortgage Trust | 3.977% | 5/10/47 | 2,225 | 2,473 |
4 | COMM 2014-CR17 Mortgage Trust | 4.377% | 5/10/47 | 1,375 | 1,497 |
4 | COMM 2014-CR18 Mortgage Trust | 3.452% | 7/15/47 | 4,315 | 4,593 |
4 | COMM 2014-CR18 Mortgage Trust | 3.828% | 7/15/47 | 1,400 | 1,541 |
4 | COMM 2014-CR18 Mortgage Trust | 4.103% | 7/15/47 | 1,845 | 2,030 |
4 | COMM 2014-CR20 Mortgage Trust | 3.590% | 11/10/47 | 2,375 | 2,581 |
4 | COMM 2014-LC15 Mortgage Trust | 2.840% | 4/10/47 | 1,675 | 1,729 |
4 | COMM 2014-LC15 Mortgage Trust | 4.006% | 4/10/47 | 8,215 | 9,132 |
4 | COMM 2014-LC17 Mortgage Trust | 3.164% | 10/10/47 | 5,575 | 5,834 |
4 | COMM 2014-LC17 Mortgage Trust | 3.917% | 10/10/47 | 2,225 | 2,465 |
4 | COMM 2014-LC19 Mortgage Trust | 3.040% | 2/10/48 | 1,150 | 1,198 |
4 | COMM 2014-LC19 Mortgage Trust | 3.183% | 2/10/48 | 5,894 | 6,225 |
4 | COMM 2014-LC19 Mortgage Trust | 3.527% | 2/10/48 | 2,687 | 2,860 |
4 | COMM 2014-UBS2 Mortgage Trust | 2.820% | 3/10/47 | 1,129 | 1,160 |
4 | COMM 2014-UBS2 Mortgage Trust | 3.472% | 3/10/47 | 981 | 1,045 |
4 | COMM 2014-UBS2 Mortgage Trust | 3.961% | 3/10/47 | 2,533 | 2,790 |
4 | COMM 2014-UBS2 Mortgage Trust | 4.199% | 3/10/47 | 709 | 774 |
4 | COMM 2014-UBS2 Mortgage Trust | 4.701% | 3/10/47 | 449 | 509 |
4 | COMM 2014-UBS3 Mortgage Trust | 2.844% | 6/10/47 | 1,675 | 1,735 |
4 | COMM 2014-UBS3 Mortgage Trust | 3.819% | 6/10/47 | 4,475 | 4,893 |
4 | COMM 2014-UBS4 Mortgage Trust | 3.694% | 8/10/47 | 5,575 | 6,025 |
4 | COMM 2014-UBS4 Mortgage Trust | 3.968% | 8/10/47 | 2,144 | 2,265 |
4 | COMM 2014-UBS5 Mortgage Trust | 3.838% | 9/10/47 | 6,650 | 7,286 |
4 | COMM 2014-UBS6 Mortgage Trust | 2.935% | 12/10/47 | 5,600 | 5,841 |
4 | COMM 2014-UBS6 Mortgage Trust | 3.387% | 12/10/47 | 5,600 | 5,949 |
4 | COMM 2014-UBS6 Mortgage Trust | 3.644% | 12/10/47 | 10,725 | 11,564 |
4 | COMM 2014-UBS6 Mortgage Trust | 4.048% | 12/10/47 | 2,800 | 3,043 |
4 | COMM 2015-CR22 Mortgage Trust | 2.856% | 3/10/48 | 2,850 | 2,964 |
4 | COMM 2015-CR22 Mortgage Trust | 3.309% | 3/10/48 | 7,950 | 8,412 |
4 | COMM 2015-CR22 Mortgage Trust | 3.603% | 3/10/48 | 2,850 | 3,022 |
4 | COMM 2015-CR23 Mortgage Trust | 3.257% | 5/10/48 | 3,475 | 3,682 |
4 | COMM 2015-CR23 Mortgage Trust | 3.497% | 5/10/48 | 5,219 | 5,616 |
4 | COMM 2015-CR23 Mortgage Trust | 3.801% | 5/10/48 | 2,325 | 2,510 |
4 | COMM 2015-CR25 Mortgage Trust | 3.759% | 8/10/48 | 5,725 | 6,265 |
4 | COMM 2015-CR26 Mortgage Trust | 3.630% | 10/10/48 | 11,600 | 12,547 |
4 | COMM 2015-CR27 Mortgage Trust | 3.404% | 10/10/48 | 5,900 | 6,303 |
4 | COMM 2015-CR27 Mortgage Trust | 3.612% | 10/10/48 | 5,900 | 6,379 |
4 | COMM 2016-CR28 Mortgage Trust | 3.762% | 2/10/49 | 8,575 | 9,390 |
4 | COMM 2016-DC2 Mortgage Trust | 3.550% | 2/10/49 | 7,000 | 7,455 |
4 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C4 | 5.509% | 9/15/39 | 1,153 | 1,153 |
14
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Credit Suisse Commercial Mortgage Trust Series 2006- | ||||
C5 | 5.311% | 12/15/39 | 10,514 | 10,563 | |
4 | Credit Suisse Commercial Mortgage Trust Series 2007- | ||||
C1 | 5.383% | 2/15/40 | 4,770 | 4,805 | |
4 | Credit Suisse Commercial Mortgage Trust Series 2007- | ||||
C3 | 5.889% | 6/15/39 | 15,672 | 15,834 | |
4 | CSAIL Commercial Mortgage Trust 2015-C1 | 3.505% | 4/15/50 | 5,550 | 6,011 |
4 | CSAIL Commercial Mortgage Trust 2015-C1 | 3.791% | 4/15/50 | 2,825 | 3,053 |
4 | CSAIL Commercial Mortgage Trust 2015-C1 | 4.044% | 4/15/50 | 2,250 | 2,410 |
4 | CSAIL Commercial Mortgage Trust 2015-C2 | 1.454% | 6/15/57 | 3,870 | 3,875 |
4 | CSAIL Commercial Mortgage Trust 2015-C2 | 3.504% | 6/15/57 | 7,400 | 7,981 |
4 | CSAIL Commercial Mortgage Trust 2015-C2 | 3.849% | 6/15/57 | 2,900 | 3,140 |
4 | CSAIL Commercial Mortgage Trust 2015-C3 | 3.448% | 8/15/48 | 4,443 | 4,752 |
4 | CSAIL Commercial Mortgage Trust 2015-C3 | 3.718% | 8/15/48 | 5,700 | 6,186 |
4 | CSAIL Commercial Mortgage Trust 2015-C3 | 4.256% | 8/15/48 | 2,625 | 2,776 |
4 | CSAIL Commercial Mortgage Trust 2015-C4 | 3.617% | 11/15/48 | 2,950 | 3,191 |
4 | CSAIL Commercial Mortgage Trust 2015-C4 | 3.808% | 11/15/48 | 4,600 | 5,068 |
4 | Discover Card Execution Note Trust 2007-A1 | 5.650% | 3/16/20 | 14,891 | 15,671 |
4 | Discover Card Execution Note Trust 2014-A3 | 1.220% | 10/15/19 | 17,675 | 17,668 |
4 | Discover Card Execution Note Trust 2014-A5 | 1.390% | 4/15/20 | 16,025 | 16,080 |
4 | Discover Card Execution Note Trust 2015-A2 | 1.900% | 10/17/22 | 14,494 | 14,849 |
4 | Discover Card Execution Note Trust 2015-A3 | 1.450% | 3/15/21 | 11,575 | 11,682 |
4 | Discover Card Execution Note Trust 2015-A4 | 2.190% | 4/17/23 | 11,500 | 11,883 |
4 | Discover Card Execution Note Trust 2016-A1 | 1.640% | 7/15/21 | 17,900 | 18,164 |
3,4 | Fannie Mae-Aces 2010-M1 | 4.450% | 9/25/19 | 2,147 | 2,337 |
3,4 | Fannie Mae-Aces 2011-M2 | 3.764% | 4/25/21 | 8,412 | 9,277 |
3,4 | Fannie Mae-Aces 2011-M4 | 3.726% | 6/25/21 | 14,650 | 16,128 |
3,4 | Fannie Mae-Aces 2012-M9 | 1.553% | 4/25/22 | 1,238 | 1,251 |
3,4 | Fannie Mae-Aces 2013-M12 | 2.473% | 3/25/23 | 13,531 | 13,859 |
3,4 | Fannie Mae-Aces 2013-M14 | 2.586% | 4/25/23 | 16,747 | 17,349 |
3,4 | Fannie Mae-Aces 2013-M14 | 3.329% | 10/25/23 | 17,850 | 19,371 |
3,4 | Fannie Mae-Aces 2013-M4 | 2.608% | 3/25/22 | 1,000 | 1,053 |
3,4 | Fannie Mae-Aces 2013-M7 | 2.280% | 12/27/22 | 5,600 | 5,750 |
3,4 | Fannie Mae-Aces 2014-M1 | 2.323% | 11/25/18 | 20,323 | 20,798 |
3,4 | Fannie Mae-Aces 2014-M1 | 3.411% | 7/25/23 | 22,275 | 24,198 |
3,4 | Fannie Mae-Aces 2014-M10 | 2.171% | 9/25/19 | 11,300 | 11,639 |
3,4 | Fannie Mae-Aces 2014-M12 | 2.614% | 10/25/21 | 16,850 | 17,644 |
3,4 | Fannie Mae-Aces 2014-M13 | 1.637% | 11/25/17 | 2,332 | 2,349 |
3,4 | Fannie Mae-Aces 2014-M13 | 2.566% | 8/25/24 | 2,405 | 2,533 |
3,4 | Fannie Mae-Aces 2014-M13 | 3.021% | 8/25/24 | 6,750 | 7,191 |
3,4 | Fannie Mae-Aces 2014-M15 | 2.509% | 7/25/22 | 6,200 | 6,426 |
3,4 | Fannie Mae-Aces 2014-M2 | 1.916% | 6/25/21 | 3,451 | 3,494 |
3,4 | Fannie Mae-Aces 2014-M2 | 3.513% | 12/25/23 | 17,626 | 19,351 |
3,4 | Fannie Mae-Aces 2014-M3 | 2.613% | 1/25/24 | 5,877 | 6,179 |
3,4 | Fannie Mae-Aces 2014-M3 | 3.501% | 1/25/24 | 7,825 | 8,614 |
3,4 | Fannie Mae-Aces 2014-M4 | 3.346% | 3/25/24 | 8,175 | 8,965 |
3,4 | Fannie Mae-Aces 2014-M6 | 2.679% | 5/25/21 | 19,990 | 20,996 |
3,4 | Fannie Mae-Aces 2014-M7 | 3.356% | 6/25/24 | 16,256 | 18,034 |
3,4 | Fannie Mae-Aces 2014-M8 | 2.346% | 6/25/24 | 2,397 | 2,495 |
3,4 | Fannie Mae-Aces 2014-M8 | 3.056% | 6/25/24 | 8,325 | 8,874 |
3,4 | Fannie Mae-Aces 2014-M9 | 1.462% | 4/25/17 | 9,602 | 9,582 |
3,4 | Fannie Mae-Aces 2014-M9 | 3.103% | 7/25/24 | 10,459 | 11,331 |
3,4 | Fannie Mae-Aces 2015-M1 | 1.626% | 2/25/18 | 4,256 | 4,291 |
3,4 | Fannie Mae-Aces 2015-M1 | 2.532% | 9/25/24 | 15,000 | 15,530 |
3,4 | Fannie Mae-Aces 2015-M10 | 3.092% | 4/25/27 | 4,600 | 4,916 |
3,4 | Fannie Mae-Aces 2015-M12 | 2.885% | 5/25/25 | 11,600 | 12,106 |
3,4 | Fannie Mae-Aces 2015-M15 | 2.923% | 10/25/25 | 14,400 | 15,152 |
3,4 | Fannie Mae-Aces 2015-M2 | 2.620% | 12/25/24 | 10,875 | 11,131 |
3,4 | Fannie Mae-Aces 2015-M3 | 2.723% | 10/25/24 | 5,650 | 5,908 |
3,4 | Fannie Mae-Aces 2015-M7 | 1.550% | 4/25/18 | 2,850 | 2,877 |
3,4 | Fannie Mae-Aces 2015-M7 | 2.590% | 12/25/24 | 10,125 | 10,516 |
3,4 | Fannie Mae-Aces 2015-M8 | 2.344% | 1/25/25 | 5,447 | 5,690 |
3,4 | Fannie Mae-Aces 2015-M8 | 2.900% | 1/25/25 | 5,700 | 6,102 |
3,4 | Fannie Mae-Aces 2016-M2 | 2.152% | 1/25/23 | 10,275 | 10,426 |
15
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | Fannie Mae-Aces 2016-M3 | 2.702% | 2/25/26 | 5,800 | 6,054 |
3,4 | Fannie Mae-Aces 2016-M4 | 2.576% | 3/25/26 | 5,775 | 5,980 |
3,4 | Fannie Mae-Aces 2016-M5 | 2.469% | 4/25/26 | 12,400 | 12,777 |
3,4 | Fannie Mae-Aces 2016-M6 | 2.488% | 5/25/26 | 8,500 | 8,724 |
3 | Federal Housing Administration | 7.430% | 10/1/20 | 1 | 1 |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K005 | 3.484% | 4/25/19 | 9,762 | 9,960 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K006 | 3.398% | 7/25/19 | 7,008 | 7,213 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K007 | 3.342% | 12/25/19 | 5,438 | 5,540 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K009 | 2.757% | 5/25/20 | 8,427 | 8,581 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K010 | 2.412% | 8/25/18 | 3,633 | 3,725 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K010 | 3.320% | 7/25/20 | 9,368 | 9,606 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K011 | 4.084% | 11/25/20 | 13,725 | 15,178 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K012 | 4.186% | 12/25/20 | 1,025 | 1,146 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K014 | 3.871% | 4/25/21 | 6,800 | 7,514 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K017 | 2.873% | 12/25/21 | 18,650 | 19,753 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K019 | 2.272% | 3/25/22 | 7,835 | 8,065 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K020 | 2.373% | 5/25/22 | 20,750 | 21,531 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K021 | 2.396% | 6/25/22 | 11,840 | 12,383 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K021 | 3.490% | 1/25/24 | 675 | 752 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K022 | 2.355% | 7/25/22 | 870 | 908 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K026 | 2.510% | 11/25/22 | 16,600 | 17,380 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K027 | 2.637% | 1/25/23 | 16,625 | 17,568 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K028 | 3.111% | 2/25/23 | 26,300 | 28,590 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K028 | 2.745% | 1/25/26 | 10,375 | 10,950 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K029 | 3.320% | 2/25/23 | 16,425 | 18,030 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K030 | 2.779% | 9/25/22 | 14,280 | 14,852 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K030 | 3.250% | 4/25/23 | 17,675 | 19,336 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K031 | 3.300% | 4/25/23 | 16,452 | 18,058 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K032 | 3.016% | 2/25/23 | 13,920 | 14,721 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K032 | 3.310% | 5/25/23 | 17,660 | 19,397 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K033 | 2.871% | 2/25/23 | 14,625 | 15,376 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K033 | 3.060% | 7/25/23 | 19,075 | 20,631 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K034 | 3.531% | 7/25/23 | 15,354 | 17,089 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K035 | 3.458% | 8/25/23 | 19,775 | 21,867 |
16
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K036 | 3.527% | 10/25/23 | 17,403 | 19,351 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K038 | 2.604% | 10/25/23 | 4,962 | 5,200 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K038 | 3.389% | 3/25/24 | 19,450 | 21,526 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K039 | 2.683% | 12/25/23 | 3,513 | 3,690 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K039 | 3.303% | 7/25/24 | 10,850 | 11,957 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K040 | 2.768% | 4/25/24 | 5,483 | 5,806 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K040 | 3.241% | 9/25/24 | 14,400 | 15,777 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K041 | 3.171% | 10/25/24 | 14,025 | 15,347 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K042 | 2.267% | 6/25/24 | 2,731 | 2,863 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K042 | 2.670% | 12/25/24 | 6,450 | 6,784 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K043 | 2.532% | 10/25/23 | 2,740 | 2,863 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K043 | 2.493% | 11/25/24 | 5,610 | 5,935 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K043 | 3.062% | 12/25/24 | 8,400 | 9,108 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K043 | 3.023% | 1/25/25 | 9,050 | 9,805 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K046 | 3.205% | 3/25/25 | 9,175 | 10,015 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K047 | 2.827% | 12/25/24 | 2,822 | 3,005 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K047 | 3.329% | 5/25/25 | 6,850 | 7,542 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K048 | 3.284% | 6/25/25 | 11,600 | 12,810 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K049 | 3.010% | 7/25/25 | 6,350 | 6,832 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K050 | 3.334% | 8/25/25 | 10,325 | 11,409 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K052 | 3.151% | 11/25/25 | 7,025 | 7,645 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K053 | 2.995% | 12/25/25 | 4,050 | 4,356 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K055 | 2.673% | 3/25/26 | 11,200 | 11,734 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K152 | 3.080% | 1/25/31 | 5,800 | 6,006 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K503 | 1.384% | 1/25/19 | 7,575 | 7,601 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K503 | 2.456% | 8/25/19 | 17,225 | 17,756 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K504 | 2.566% | 9/25/20 | 5,775 | 5,996 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K702 | 3.154% | 2/25/18 | 23,786 | 24,448 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K706 | 2.323% | 10/25/18 | 6,769 | 6,951 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K707 | 2.220% | 12/25/18 | 7,650 | 7,847 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K708 | 1.670% | 10/25/18 | 146 | 146 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K709 | 2.086% | 3/25/19 | 350 | 359 |
17
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K710 | 1.883% | 5/25/19 | 1,475 | 1,505 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K711 | 1.321% | 12/25/18 | 8,708 | 8,729 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K711 | 1.730% | 7/25/19 | 23,375 | 23,672 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K712 | 1.869% | 11/25/19 | 11,200 | 11,440 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K713 | 2.313% | 3/25/20 | 27,800 | 28,820 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K714 | 3.034% | 10/25/20 | 23,455 | 24,968 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K716 | 3.130% | 6/25/21 | 18,645 | 20,126 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K716 | 2.413% | 8/25/47 | 3,256 | 3,347 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K717 | 2.991% | 9/25/21 | 11,200 | 12,044 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K718 | 2.375% | 9/25/21 | 12,463 | 12,938 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K718 | 2.791% | 1/25/22 | 10,825 | 11,558 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates K722 | 2.183% | 5/25/22 | 4,100 | 4,182 | |
3,4 | FHLMC Multifamily Structured Pass Through | ||||
Certificates KW01 | 2.853% | 1/25/26 | 11,600 | 12,317 | |
3,4 | FHLMC Multifamily Structures Pass Through | ||||
Certificates K715 | 2.856% | 1/25/21 | 6,180 | 6,579 | |
3,4 | FHLMC Multifamily Structures Pass Through | ||||
Certificates K715 | 2.716% | 6/25/22 | 7,525 | 7,990 | |
4 | Fifth Third Auto 2014-1 | 0.680% | 4/16/18 | 987 | 987 |
4 | Fifth Third Auto 2014-1 | 1.420% | 3/16/20 | 5,900 | 5,935 |
4 | Fifth Third Auto 2014-1 | 1.140% | 10/15/20 | 2,370 | 2,373 |
4 | Fifth Third Auto 2014-2 | 0.890% | 11/15/18 | 1,527 | 1,527 |
4 | Fifth Third Auto 2014-2 | 1.380% | 12/15/20 | 1,425 | 1,431 |
4 | Ford Credit Auto Lease Trust 2014-A | 0.900% | 6/15/17 | 40 | 40 |
4 | Ford Credit Auto Lease Trust 2014-A | 1.160% | 8/15/17 | 1,575 | 1,575 |
4 | Ford Credit Auto Lease Trust 2014-B | 0.890% | 9/15/17 | 1,271 | 1,271 |
4 | Ford Credit Auto Lease Trust 2015-A | 1.130% | 6/15/18 | 4,575 | 4,581 |
4 | Ford Credit Auto Lease Trust 2015-A | 1.310% | 8/15/18 | 1,150 | 1,153 |
4 | Ford Credit Auto Lease Trust 2015-B | 1.380% | 12/15/18 | 4,125 | 4,129 |
4 | Ford Credit Auto Lease Trust 2015-B | 1.540% | 2/15/19 | 2,950 | 2,956 |
4 | Ford Credit Auto Owner Trust 2013-B | 0.760% | 8/15/18 | 1,394 | 1,393 |
4 | Ford Credit Auto Owner Trust 2013-C | 0.820% | 12/15/17 | 349 | 349 |
4 | Ford Credit Auto Owner Trust 2013-C | 1.250% | 10/15/18 | 1,180 | 1,183 |
4 | Ford Credit Auto Owner Trust 2013-D | 0.670% | 4/15/18 | 909 | 908 |
4 | Ford Credit Auto Owner Trust 2013-D | 1.110% | 2/15/19 | 550 | 551 |
4 | Ford Credit Auto Owner Trust 2014-A | 0.790% | 5/15/18 | 1,094 | 1,094 |
4 | Ford Credit Auto Owner Trust 2014-A | 1.290% | 4/15/19 | 600 | 602 |
4 | Ford Credit Auto Owner Trust 2014-B | 0.900% | 10/15/18 | 3,094 | 3,094 |
4 | Ford Credit Auto Owner Trust 2014-B | 1.420% | 8/15/19 | 850 | 852 |
4 | Ford Credit Auto Owner Trust 2015-A | 1.280% | 9/15/19 | 2,700 | 2,709 |
4 | Ford Credit Auto Owner Trust 2015-A | 1.640% | 6/15/20 | 850 | 858 |
4 | Ford Credit Auto Owner Trust 2015-B | 1.160% | 11/15/19 | 3,675 | 3,684 |
4 | Ford Credit Auto Owner Trust 2015-B | 1.580% | 8/15/20 | 1,450 | 1,461 |
4 | Ford Credit Auto Owner Trust 2015-C | 1.410% | 2/15/20 | 2,825 | 2,843 |
4 | Ford Credit Auto Owner Trust 2015-C | 1.740% | 2/15/21 | 1,300 | 1,313 |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2013-5 | 1.500% | 9/15/18 | 4,675 | 4,680 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-1 | 1.200% | 2/15/19 | 5,400 | 5,409 | |
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2014-4 | 1.400% | 8/15/19 | 11,200 | 11,177 |
18
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Ford Credit Floorplan Master Owner Trust A Series | ||||
2016-1 | 1.760% | 2/15/21 | 11,400 | 11,455 | |
4 | GE Capital Credit Card Master Note Trust Series 2012-7 | 1.760% | 9/15/22 | 6,545 | 6,609 |
4 | GE Commercial Mortgage Corp. Series 2005-C4 Trust | 5.628% | 11/10/45 | 4,320 | 4,319 |
4 | GE Commercial Mortgage Corp. Series 2007-C1 Trust | 5.543% | 12/10/49 | 6,775 | 6,823 |
4 | GM Financial Leasing Trust 2015-2 | 1.680% | 12/20/18 | 5,200 | 5,239 |
4 | GM Financial Leasing Trust 2015-2 | 1.850% | 7/22/19 | 2,630 | 2,646 |
4 | GM Financial Leasing Trust 2015-3 | 1.690% | 3/20/19 | 2,850 | 2,872 |
4 | GM Financial Leasing Trust 2015-3 | 1.810% | 11/20/19 | 2,975 | 2,987 |
4 | GM Financial Leasing Trust 2016-1 | 1.790% | 3/20/20 | 5,825 | 5,833 |
4 | GM Financial Leasing Trust 2016-2 | 1.620% | 9/20/19 | 5,725 | 5,755 |
4 | GS Mortgage Securities Trust 2007-GG10 | 5.988% | 8/10/45 | 5,343 | 5,466 |
4 | GS Mortgage Securities Trust 2011-GC5 | 3.707% | 8/10/44 | 3,220 | 3,503 |
4 | GS Mortgage Securities Trust 2012-GC6 | 3.482% | 1/10/45 | 12,500 | 13,482 |
4 | GS Mortgage Securities Trust 2012-GCJ7 | 3.377% | 5/10/45 | 7,475 | 8,021 |
4 | GS Mortgage Securities Trust 2012-GCJ9 | 2.773% | 11/10/45 | 5,530 | 5,784 |
4 | GS Mortgage Securities Trust 2013-GC10 | 2.943% | 2/10/46 | 4,077 | 4,278 |
4 | GS Mortgage Securities Trust 2013-GC10 | 3.279% | 2/10/46 | 1,529 | 1,598 |
4 | GS Mortgage Securities Trust 2013-GCJ12 | 3.135% | 6/10/46 | 5,682 | 6,045 |
GS Mortgage Securities Trust 2013-GCJ12 | 3.375% | 6/10/46 | 1,792 | 1,888 | |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 2.995% | 8/10/46 | 2,055 | 2,108 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 3.817% | 8/10/46 | 1,470 | 1,583 |
4 | GS Mortgage Securities Trust 2013-GCJ14 | 4.243% | 8/10/46 | 7,350 | 8,315 |
4 | GS Mortgage Securities Trust 2013-GCJ16 | 3.033% | 11/10/46 | 2,600 | 2,674 |
4 | GS Mortgage Securities Trust 2013-GCJ16 | 3.813% | 11/10/46 | 1,100 | 1,199 |
4 | GS Mortgage Securities Trust 2013-GCJ16 | 4.271% | 11/10/46 | 1,525 | 1,731 |
4 | GS Mortgage Securities Trust 2014-GC18 | 1.298% | 1/10/47 | 1,259 | 1,256 |
4 | GS Mortgage Securities Trust 2014-GC18 | 4.074% | 1/10/47 | 8,000 | 8,932 |
4 | GS Mortgage Securities Trust 2014-GC18 | 4.383% | 1/10/47 | 1,975 | 2,208 |
4 | GS Mortgage Securities Trust 2014-GC18 | 3.467% | 6/10/47 | 2,225 | 2,395 |
4 | GS Mortgage Securities Trust 2014-GC18 | 3.516% | 6/10/47 | 500 | 533 |
4 | GS Mortgage Securities Trust 2014-GC18 | 3.862% | 6/10/47 | 1,950 | 2,154 |
4 | GS Mortgage Securities Trust 2014-GC24 | 3.931% | 9/10/47 | 6,125 | 6,798 |
4 | GS Mortgage Securities Trust 2014-GC24 | 4.641% | 9/10/47 | 1,675 | 1,882 |
4 | GS Mortgage Securities Trust 2014-GC26 | 2.902% | 11/10/47 | 1,850 | 1,928 |
4 | GS Mortgage Securities Trust 2014-GC26 | 3.365% | 11/10/47 | 3,400 | 3,656 |
4 | GS Mortgage Securities Trust 2014-GC26 | 3.629% | 11/10/47 | 11,450 | 12,412 |
4 | GS Mortgage Securities Trust 2014-GC26 | 3.964% | 11/10/47 | 2,000 | 2,161 |
4 | GS Mortgage Securities Trust 2014-GC26 | 4.215% | 11/10/47 | 1,700 | 1,863 |
4 | GS Mortgage Securities Trust 2015-GC28 | 3.396% | 2/10/48 | 6,200 | 6,591 |
4 | GS Mortgage Securities Trust 2015-GC30 | 2.726% | 5/10/50 | 4,025 | 4,179 |
4 | GS Mortgage Securities Trust 2015-GC30 | 3.382% | 5/10/50 | 5,700 | 6,096 |
4 | GS Mortgage Securities Trust 2015-GC32 | 3.513% | 7/10/48 | 5,775 | 6,239 |
4 | GS Mortgage Securities Trust 2015-GC32 | 3.764% | 7/10/48 | 2,275 | 2,503 |
4 | GS Mortgage Securities Trust 2015-GC34 | 3.278% | 10/10/48 | 5,900 | 6,304 |
4 | GS Mortgage Securities Trust 2015-GC34 | 3.506% | 10/10/48 | 5,600 | 6,044 |
4 | GS Mortgage Securities Trust 2016-GS2 | 3.050% | 5/10/49 | 4,425 | 4,637 |
4 | Honda Auto Receivables 2013-2 Owner Trust | 0.660% | 6/17/19 | 1,402 | 1,402 |
4 | Honda Auto Receivables 2013-4 Owner Trust | 0.690% | 9/18/17 | 434 | 434 |
4 | Honda Auto Receivables 2013-4 Owner Trust | 1.040% | 2/18/20 | 1,650 | 1,650 |
4 | Honda Auto Receivables 2014-1 Owner Trust | 0.670% | 11/21/17 | 1,552 | 1,551 |
4 | Honda Auto Receivables 2014-1 Owner Trust | 1.040% | 2/21/20 | 1,707 | 1,709 |
4 | Honda Auto Receivables 2014-2 Owner Trust | 0.770% | 3/19/18 | 1,454 | 1,453 |
4 | Honda Auto Receivables 2014-2 Owner Trust | 1.180% | 5/18/20 | 1,375 | 1,376 |
4 | Honda Auto Receivables 2014-3 Owner Trust | 0.880% | 6/15/18 | 3,713 | 3,716 |
4 | Honda Auto Receivables 2014-3 Owner Trust | 1.310% | 10/15/20 | 3,025 | 3,042 |
4 | Honda Auto Receivables 2015-1 Owner Trust | 1.050% | 10/15/18 | 5,050 | 5,059 |
4 | Honda Auto Receivables 2015-1 Owner Trust | 1.320% | 11/16/20 | 3,675 | 3,694 |
4 | Honda Auto Receivables 2015-2 Owner Trust | 1.040% | 2/21/19 | 4,275 | 4,282 |
4 | Honda Auto Receivables 2015-2 Owner Trust | 1.470% | 8/23/21 | 2,500 | 2,519 |
4 | Honda Auto Receivables 2015-3 Owner Trust | 1.270% | 4/18/19 | 4,625 | 4,644 |
4 | Honda Auto Receivables 2015-3 Owner Trust | 1.560% | 10/18/21 | 1,150 | 1,162 |
4 | Honda Auto Receivables 2015-4 Owner Trust | 1.230% | 9/23/19 | 5,900 | 5,925 |
4 | Honda Auto Receivables 2015-4 Owner Trust | 1.440% | 1/21/22 | 1,600 | 1,605 |
19
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Huntington Auto Trust 2015-1 | 1.240% | 9/16/19 | 5,775 | 5,793 |
4 | Hyundai Auto Receivables Trust 2012-C | 0.730% | 6/15/18 | 792 | 792 |
4 | Hyundai Auto Receivables Trust 2013-A | 0.750% | 9/17/18 | 3,127 | 3,125 |
4 | Hyundai Auto Receivables Trust 2013-B | 1.010% | 2/15/19 | 2,172 | 2,173 |
4 | Hyundai Auto Receivables Trust 2013-C | 1.550% | 3/15/19 | 2,890 | 2,900 |
4 | Hyundai Auto Receivables Trust 2014-A | 0.790% | 7/16/18 | 1,167 | 1,167 |
4 | Hyundai Auto Receivables Trust 2014-B | 0.900% | 12/17/18 | 3,450 | 3,450 |
4 | Hyundai Auto Receivables Trust 2014-B | 1.460% | 11/15/19 | 1,370 | 1,374 |
4 | Hyundai Auto Receivables Trust 2015-A | 1.370% | 7/15/20 | 1,700 | 1,706 |
4 | Hyundai Auto Receivables Trust 2015-C | 1.460% | 2/18/20 | 2,075 | 2,090 |
4 | Hyundai Auto Receivables Trust 2015-C | 1.780% | 11/15/21 | 1,500 | 1,517 |
4 | Hyundai Auto Receivables Trust 2016-A | 1.560% | 9/15/20 | 1,800 | 1,815 |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2005-CIBC11 | 5.588% | 8/12/37 | 185 | 184 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP7 | 6.184% | 4/17/45 | 2,464 | 2,458 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2006-LDP8 | 5.440% | 5/15/45 | 4,525 | 4,531 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-CIBC20 | 5.794% | 2/12/51 | 25,007 | 25,875 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-CIBC20 | 6.087% | 2/12/51 | 3,645 | 3,818 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP11 | 5.927% | 6/15/49 | 8,610 | 8,797 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2007-LDP12 | 5.882% | 2/15/51 | 13,170 | 13,435 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C6 | 3.507% | 5/15/45 | 9,250 | 10,012 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-C8 | 2.829% | 10/15/45 | 6,675 | 6,982 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-CIBX | 3.483% | 6/15/45 | 7,490 | 8,071 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2012-LC9 | 2.840% | 12/15/47 | 3,750 | 3,921 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C10 | 3.143% | 12/15/47 | 2,314 | 2,456 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C10 | 3.372% | 12/15/47 | 1,735 | 1,830 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.674% | 12/15/46 | 1,600 | 1,737 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 3.881% | 12/15/46 | 2,300 | 2,558 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.166% | 12/15/46 | 9,174 | 10,337 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 4.517% | 12/15/46 | 1,600 | 1,796 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-C16 | 5.076% | 12/15/46 | 1,600 | 1,777 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2013-LC11 | 2.960% | 4/15/46 | 11,478 | 12,042 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2014-C20 | 2.872% | 7/15/47 | 2,250 | 2,340 | |
4 | JP Morgan Chase Commercial Mortgage Securities | ||||
Trust 2014-C20 | 3.805% | 7/15/47 | 850 | 934 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 3.664% | 7/15/45 | 1,776 | 1,943 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C12 | 4.161% | 7/15/45 | 1,184 | 1,296 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 3.761% | 8/15/46 | 1,680 | 1,829 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 4.133% | 8/15/46 | 4,470 | 5,026 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C14 | 4.409% | 8/15/46 | 1,260 | 1,412 |
20
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 2.977% | 11/15/45 | 3,211 | 3,316 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 3.659% | 11/15/45 | 420 | 456 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.131% | 11/15/45 | 2,940 | 3,310 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C15 | 4.420% | 11/15/45 | 1,680 | 1,874 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 3.003% | 1/15/47 | 2,200 | 2,282 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 3.705% | 1/15/47 | 1,650 | 1,795 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 4.199% | 1/15/47 | 5,500 | 6,216 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 4.458% | 1/15/47 | 1,100 | 1,230 | |
4 | JPMBB Commercial Mortgage Securities Trust 2013- | ||||
C17 | 5.050% | 1/15/47 | 1,650 | 1,914 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.079% | 2/15/47 | 6,590 | 7,382 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.439% | 2/15/47 | 1,173 | 1,306 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C18 | 4.974% | 2/15/47 | 1,422 | 1,616 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C19 | 3.046% | 4/15/47 | 2,225 | 2,322 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C19 | 3.669% | 4/15/47 | 2,800 | 2,982 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C19 | 3.997% | 4/15/47 | 2,800 | 3,120 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C19 | 4.243% | 4/15/47 | 2,225 | 2,450 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C19 | 4.110% | 9/15/47 | 2,225 | 2,416 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C21 | 3.428% | 8/15/47 | 1,411 | 1,516 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C21 | 3.775% | 8/15/47 | 1,375 | 1,512 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C21 | 3.997% | 8/15/47 | 850 | 921 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C22 | 3.801% | 9/15/47 | 8,325 | 9,147 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C23 | 3.934% | 9/15/47 | 4,175 | 4,636 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C23 | 4.202% | 9/15/47 | 2,462 | 2,710 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C24 | 2.940% | 11/15/47 | 2,850 | 2,980 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C24 | 3.639% | 11/15/47 | 2,275 | 2,477 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C24 | 3.914% | 11/15/47 | 4,125 | 4,461 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C25 | 3.672% | 11/15/47 | 9,975 | 10,886 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C25 | 4.065% | 11/15/47 | 2,775 | 3,040 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.019% | 1/15/48 | 5,725 | 6,002 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.494% | 1/15/48 | 16,450 | 17,739 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.800% | 1/15/48 | 2,875 | 3,058 | |
4 | JPMBB Commercial Mortgage Securities Trust 2014- | ||||
C26 | 3.951% | 1/15/48 | 2,875 | 3,003 |
21
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C27 | 2.734% | 2/15/48 | 4,695 | 4,882 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C27 | 3.017% | 2/15/48 | 5,715 | 6,005 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C27 | 3.179% | 2/15/48 | 3,048 | 3,210 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C28 | 2.773% | 10/15/48 | 5,725 | 5,925 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C28 | 3.227% | 10/15/48 | 6,775 | 7,150 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C28 | 3.532% | 10/15/48 | 1,725 | 1,807 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C29 | 2.921% | 5/15/48 | 5,000 | 5,241 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C29 | 3.304% | 5/15/48 | 2,963 | 3,165 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C29 | 3.611% | 5/15/48 | 4,650 | 5,051 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.559% | 7/15/48 | 5,775 | 6,250 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 3.822% | 7/15/48 | 5,675 | 6,254 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C30 | 4.226% | 7/15/48 | 2,900 | 3,224 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C31 | 3.540% | 8/15/48 | 2,772 | 3,004 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C31 | 3.801% | 8/15/48 | 2,960 | 3,260 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C32 | 3.358% | 11/15/48 | 5,875 | 6,296 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C32 | 3.598% | 11/15/48 | 5,875 | 6,377 | |
4 | JPMBB Commercial Mortgage Securities Trust 2015- | ||||
C33 | 3.770% | 12/15/48 | 4,230 | 4,654 | |
4 | JPMBB Commercial Mortgage Securities Trust 2016- | ||||
C1 | 3.316% | 3/15/49 | 4,675 | 4,995 | |
4 | JPMCC Commercial Mortgage Securities Trust 2015- | ||||
JP1 | 3.914% | 1/15/49 | 4,600 | 5,141 | |
4 | JPMDB WP Glimcher Mall Trust 2016-C2 | 3.144% | 6/15/49 | 4,400 | 4,624 |
4 | JPMDB WP Glimcher Mall Trust 2016-C2 | 3.484% | 6/15/49 | 2,050 | 2,162 |
4 | LB Commercial Mortgage Trust 2007-C3 | 6.118% | 7/15/44 | 565 | 576 |
4 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.372% | 9/15/39 | 4,262 | 4,262 |
4 | LB-UBS Commercial Mortgage Trust 2006-C6 | 5.413% | 9/15/39 | 1,175 | 1,178 |
4 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.347% | 11/15/38 | 2,422 | 2,426 |
4 | LB-UBS Commercial Mortgage Trust 2006-C7 | 5.378% | 11/15/38 | 3,125 | 3,152 |
4 | LB-UBS Commercial Mortgage Trust 2007-C1 | 5.424% | 2/15/40 | 24,055 | 24,195 |
4 | LB-UBS Commercial Mortgage Trust 2007-C2 | 5.430% | 2/15/40 | 10,218 | 10,345 |
4 | LB-UBS Commercial Mortgage Trust 2007-C7 | 5.866% | 9/15/45 | 17,506 | 18,234 |
4 | LB-UBS Commercial Mortgage Trust 2008-C1 | 6.248% | 4/15/41 | 19,878 | 20,865 |
4 | Mercedes-Benz Auto Lease Trust 2015-A | 1.210% | 10/15/20 | 8,550 | 8,561 |
4 | Mercedes-Benz Auto Lease Trust 2015-B | 1.340% | 7/16/18 | 2,950 | 2,961 |
4 | Mercedes-Benz Auto Lease Trust 2015-B | 1.530% | 5/17/21 | 1,750 | 1,761 |
4 | Mercedes-Benz Auto Receivables Trust 2013-1 | 0.780% | 8/15/17 | 44 | 44 |
4 | Mercedes-Benz Auto Receivables Trust 2013-1 | 1.130% | 11/15/19 | 1,180 | 1,181 |
4 | Mercedes-Benz Auto Receivables Trust 2014-1 | 0.870% | 10/15/18 | 1,930 | 1,929 |
4 | Mercedes-Benz Auto Receivables Trust 2014-1 | 1.310% | 11/16/20 | 825 | 827 |
4 | Mercedes-Benz Auto Receivables Trust 2015-1 | 1.340% | 12/16/19 | 3,400 | 3,419 |
4 | Mercedes-Benz Auto Receivables Trust 2015-1 | 1.750% | 12/15/21 | 1,175 | 1,194 |
4 | Merrill Lynch Mortgage Trust 2006-C2 | 5.782% | 8/12/43 | 2,823 | 2,820 |
4 | Merrill Lynch Mortgage Trust 2007-C1 | 6.021% | 6/12/50 | 24,868 | 25,376 |
4 | Merrill Lynch Mortgage Trust 2008-C1 | 5.690% | 2/12/51 | 15,604 | 16,233 |
4 | ML-CFC Commercial Mortgage Trust 2006-3 | 5.456% | 7/12/46 | 3,770 | 3,773 |
4 | ML-CFC Commercial Mortgage Trust 2006-4 | 5.204% | 12/12/49 | 2,496 | 2,524 |
4 | ML-CFC Commercial Mortgage Trust 2007-5 | 5.378% | 8/12/48 | 12,015 | 12,126 |
22
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | ML-CFC Commercial Mortgage Trust 2007-7 | 5.810% | 6/12/50 | 8,013 | 8,258 |
4 | ML-CFC Commercial Mortgage Trust 2007-9 | 5.700% | 9/12/49 | 14,416 | 14,815 |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C5 | 3.176% | 8/15/45 | 3,025 | 3,207 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2012-C6 | 2.858% | 11/15/45 | 3,000 | 3,138 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C10 | 4.219% | 7/15/46 | 8,000 | 8,956 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 4.360% | 8/15/46 | 1,680 | 1,906 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C11 | 4.560% | 8/15/46 | 840 | 940 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 3.001% | 10/15/46 | 2,340 | 2,407 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C12 | 4.259% | 10/15/46 | 3,915 | 4,434 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C13 | 2.936% | 11/15/46 | 1,750 | 1,805 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C13 | 4.039% | 11/15/46 | 3,500 | 3,904 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C13 | 4.903% | 11/15/46 | 1,750 | 1,983 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 2.918% | 2/15/46 | 3,011 | 3,155 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C7 | 3.214% | 2/15/46 | 599 | 626 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C8 | 3.134% | 12/15/48 | 3,475 | 3,689 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C8 | 3.376% | 12/15/48 | 1,800 | 1,896 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C9 | 3.102% | 5/15/46 | 3,475 | 3,670 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2013-C9 | 3.456% | 5/15/46 | 2,150 | 2,275 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 1.250% | 2/15/47 | 1,086 | 1,081 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 2.916% | 2/15/47 | 2,200 | 2,273 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 3.669% | 2/15/47 | 4,695 | 4,976 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.064% | 2/15/47 | 4,475 | 5,017 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C14 | 4.802% | 2/15/47 | 1,600 | 1,758 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 2.849% | 6/15/47 | 850 | 879 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 3.477% | 6/15/47 | 1,125 | 1,200 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 3.892% | 6/15/47 | 4,200 | 4,638 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C16 | 4.482% | 6/15/47 | 1,675 | 1,856 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C18 | 3.194% | 10/15/47 | 5,000 | 5,235 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C18 | 3.923% | 10/15/47 | 1,400 | 1,552 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C18 | 4.593% | 10/15/47 | 1,675 | 1,908 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.101% | 12/15/47 | 5,700 | 5,973 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.326% | 12/15/47 | 3,925 | 4,159 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2014-C19 | 3.526% | 12/15/47 | 5,050 | 5,496 |
23
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C20 | 3.069% | 2/15/48 | 2,875 | 3,009 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C20 | 3.249% | 2/15/48 | 10,125 | 10,709 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C21 | 3.338% | 3/15/48 | 2,500 | 2,597 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C22 | 3.040% | 4/15/48 | 5,725 | 5,984 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C22 | 3.306% | 4/15/48 | 4,500 | 4,719 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C22 | 3.883% | 4/15/48 | 2,875 | 2,992 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C23 | 2.982% | 7/15/50 | 2,900 | 3,035 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C23 | 3.398% | 7/15/50 | 1,750 | 1,866 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C23 | 3.719% | 7/15/50 | 5,775 | 6,324 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C25 | 3.383% | 10/15/48 | 6,550 | 6,964 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C25 | 3.635% | 10/15/48 | 3,475 | 3,794 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C26 | 3.323% | 10/15/48 | 3,825 | 4,075 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C26 | 3.531% | 10/15/48 | 4,325 | 4,693 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C27 | 3.557% | 12/15/47 | 2,950 | 3,179 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2015-C27 | 3.753% | 12/15/47 | 3,500 | 3,847 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2016-C28 | 3.288% | 1/15/49 | 4,175 | 4,363 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2016-C28 | 3.544% | 1/15/49 | 11,975 | 12,965 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2016-C29 | 3.140% | 5/15/49 | 2,200 | 2,307 | |
4 | Morgan Stanley Bank of America Merrill Lynch Trust | ||||
2016-C29 | 3.325% | 5/15/49 | 1,250 | 1,329 | |
4 | Morgan Stanley Capital I Trust 2005-IQ9 | 4.770% | 7/15/56 | 2,107 | 2,114 |
4 | Morgan Stanley Capital I Trust 2005-TOP19 | 4.985% | 6/12/47 | 48 | 48 |
4 | Morgan Stanley Capital I Trust 2006-HQ10 | 5.328% | 11/12/41 | 1,958 | 1,957 |
4 | Morgan Stanley Capital I Trust 2006-HQ9 | 5.793% | 7/12/44 | 2,736 | 2,734 |
4 | Morgan Stanley Capital I Trust 2006-IQ12 | 5.370% | 12/15/43 | 1,960 | 1,974 |
4 | Morgan Stanley Capital I Trust 2007-IQ14 | 5.654% | 4/15/49 | 239 | 240 |
4 | Morgan Stanley Capital I Trust 2007-IQ14 | 5.692% | 4/15/49 | 14,295 | 14,476 |
4 | Morgan Stanley Capital I Trust 2007-IQ15 | 6.102% | 6/11/49 | 14,132 | 14,642 |
4 | Morgan Stanley Capital I Trust 2007-IQ16 | 5.809% | 12/12/49 | 14,868 | 15,396 |
4 | Morgan Stanley Capital I Trust 2007-IQ16 | 6.256% | 12/12/49 | 5,300 | 5,459 |
4 | Morgan Stanley Capital I Trust 2007-TOP25 | 5.514% | 11/12/49 | 1,518 | 1,526 |
4 | Morgan Stanley Capital I Trust 2007-TOP25 | 5.544% | 11/12/49 | 4,525 | 4,602 |
4 | Morgan Stanley Capital I Trust 2007-TOP27 | 5.820% | 6/11/42 | 20,041 | 20,595 |
4 | Morgan Stanley Capital I Trust 2007-TOP27 | 5.820% | 6/11/42 | 5,375 | 5,559 |
4 | Morgan Stanley Capital I Trust 2008-TOP29 | 6.477% | 1/11/43 | 20,443 | 21,427 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.244% | 3/15/45 | 7,000 | 7,430 |
4 | Morgan Stanley Capital I Trust 2012-C4 | 3.773% | 3/15/45 | 2,900 | 3,121 |
4 | Morgan Stanley Capital I Trust 2015-UBS8 | 3.809% | 12/15/48 | 4,100 | 4,531 |
7 | National Australia Bank Ltd. | 2.250% | 3/16/21 | 16,000 | 16,423 |
4 | Nissan Auto Lease Trust 2014-B | 1.120% | 9/15/17 | 1,700 | 1,701 |
4 | Nissan Auto Lease Trust 2015-B | 1.540% | 4/16/18 | 4,100 | 4,124 |
4 | Nissan Auto Lease Trust 2015-B | 1.700% | 4/15/21 | 2,625 | 2,640 |
4 | Nissan Auto Receivables 2013-A Owner Trust | 0.750% | 7/15/19 | 6,817 | 6,815 |
4 | Nissan Auto Receivables 2013-B Owner Trust | 0.840% | 11/15/17 | 375 | 375 |
4 | Nissan Auto Receivables 2013-B Owner Trust | 1.310% | 10/15/19 | 1,770 | 1,776 |
4 | Nissan Auto Receivables 2013-C Owner Trust | 0.670% | 8/15/18 | 970 | 970 |
24
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Nissan Auto Receivables 2013-C Owner Trust | 1.300% | 6/15/20 | 1,600 | 1,607 |
4 | Nissan Auto Receivables 2014-A Owner Trust | 0.720% | 8/15/18 | 972 | 972 |
4 | Nissan Auto Receivables 2014-A Owner Trust | 1.340% | 8/17/20 | 2,250 | 2,260 |
4 | Nissan Auto Receivables 2014-B Owner Trust | 1.110% | 5/15/19 | 2,775 | 2,779 |
4 | Nissan Auto Receivables 2015-B Owner Trust | 1.050% | 10/15/19 | 5,050 | 5,057 |
4 | Nissan Auto Receivables 2015-B Owner Trust | 1.340% | 3/16/20 | 3,400 | 3,420 |
4 | Nissan Auto Receivables 2015-B Owner Trust | 1.790% | 1/17/22 | 1,750 | 1,781 |
4 | Nissan Auto Receivables 2015-C Owner Trust | 1.370% | 5/15/20 | 1,800 | 1,811 |
4 | Nissan Auto Receivables 2015-C Owner Trust | 1.670% | 2/15/22 | 2,975 | 3,008 |
4 | Nissan Auto Receivables 2016-B Owner Trust | 1.540% | 10/17/22 | 2,500 | 2,514 |
4 | Royal Bank of Canada | 1.200% | 9/19/18 | 11,315 | 11,337 |
Royal Bank of Canada | 2.200% | 9/23/19 | 19,475 | 19,954 | |
4 | Royal Bank of Canada | 2.000% | 10/1/19 | 20,000 | 20,292 |
Royal Bank of Canada | 2.100% | 10/14/20 | 58,400 | 59,667 | |
4 | Royal Bank of Canada | 1.875% | 2/5/21 | 8,625 | 8,737 |
Royal Bank of Canada | 2.300% | 3/22/21 | 8,750 | 9,002 | |
4 | Santander Drive Auto Receivables Trust 2013-4 | 1.590% | 10/15/18 | 1,136 | 1,137 |
4 | Santander Drive Auto Receivables Trust 2014-4 | 1.080% | 9/17/18 | 1,196 | 1,196 |
4 | Synchrony Credit Card Master Note Trust 2014-1 | 1.610% | 11/15/20 | 3,325 | 3,339 |
4 | Synchrony Credit Card Master Note Trust 2015-2 | 1.600% | 4/15/21 | 3,375 | 3,391 |
4 | Synchrony Credit Card Master Note Trust 2016-2 | 2.210% | 5/15/24 | 5,331 | 5,423 |
4 | TIAA Seasoned Commercial Mortgage Trust 2007-C4 | 5.538% | 8/15/39 | 722 | 721 |
7 | Toronto-Dominion Bank | 2.250% | 3/15/21 | 28,700 | 29,458 |
4 | Toyota Auto Receivables 2013-A Owner Trust | 0.690% | 11/15/18 | 1,089 | 1,088 |
4 | Toyota Auto Receivables 2014-A Owner Trust | 1.180% | 6/17/19 | 1,250 | 1,251 |
4 | Toyota Auto Receivables 2014-B Owner Trust | 0.760% | 3/15/18 | 887 | 887 |
4 | Toyota Auto Receivables 2014-B Owner Trust | 1.310% | 9/16/19 | 1,125 | 1,130 |
4 | Toyota Auto Receivables 2015-6 Owner Trust | 1.300% | 4/15/20 | 2,875 | 2,889 |
4 | Toyota Auto Receivables 2015-6 Owner Trust | 1.520% | 8/16/21 | 3,575 | 3,600 |
4 | Toyota Auto Receivables 2015-B Owner Trust | 1.270% | 5/15/19 | 8,500 | 8,531 |
4 | Toyota Auto Receivables 2015-B Owner Trust | 1.740% | 9/15/20 | 5,200 | 5,265 |
4 | Toyota Auto Receivables 2015-C Owner Trust | 1.340% | 6/17/19 | 5,325 | 5,350 |
4 | Toyota Auto Receivables Owner Trust 2015-C | 1.690% | 12/15/20 | 5,000 | 5,049 |
4 | UBS-Barclays Commercial Mortgage Trust 2013-C5 | 3.185% | 3/10/46 | 4,636 | 4,907 |
4 | UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.244% | 4/10/46 | 7,716 | 8,198 |
4 | UBS-Barclays Commercial Mortgage Trust 2013-C6 | 3.469% | 4/10/46 | 1,150 | 1,215 |
4 | USAA Auto Owner Trust 2014-1 | 0.580% | 12/15/17 | 294 | 294 |
4 | USAA Auto Owner Trust 2014-1 | 0.940% | 5/15/19 | 1,150 | 1,150 |
4 | Volkswagen Auto Lease Trust 2014-A | 0.800% | 4/20/17 | 179 | 179 |
4 | Volkswagen Auto Lease Trust 2014-A | 0.990% | 7/20/18 | 1,120 | 1,119 |
4 | Volkswagen Auto Loan Enhanced Trust 2013-2 | 0.700% | 4/20/18 | 656 | 655 |
4 | Volkswagen Auto Loan Enhanced Trust 2013-2 | 1.160% | 3/20/20 | 875 | 873 |
4 | Volkswagen Auto Loan Enhanced Trust 2014-1 | 0.910% | 10/22/18 | 2,400 | 2,397 |
4 | Volkswagen Auto Loan Enhanced Trust 2014-1 | 1.450% | 9/21/20 | 2,775 | 2,769 |
4 | Volkswagen Auto Loan Enhanced Trust 2014-2 | 0.950% | 4/22/19 | 8,625 | 8,595 |
4 | Volkswagen Auto Loan Enhanced Trust 2014-2 | 1.390% | 5/20/21 | 2,850 | 2,843 |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2005-C21 | 5.467% | 10/15/44 | 114 | 114 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C26 | 6.224% | 6/15/45 | 1,300 | 1,299 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2006-C29 | 5.339% | 11/15/48 | 2,225 | 2,240 | |
4 | Wachovia Bank Commercial Mortgage Trust Series | ||||
2007-C33 | 6.147% | 2/15/51 | 6,680 | 6,798 | |
4 | Wells Fargo Commercial Mortgage Trust 2012-LC5 | 2.918% | 10/15/45 | 9,540 | 10,011 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 2.819% | 8/15/50 | 1,675 | 1,730 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.477% | 8/15/50 | 1,125 | 1,202 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 3.817% | 8/15/50 | 3,925 | 4,307 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC16 | 4.020% | 8/15/50 | 550 | 602 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 2.954% | 12/15/47 | 3,400 | 3,541 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.244% | 12/15/47 | 1,961 | 2,076 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.271% | 12/15/47 | 4,000 | 4,209 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.405% | 12/15/47 | 5,650 | 6,038 |
4 | Wells Fargo Commercial Mortgage Trust 2014-LC18 | 3.808% | 12/15/47 | 2,850 | 3,124 |
25
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Wells Fargo Commercial Mortgage Trust 2015-C26 | 2.991% | 2/15/48 | 5,725 | 5,948 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C26 | 3.166% | 2/15/48 | 3,150 | 3,314 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C26 | 3.580% | 2/15/48 | 2,275 | 2,372 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C27 | 3.190% | 2/15/48 | 14,150 | 14,947 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C28 | 3.540% | 5/15/48 | 8,500 | 9,185 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C28 | 3.872% | 5/15/48 | 1,619 | 1,751 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.400% | 6/15/48 | 5,800 | 6,189 |
4 | Wells Fargo Commercial Mortgage Trust 2015-C29 | 3.637% | 6/15/48 | 8,500 | 9,169 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC20 | 2.978% | 4/15/50 | 1,536 | 1,603 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC20 | 3.184% | 4/15/50 | 11,350 | 11,949 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC20 | 3.719% | 4/15/50 | 2,850 | 2,933 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 3.571% | 9/15/58 | 2,350 | 2,528 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 3.839% | 9/15/58 | 3,425 | 3,787 |
4 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 4.207% | 9/15/58 | 2,925 | 3,191 |
4 | Wells Fargo Commercial Mortgage Trust 2015-NSX1 | 2.632% | 5/15/48 | 2,425 | 2,503 |
4 | Wells Fargo Commercial Mortgage Trust 2015-NSX1 | 2.934% | 5/15/48 | 1,700 | 1,770 |
4 | Wells Fargo Commercial Mortgage Trust 2015-NSX1 | 3.148% | 5/15/48 | 2,275 | 2,403 |
4 | Wells Fargo Commercial Mortgage Trust 2015-P2 | 3.656% | 12/15/48 | 4,700 | 5,099 |
4 | Wells Fargo Commercial Mortgage Trust 2015-P2 | 3.809% | 12/15/48 | 2,950 | 3,256 |
4 | Wells Fargo Commercial Mortgage Trust 2015-SG1 | 3.789% | 12/15/47 | 4,000 | 4,397 |
4 | Wells Fargo Commercial Mortgage Trust 2016-C32 | 3.324% | 1/15/59 | 3,084 | 3,283 |
4 | Wells Fargo Commercial Mortgage Trust 2016-C32 | 3.560% | 1/15/59 | 6,700 | 7,239 |
4 | Wells Fargo Commercial Mortgage Trust 2016-C33 | 3.426% | 3/15/59 | 2,350 | 2,515 |
4 | Wells Fargo Commercial Mortgage Trust 2016-C34 | 3.096% | 6/15/49 | 4,700 | 4,911 |
4 | WFRBS Commercial Mortgage Trust 2012-C10 | 2.875% | 12/15/45 | 3,000 | 3,145 |
4 | WFRBS Commercial Mortgage Trust 2012-C6 | 3.440% | 4/15/45 | 7,425 | 8,004 |
4 | WFRBS Commercial Mortgage Trust 2012-C7 | 3.431% | 6/15/45 | 4,975 | 5,378 |
4 | WFRBS Commercial Mortgage Trust 2012-C7 | 4.090% | 6/15/45 | 4,400 | 4,830 |
4 | WFRBS Commercial Mortgage Trust 2012-C8 | 3.001% | 8/15/45 | 3,100 | 3,275 |
4 | WFRBS Commercial Mortgage Trust 2012-C9 | 2.870% | 11/15/45 | 6,125 | 6,430 |
4 | WFRBS Commercial Mortgage Trust 2013-C11 | 3.071% | 3/15/45 | 4,148 | 4,388 |
4 | WFRBS Commercial Mortgage Trust 2013-C12 | 3.198% | 3/15/48 | 1,733 | 1,845 |
4 | WFRBS Commercial Mortgage Trust 2013-C12 | 3.560% | 3/15/48 | 820 | 869 |
4 | WFRBS Commercial Mortgage Trust 2013-C13 | 3.001% | 5/15/45 | 3,436 | 3,616 |
4 | WFRBS Commercial Mortgage Trust 2013-C13 | 3.345% | 5/15/45 | 673 | 706 |
4 | WFRBS Commercial Mortgage Trust 2013-C14 | 3.337% | 6/15/46 | 6,000 | 6,416 |
4 | WFRBS Commercial Mortgage Trust 2013-C14 | 3.488% | 6/15/46 | 3,000 | 3,174 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 3.720% | 8/15/46 | 1,120 | 1,208 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 4.153% | 8/15/46 | 4,470 | 5,030 |
4 | WFRBS Commercial Mortgage Trust 2013-C15 | 4.358% | 8/15/46 | 1,120 | 1,248 |
4 | WFRBS Commercial Mortgage Trust 2013-C16 | 3.223% | 9/15/46 | 2,100 | 2,174 |
4 | WFRBS Commercial Mortgage Trust 2013-C16 | 3.963% | 9/15/46 | 1,250 | 1,364 |
4 | WFRBS Commercial Mortgage Trust 2013-C16 | 4.415% | 9/15/46 | 1,250 | 1,425 |
4 | WFRBS Commercial Mortgage Trust 2013-C16 | 4.668% | 9/15/46 | 2,100 | 2,385 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 2.921% | 12/15/46 | 1,150 | 1,185 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 3.558% | 12/15/46 | 1,150 | 1,235 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 4.023% | 12/15/46 | 1,450 | 1,622 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 4.255% | 12/15/46 | 1,150 | 1,277 |
4 | WFRBS Commercial Mortgage Trust 2013-C17 | 4.788% | 12/15/46 | 1,150 | 1,304 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.027% | 12/15/46 | 1,150 | 1,190 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 3.651% | 12/15/46 | 2,300 | 2,479 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.162% | 12/15/46 | 5,010 | 5,631 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.387% | 12/15/46 | 575 | 644 |
4 | WFRBS Commercial Mortgage Trust 2013-C18 | 4.822% | 12/15/46 | 862 | 971 |
4 | WFRBS Commercial Mortgage Trust 2013-UBS1 | 2.927% | 3/15/46 | 3,100 | 3,199 |
4 | WFRBS Commercial Mortgage Trust 2013-UBS1 | 3.591% | 3/15/46 | 1,750 | 1,863 |
4 | WFRBS Commercial Mortgage Trust 2013-UBS1 | 4.079% | 3/15/46 | 2,350 | 2,632 |
4 | WFRBS Commercial Mortgage Trust 2013-UBS1 | 4.783% | 3/15/46 | 575 | 656 |
4 | WFRBS Commercial Mortgage Trust 2014-C19 | 1.233% | 3/15/47 | 806 | 805 |
4 | WFRBS Commercial Mortgage Trust 2014-C19 | 3.618% | 3/15/47 | 950 | 1,022 |
4 | WFRBS Commercial Mortgage Trust 2014-C19 | 3.660% | 3/15/47 | 1,250 | 1,331 |
4 | WFRBS Commercial Mortgage Trust 2014-C19 | 4.101% | 3/15/47 | 2,825 | 3,160 |
4 | WFRBS Commercial Mortgage Trust 2014-C19 | 4.723% | 3/15/47 | 950 | 1,055 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 3.036% | 5/15/47 | 1,100 | 1,143 |
26
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 3.638% | 5/15/47 | 1,100 | 1,184 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 3.995% | 5/15/47 | 1,675 | 1,862 |
4 | WFRBS Commercial Mortgage Trust 2014-C20 | 4.176% | 5/15/47 | 1,675 | 1,845 |
4 | WFRBS Commercial Mortgage Trust 2014-C21 | 3.678% | 8/15/47 | 4,000 | 4,362 |
4 | WFRBS Commercial Mortgage Trust 2014-C22 | 3.752% | 9/15/57 | 8,200 | 8,972 |
4 | WFRBS Commercial Mortgage Trust 2014-C22 | 4.371% | 9/15/57 | 1,675 | 1,819 |
4 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.636% | 10/15/57 | 3,143 | 3,396 |
4 | WFRBS Commercial Mortgage Trust 2014-C23 | 3.917% | 10/15/57 | 1,675 | 1,856 |
4 | WFRBS Commercial Mortgage Trust 2014-C23 | 4.210% | 10/15/57 | 1,125 | 1,232 |
4 | WFRBS Commercial Mortgage Trust 2014-C24 | 3.428% | 11/15/47 | 2,860 | 3,078 |
4 | WFRBS Commercial Mortgage Trust 2014-C24 | 3.607% | 11/15/47 | 2,860 | 3,103 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 1.193% | 3/15/47 | 1,383 | 1,376 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 2.862% | 3/15/47 | 1,120 | 1,156 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 3.522% | 3/15/47 | 2,800 | 2,996 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 4.045% | 3/15/47 | 6,720 | 7,488 |
4 | WFRBS Commercial Mortgage Trust 2014-LC14 | 4.351% | 3/15/47 | 2,800 | 3,119 |
4 | World Omni Auto Receivables Trust 2012-B | 0.810% | 1/15/19 | 1,973 | 1,972 |
4 | World Omni Auto Receivables Trust 2013-B | 0.830% | 8/15/18 | 645 | 645 |
4 | World Omni Auto Receivables Trust 2013-B | 1.320% | 1/15/20 | 825 | 828 |
4 | World Omni Auto Receivables Trust 2014-A | 0.940% | 4/15/19 | 1,775 | 1,775 |
4 | World Omni Auto Receivables Trust 2014-A | 1.530% | 6/15/20 | 2,775 | 2,795 |
4 | World Omni Auto Receivables Trust 2014-B | 1.140% | 1/15/20 | 3,850 | 3,856 |
4 | World Omni Auto Receivables Trust 2014-B | 1.680% | 12/15/20 | 1,530 | 1,536 |
4 | World Omni Auto Receivables Trust 2015-B | 1.490% | 12/15/20 | 2,975 | 3,001 |
4 | World Omni Auto Receivables Trust 2015-B | 1.840% | 1/17/22 | 2,975 | 3,006 |
4 | World Omni Automobile Lease Securitization Trust | ||||
2014-A | 1.160% | 9/15/17 | 2,800 | 2,800 | |
4 | World Omni Automobile Lease Securitization Trust | ||||
2014-A | 1.370% | 1/15/20 | 850 | 852 | |
4 | World Omni Automobile Lease Securitization Trust | ||||
2015-A | 1.540% | 10/15/18 | 2,875 | 2,884 | |
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $4,436,927) | 4,596,526 | ||||
Corporate Bonds (27.7%) | |||||
Finance (8.5%) | |||||
Banking (6.0%) | |||||
American Express Bank FSB | 6.000% | 9/13/17 | 13,151 | 13,869 | |
American Express Centurion Bank | 6.000% | 9/13/17 | 23,425 | 24,722 | |
American Express Co. | 6.150% | 8/28/17 | 6,339 | 6,700 | |
American Express Co. | 7.000% | 3/19/18 | 60,572 | 65,990 | |
American Express Co. | 2.650% | 12/2/22 | 5,615 | 5,706 | |
American Express Co. | 3.625% | 12/5/24 | 10,000 | 10,255 | |
American Express Co. | 4.050% | 12/3/42 | 1,477 | 1,538 | |
American Express Credit Corp. | 1.125% | 6/5/17 | 16,000 | 15,995 | |
American Express Credit Corp. | 2.125% | 7/27/18 | 875 | 890 | |
American Express Credit Corp. | 1.800% | 7/31/18 | 1,050 | 1,060 | |
American Express Credit Corp. | 2.125% | 3/18/19 | 5,401 | 5,508 | |
American Express Credit Corp. | 2.250% | 8/15/19 | 9,825 | 10,038 | |
American Express Credit Corp. | 2.375% | 5/26/20 | 5,225 | 5,346 | |
American Express Credit Corp. | 2.600% | 9/14/20 | 24,250 | 25,033 | |
American Express Credit Corp. | 2.250% | 5/5/21 | 6,400 | 6,507 | |
Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 4,590 | 4,632 | |
Australia & New Zealand Banking Group Ltd. | 1.450% | 5/15/18 | 250 | 251 | |
Australia & New Zealand Banking Group Ltd. | 2.000% | 11/16/18 | 20,000 | 20,281 | |
Australia & New Zealand Banking Group Ltd. | 2.250% | 6/13/19 | 16,800 | 17,149 | |
Australia & New Zealand Banking Group Ltd. | 2.700% | 11/16/20 | 14,275 | 14,816 | |
Australia & New Zealand Banking Group Ltd. | 2.300% | 6/1/21 | 950 | 965 | |
Australia & New Zealand Banking Group Ltd. | 3.700% | 11/16/25 | 12,425 | 13,733 | |
Banco Bilbao Vizcaya Argentaria SA | 3.000% | 10/20/20 | 13,975 | 14,239 | |
Bancolombia SA | 5.950% | 6/3/21 | 6,425 | 7,019 | |
Bank of America Corp. | 5.625% | 10/14/16 | 3 | 3 | |
Bank of America Corp. | 1.700% | 8/25/17 | 10,803 | 10,844 | |
Bank of America Corp. | 6.400% | 8/28/17 | 5,231 | 5,520 |
27
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bank of America Corp. | 6.000% | 9/1/17 | 6,716 | 7,058 |
Bank of America Corp. | 5.750% | 12/1/17 | 15,128 | 16,013 |
Bank of America Corp. | 2.000% | 1/11/18 | 43,330 | 43,628 |
Bank of America Corp. | 6.875% | 4/25/18 | 81,169 | 88,594 |
Bank of America Corp. | 5.650% | 5/1/18 | 64,219 | 68,756 |
Bank of America Corp. | 6.500% | 7/15/18 | 3,125 | 3,424 |
Bank of America Corp. | 6.875% | 11/15/18 | 635 | 709 |
Bank of America Corp. | 2.600% | 1/15/19 | 39,025 | 39,837 |
Bank of America Corp. | 2.650% | 4/1/19 | 5,347 | 5,483 |
Bank of America Corp. | 7.625% | 6/1/19 | 38,970 | 45,033 |
Bank of America Corp. | 2.250% | 4/21/20 | 22,620 | 22,705 |
Bank of America Corp. | 5.625% | 7/1/20 | 57,288 | 64,513 |
Bank of America Corp. | 2.625% | 10/19/20 | 25,176 | 25,594 |
Bank of America Corp. | 5.875% | 1/5/21 | 3,930 | 4,502 |
Bank of America Corp. | 2.625% | 4/19/21 | 16,350 | 16,570 |
Bank of America Corp. | 5.000% | 5/13/21 | 11,110 | 12,390 |
Bank of America Corp. | 5.700% | 1/24/22 | 22,243 | 25,678 |
Bank of America Corp. | 3.300% | 1/11/23 | 36,917 | 37,931 |
Bank of America Corp. | 4.100% | 7/24/23 | 10,983 | 11,720 |
Bank of America Corp. | 4.125% | 1/22/24 | 34,280 | 36,926 |
Bank of America Corp. | 4.000% | 4/1/24 | 20,314 | 21,685 |
Bank of America Corp. | 4.200% | 8/26/24 | 31,526 | 32,613 |
Bank of America Corp. | 4.000% | 1/22/25 | 29,475 | 30,020 |
Bank of America Corp. | 3.950% | 4/21/25 | 21,280 | 21,635 |
Bank of America Corp. | 3.875% | 8/1/25 | 26,044 | 27,597 |
Bank of America Corp. | 4.450% | 3/3/26 | 17,525 | 18,489 |
Bank of America Corp. | 3.500% | 4/19/26 | 11,875 | 12,278 |
Bank of America Corp. | 4.250% | 10/22/26 | 18,218 | 18,902 |
Bank of America Corp. | 6.110% | 1/29/37 | 10,935 | 12,981 |
Bank of America Corp. | 7.750% | 5/14/38 | 22,973 | 32,348 |
Bank of America Corp. | 5.875% | 2/7/42 | 27,088 | 34,196 |
Bank of America Corp. | 5.000% | 1/21/44 | 24,850 | 28,689 |
Bank of America Corp. | 4.875% | 4/1/44 | 12,625 | 14,390 |
Bank of America Corp. | 4.750% | 4/21/45 | 1,210 | 1,236 |
Bank of America NA | 1.650% | 3/26/18 | 4,150 | 4,166 |
Bank of America NA | 1.750% | 6/5/18 | 12,000 | 12,084 |
Bank of America NA | 2.050% | 12/7/18 | 25,625 | 25,990 |
Bank of America NA | 6.000% | 10/15/36 | 11,205 | 14,292 |
Bank of Montreal | 1.300% | 7/14/17 | 6,646 | 6,657 |
Bank of Montreal | 1.400% | 9/11/17 | 1,945 | 1,956 |
Bank of Montreal | 1.450% | 4/9/18 | 5,825 | 5,850 |
Bank of Montreal | 1.400% | 4/10/18 | 10,300 | 10,353 |
Bank of Montreal | 2.375% | 1/25/19 | 9,250 | 9,496 |
Bank of Montreal | 2.550% | 11/6/22 | 23,185 | 23,908 |
Bank of New York Mellon Corp. | 1.300% | 1/25/18 | 3,250 | 3,265 |
Bank of New York Mellon Corp. | 2.100% | 1/15/19 | 30,326 | 30,977 |
Bank of New York Mellon Corp. | 2.200% | 3/4/19 | 6,643 | 6,810 |
Bank of New York Mellon Corp. | 2.200% | 5/15/19 | 375 | 384 |
Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 5,285 | 5,915 |
Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 15,400 | 15,765 |
Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 6,375 | 7,033 |
Bank of New York Mellon Corp. | 2.150% | 2/24/20 | 5,000 | 5,112 |
Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 4,875 | 5,057 |
Bank of New York Mellon Corp. | 2.450% | 11/27/20 | 6,275 | 6,450 |
Bank of New York Mellon Corp. | 2.500% | 4/15/21 | 14,365 | 14,845 |
Bank of New York Mellon Corp. | 2.050% | 5/3/21 | 23,625 | 24,011 |
Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 4,455 | 4,828 |
Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 6,625 | 7,290 |
Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 13,750 | 14,724 |
Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 4,700 | 4,958 |
Bank of New York Mellon Corp. | 2.800% | 5/4/26 | 6,025 | 6,227 |
Bank of Nova Scotia | 1.300% | 7/21/17 | 6,275 | 6,290 |
Bank of Nova Scotia | 1.375% | 12/18/17 | 15,175 | 15,232 |
Bank of Nova Scotia | 1.450% | 4/25/18 | 2,750 | 2,760 |
28
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bank of Nova Scotia | 1.700% | 6/11/18 | 6,000 | 6,060 |
Bank of Nova Scotia | 2.050% | 10/30/18 | 16,785 | 17,055 |
Bank of Nova Scotia | 1.950% | 1/15/19 | 11,600 | 11,765 |
Bank of Nova Scotia | 2.050% | 6/5/19 | 10,515 | 10,693 |
Bank of Nova Scotia | 1.650% | 6/14/19 | 9,550 | 9,615 |
Bank of Nova Scotia | 2.350% | 10/21/20 | 21,500 | 21,939 |
Bank of Nova Scotia | 4.375% | 1/13/21 | 1,560 | 1,736 |
Bank of Nova Scotia | 2.450% | 3/22/21 | 10,250 | 10,539 |
Bank of Nova Scotia | 2.800% | 7/21/21 | 40,125 | 41,927 |
Bank of Nova Scotia | 4.500% | 12/16/25 | 31,750 | 33,461 |
Bank One Capital III | 8.750% | 9/1/30 | 1,100 | 1,607 |
Bank One Corp. | 7.625% | 10/15/26 | 2,055 | 2,734 |
Bank One Corp. | 8.000% | 4/29/27 | 2,500 | 3,362 |
Barclays Bank plc | 2.500% | 2/20/19 | 11,450 | 11,478 |
Barclays Bank plc | 6.750% | 5/22/19 | 6,850 | 7,734 |
Barclays Bank plc | 5.125% | 1/8/20 | 4,800 | 5,218 |
Barclays Bank plc | 5.140% | 10/14/20 | 1,435 | 1,522 |
Barclays plc | 2.000% | 3/16/18 | 4,350 | 4,333 |
Barclays plc | 2.750% | 11/8/19 | 13,623 | 13,526 |
Barclays plc | 2.875% | 6/8/20 | 4,550 | 4,509 |
Barclays plc | 3.250% | 1/12/21 | 20,795 | 20,706 |
Barclays plc | 4.375% | 9/11/24 | 14,400 | 13,909 |
Barclays plc | 3.650% | 3/16/25 | 32,000 | 30,762 |
Barclays plc | 4.375% | 1/12/26 | 24,090 | 24,314 |
Barclays plc | 5.200% | 5/12/26 | 9,250 | 9,439 |
Barclays plc | 5.250% | 8/17/45 | 8,015 | 8,423 |
BB&T Corp. | 2.150% | 3/22/17 | 6,475 | 6,524 |
BB&T Corp. | 1.600% | 8/15/17 | 4,940 | 4,972 |
BB&T Corp. | 1.450% | 1/12/18 | 5,010 | 5,030 |
BB&T Corp. | 2.050% | 6/19/18 | 11,805 | 11,998 |
BB&T Corp. | 2.250% | 2/1/19 | 3,950 | 4,046 |
BB&T Corp. | 6.850% | 4/30/19 | 3,754 | 4,311 |
BB&T Corp. | 5.250% | 11/1/19 | 10,240 | 11,337 |
BB&T Corp. | 2.450% | 1/15/20 | 14,620 | 15,077 |
BB&T Corp. | 2.050% | 5/10/21 | 14,800 | 14,980 |
Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 19,700 | 20,933 |
Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 36,088 | 39,318 |
Bear Stearns Cos. LLC | 4.650% | 7/2/18 | 2,235 | 2,366 |
BNP Paribas SA | 2.375% | 9/14/17 | 34,057 | 34,550 |
BNP Paribas SA | 2.700% | 8/20/18 | 4,175 | 4,277 |
BNP Paribas SA | 2.400% | 12/12/18 | 12,775 | 13,035 |
BNP Paribas SA | 2.450% | 3/17/19 | 2,575 | 2,629 |
BNP Paribas SA | 2.375% | 5/21/20 | 6,925 | 7,036 |
BNP Paribas SA | 5.000% | 1/15/21 | 37,855 | 42,513 |
BNP Paribas SA | 3.250% | 3/3/23 | 21,280 | 22,140 |
BNP Paribas SA | 4.250% | 10/15/24 | 2,400 | 2,448 |
BPCE SA | 1.613% | 7/25/17 | 8,000 | 7,985 |
BPCE SA | 2.500% | 12/10/18 | 14,225 | 14,514 |
BPCE SA | 2.500% | 7/15/19 | 10,600 | 10,832 |
BPCE SA | 2.250% | 1/27/20 | 4,600 | 4,677 |
BPCE SA | 2.650% | 2/3/21 | 7,355 | 7,549 |
BPCE SA | 4.000% | 4/15/24 | 19,575 | 21,442 |
Branch Banking & Trust Co. | 1.350% | 10/1/17 | 5,925 | 5,940 |
Branch Banking & Trust Co. | 2.300% | 10/15/18 | 8,200 | 8,404 |
Branch Banking & Trust Co. | 1.450% | 5/10/19 | 9,525 | 9,545 |
Branch Banking & Trust Co. | 2.850% | 4/1/21 | 450 | 473 |
Branch Banking & Trust Co. | 3.625% | 9/16/25 | 18,600 | 19,751 |
Branch Banking & Trust Co. | 3.800% | 10/30/26 | 2,518 | 2,774 |
Canadian Imperial Bank of Commerce | 1.550% | 1/23/18 | 175 | 176 |
Capital One Bank USA NA | 2.150% | 11/21/18 | 10,850 | 10,953 |
Capital One Bank USA NA | 2.250% | 2/13/19 | 10,950 | 11,104 |
Capital One Bank USA NA | 2.300% | 6/5/19 | 10,500 | 10,641 |
Capital One Bank USA NA | 8.800% | 7/15/19 | 5,975 | 7,003 |
Capital One Bank USA NA | 3.375% | 2/15/23 | 22,200 | 22,715 |
29
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Capital One Financial Corp. | 6.150% | 9/1/16 | 8,324 | 8,390 | |
Capital One Financial Corp. | 6.750% | 9/15/17 | 10,325 | 10,945 | |
Capital One Financial Corp. | 2.450% | 4/24/19 | 10,275 | 10,455 | |
Capital One Financial Corp. | 4.750% | 7/15/21 | 3,060 | 3,402 | |
Capital One Financial Corp. | 3.500% | 6/15/23 | 3,832 | 3,950 | |
Capital One Financial Corp. | 3.750% | 4/24/24 | 7,100 | 7,410 | |
Capital One Financial Corp. | 4.200% | 10/29/25 | 8,450 | 8,643 | |
Capital One NA | 1.500% | 9/5/17 | 4,075 | 4,075 | |
Capital One NA | 1.650% | 2/5/18 | 12,500 | 12,541 | |
Capital One NA | 2.400% | 9/5/19 | 7,275 | 7,394 | |
Capital One NA | 2.950% | 7/23/21 | 6,720 | 6,896 | |
4,7 | Citicorp Lease Pass-Through Trust 1999-1 | 8.040% | 12/15/19 | 14,225 | 16,709 |
Citigroup Inc. | 1.550% | 8/14/17 | 7,828 | 7,850 | |
Citigroup Inc. | 6.000% | 8/15/17 | 9,052 | 9,513 | |
Citigroup Inc. | 6.125% | 11/21/17 | 10,188 | 10,835 | |
Citigroup Inc. | 1.850% | 11/24/17 | 27,890 | 28,050 | |
Citigroup Inc. | 1.800% | 2/5/18 | 11,025 | 11,063 | |
Citigroup Inc. | 1.700% | 4/27/18 | 38,260 | 38,308 | |
Citigroup Inc. | 1.750% | 5/1/18 | 21,947 | 22,033 | |
Citigroup Inc. | 6.125% | 5/15/18 | 9,065 | 9,789 | |
Citigroup Inc. | 2.150% | 7/30/18 | 17,000 | 17,190 | |
Citigroup Inc. | 2.500% | 9/26/18 | 25,468 | 25,955 | |
Citigroup Inc. | 2.050% | 12/7/18 | 45,005 | 45,335 | |
Citigroup Inc. | 2.550% | 4/8/19 | 16,150 | 16,485 | |
Citigroup Inc. | 2.050% | 6/7/19 | 14,525 | 14,610 | |
Citigroup Inc. | 2.500% | 7/29/19 | 2,950 | 3,005 | |
Citigroup Inc. | 2.400% | 2/18/20 | 14,040 | 14,173 | |
Citigroup Inc. | 5.375% | 8/9/20 | 10,375 | 11,732 | |
Citigroup Inc. | 2.650% | 10/26/20 | 4,600 | 4,676 | |
Citigroup Inc. | 2.700% | 3/30/21 | 27,281 | 27,760 | |
Citigroup Inc. | 4.500% | 1/14/22 | 15,832 | 17,511 | |
Citigroup Inc. | 4.050% | 7/30/22 | 6,250 | 6,606 | |
Citigroup Inc. | 3.375% | 3/1/23 | 5,600 | 5,772 | |
Citigroup Inc. | 3.500% | 5/15/23 | 14,683 | 14,975 | |
Citigroup Inc. | 3.875% | 10/25/23 | 5,692 | 6,111 | |
Citigroup Inc. | 3.750% | 6/16/24 | 16,000 | 16,872 | |
Citigroup Inc. | 4.000% | 8/5/24 | 21,925 | 22,651 | |
Citigroup Inc. | 3.875% | 3/26/25 | 4,975 | 5,023 | |
Citigroup Inc. | 3.300% | 4/27/25 | 10,700 | 10,926 | |
Citigroup Inc. | 4.400% | 6/10/25 | 60,595 | 63,161 | |
Citigroup Inc. | 5.500% | 9/13/25 | 10,249 | 11,492 | |
Citigroup Inc. | 4.600% | 3/9/26 | 6,650 | 7,025 | |
Citigroup Inc. | 4.300% | 11/20/26 | 2,625 | 2,717 | |
Citigroup Inc. | 4.450% | 9/29/27 | 22,075 | 22,634 | |
Citigroup Inc. | 6.625% | 6/15/32 | 4,340 | 5,312 | |
Citigroup Inc. | 6.000% | 10/31/33 | 7,445 | 8,725 | |
Citigroup Inc. | 6.125% | 8/25/36 | 13,964 | 16,369 | |
Citigroup Inc. | 8.125% | 7/15/39 | 26,330 | 41,100 | |
Citigroup Inc. | 5.875% | 1/30/42 | 13,268 | 16,724 | |
Citigroup Inc. | 6.675% | 9/13/43 | 10,189 | 13,086 | |
Citigroup Inc. | 4.950% | 11/7/43 | 731 | 822 | |
Citigroup Inc. | 5.300% | 5/6/44 | 7,850 | 8,483 | |
Citigroup Inc. | 4.650% | 7/30/45 | 9,139 | 10,050 | |
Citizens Bank NA | 1.600% | 12/4/17 | 4,575 | 4,536 | |
Citizens Bank NA | 2.300% | 12/3/18 | 5,025 | 5,086 | |
Citizens Bank NA | 2.500% | 3/14/19 | 4,000 | 4,057 | |
Citizens Bank NA | 2.450% | 12/4/19 | 4,550 | 4,611 | |
Citizens Bank NA | 2.550% | 5/13/21 | 7,200 | 7,270 | |
Citizens Financial Group Inc. | 4.300% | 12/3/25 | 6,300 | 6,652 | |
Comerica Bank | 5.200% | 8/22/17 | 4,600 | 4,788 | |
Comerica Bank | 4.000% | 7/27/25 | 2,550 | 2,633 | |
Comerica Inc. | 2.125% | 5/23/19 | 2,260 | 2,290 | |
Commonwealth Bank of Australia | 1.400% | 9/8/17 | 10,475 | 10,520 | |
Commonwealth Bank of Australia | 1.900% | 9/18/17 | 4,450 | 4,493 |
30
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Commonwealth Bank of Australia | 1.625% | 3/12/18 | 30,910 | 31,131 | |
Commonwealth Bank of Australia | 2.500% | 9/20/18 | 2,925 | 2,994 | |
Commonwealth Bank of Australia | 1.750% | 11/2/18 | 9,050 | 9,113 | |
Commonwealth Bank of Australia | 2.250% | 3/13/19 | 5,875 | 6,004 | |
Commonwealth Bank of Australia | 2.050% | 3/15/19 | 8,400 | 8,509 | |
Commonwealth Bank of Australia | 2.300% | 9/6/19 | 17,200 | 17,477 | |
Commonwealth Bank of Australia | 2.400% | 11/2/20 | 12,850 | 13,109 | |
Commonwealth Bank of Australia | 2.550% | 3/15/21 | 8,005 | 8,266 | |
7 | Commonwealth Bank of Australia | 4.500% | 12/9/25 | 11,150 | 11,687 |
Compass Bank | 1.850% | 9/29/17 | 2,675 | 2,666 | |
Compass Bank | 6.400% | 10/1/17 | 2,875 | 3,013 | |
Compass Bank | 2.750% | 9/29/19 | 3,110 | 3,077 | |
Cooperatieve Rabobank UA | 1.700% | 3/19/18 | 14,000 | 14,124 | |
Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 21,924 | 22,355 | |
Cooperatieve Rabobank UA | 4.500% | 1/11/21 | 5,038 | 5,604 | |
Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 51,475 | 52,760 | |
Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 40,044 | 43,635 | |
Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 37,642 | 38,894 | |
Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 17,015 | 17,975 | |
Cooperatieve Rabobank UA | 3.375% | 5/21/25 | 15,950 | 16,685 | |
Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 14,582 | 15,215 | |
Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 8,130 | 10,093 | |
Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 10,575 | 12,460 | |
Cooperatieve Rabobank UA | 5.250% | 8/4/45 | 1,850 | 2,064 | |
4 | Cooperatieve Rabobank UA | 8.400% | 11/29/49 | 125 | 131 |
Credit Suisse AG | 6.000% | 2/15/18 | 27,275 | 28,948 | |
Credit Suisse AG | 1.700% | 4/27/18 | 24,625 | 24,656 | |
Credit Suisse AG | 2.300% | 5/28/19 | 43,359 | 43,938 | |
Credit Suisse AG | 5.300% | 8/13/19 | 12,525 | 13,804 | |
Credit Suisse AG | 5.400% | 1/14/20 | 8,516 | 9,234 | |
Credit Suisse AG | 3.000% | 10/29/21 | 26,719 | 27,331 | |
Credit Suisse AG | 3.625% | 9/9/24 | 26,750 | 27,590 | |
Credit Suisse Group Funding Guernsey Ltd. | 2.750% | 3/26/20 | 2,850 | 2,819 | |
7 | Credit Suisse Group Funding Guernsey Ltd. | 3.450% | 4/16/21 | 40,120 | 40,715 |
Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 21,300 | 21,424 | |
7 | Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 6/9/23 | 7,725 | 7,709 |
Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 31,450 | 30,863 | |
Credit Suisse Group Funding Guernsey Ltd. | 4.875% | 5/15/45 | 13,218 | 13,478 | |
Credit Suisse USA Inc. | 7.125% | 7/15/32 | 11,016 | 14,650 | |
Deutsche Bank AG | 6.000% | 9/1/17 | 17,955 | 18,751 | |
Deutsche Bank AG | 1.875% | 2/13/18 | 7,764 | 7,731 | |
Deutsche Bank AG | 2.500% | 2/13/19 | 17,175 | 17,216 | |
Deutsche Bank AG | 2.850% | 5/10/19 | 6,075 | 6,081 | |
Deutsche Bank AG | 2.950% | 8/20/20 | 7,100 | 7,099 | |
Deutsche Bank AG | 3.125% | 1/13/21 | 10,800 | 10,698 | |
Deutsche Bank AG | 3.375% | 5/12/21 | 7,475 | 7,512 | |
Deutsche Bank AG | 3.700% | 5/30/24 | 22,280 | 22,196 | |
Deutsche Bank AG | 4.100% | 1/13/26 | 9,560 | 9,534 | |
Discover Bank | 2.000% | 2/21/18 | 14,600 | 14,649 | |
Discover Bank | 2.600% | 11/13/18 | 5,250 | 5,333 | |
Discover Bank | 3.100% | 6/4/20 | 4,250 | 4,347 | |
Discover Bank | 3.200% | 8/9/21 | 4,440 | 4,554 | |
Discover Bank | 4.200% | 8/8/23 | 13,275 | 14,080 | |
Discover Bank | 4.250% | 3/13/26 | 2,150 | 2,248 | |
Discover Financial Services | 6.450% | 6/12/17 | 2,235 | 2,324 | |
Discover Financial Services | 5.200% | 4/27/22 | 1,867 | 2,051 | |
Discover Financial Services | 3.850% | 11/21/22 | 9,495 | 9,800 | |
Discover Financial Services | 3.750% | 3/4/25 | 5,525 | 5,551 | |
Fifth Third Bancorp | 5.450% | 1/15/17 | 10,415 | 10,648 | |
Fifth Third Bancorp | 4.500% | 6/1/18 | 1,555 | 1,636 | |
Fifth Third Bancorp | 2.300% | 3/1/19 | 4,395 | 4,479 | |
Fifth Third Bancorp | 2.875% | 7/27/20 | 75 | 78 | |
Fifth Third Bancorp | 3.500% | 3/15/22 | 2,136 | 2,260 | |
Fifth Third Bancorp | 4.300% | 1/16/24 | 9,045 | 9,659 |
31
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Fifth Third Bancorp | 8.250% | 3/1/38 | 9,170 | 13,706 |
Fifth Third Bank | 1.450% | 2/28/18 | 500 | 503 |
Fifth Third Bank | 2.150% | 8/20/18 | 16,425 | 16,678 |
Fifth Third Bank | 2.300% | 3/15/19 | 3,250 | 3,318 |
Fifth Third Bank | 2.375% | 4/25/19 | 10,400 | 10,662 |
Fifth Third Bank | 2.250% | 6/14/21 | 13,250 | 13,457 |
Fifth Third Bank | 2.875% | 10/1/21 | 7,250 | 7,503 |
Fifth Third Bank | 3.850% | 3/15/26 | 4,550 | 4,770 |
First Horizon National Corp. | 3.500% | 12/15/20 | 3,500 | 3,529 |
First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 1,875 | 2,134 |
First Republic Bank | 2.375% | 6/17/19 | 4,100 | 4,148 |
FirstMerit Bank NA | 4.270% | 11/25/26 | 5,750 | 5,918 |
FirstMerit Corp. | 4.350% | 2/4/23 | 2,750 | 2,882 |
Goldman Sachs Capital I | 6.345% | 2/15/34 | 12,575 | 14,779 |
Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 34,798 | 37,164 |
Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 45,520 | 46,140 |
Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 40,908 | 44,082 |
Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 23,750 | 24,371 |
Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 28,785 | 29,425 |
Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 23,662 | 27,041 |
Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 26,300 | 26,883 |
Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 38,960 | 43,342 |
Goldman Sachs Group Inc. | 2.600% | 4/23/20 | 21,274 | 21,639 |
Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 33,854 | 38,594 |
Goldman Sachs Group Inc. | 2.750% | 9/15/20 | 18,750 | 19,133 |
Goldman Sachs Group Inc. | 2.875% | 2/25/21 | 15,500 | 15,872 |
Goldman Sachs Group Inc. | 2.625% | 4/25/21 | 21,000 | 21,293 |
Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 11,489 | 12,949 |
Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 56,268 | 65,259 |
Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 27,450 | 28,804 |
Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 29,879 | 31,962 |
Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 11,629 | 12,332 |
Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 26,400 | 27,137 |
Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 9,850 | 10,167 |
Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 30,750 | 32,260 |
Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 18,831 | 21,706 |
Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 26,444 | 33,057 |
Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 32,690 | 38,547 |
Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 40,211 | 49,636 |
Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 26,152 | 33,828 |
Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 14,324 | 15,825 |
Goldman Sachs Group Inc. | 5.150% | 5/22/45 | 28,203 | 29,096 |
Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 10,071 | 11,103 |
HSBC Bank USA NA | 6.000% | 8/9/17 | 775 | 810 |
HSBC Bank USA NA | 4.875% | 8/24/20 | 26,300 | 28,451 |
HSBC Bank USA NA | 5.875% | 11/1/34 | 7,275 | 8,818 |
HSBC Bank USA NA | 5.625% | 8/15/35 | 3,782 | 4,348 |
HSBC Bank USA NA | 7.000% | 1/15/39 | 7,909 | 10,079 |
HSBC Holdings plc | 3.400% | 3/8/21 | 26,183 | 26,967 |
HSBC Holdings plc | 5.100% | 4/5/21 | 41,250 | 45,414 |
HSBC Holdings plc | 2.950% | 5/25/21 | 35,325 | 35,738 |
HSBC Holdings plc | 4.875% | 1/14/22 | 4,140 | 4,545 |
HSBC Holdings plc | 4.000% | 3/30/22 | 14,126 | 15,124 |
HSBC Holdings plc | 3.600% | 5/25/23 | 16,000 | 16,354 |
HSBC Holdings plc | 4.250% | 3/14/24 | 29,100 | 29,374 |
HSBC Holdings plc | 4.250% | 8/18/25 | 12,000 | 12,104 |
HSBC Holdings plc | 4.300% | 3/8/26 | 32,070 | 34,010 |
HSBC Holdings plc | 3.900% | 5/25/26 | 39,450 | 40,575 |
HSBC Holdings plc | 7.625% | 5/17/32 | 1,925 | 2,449 |
HSBC Holdings plc | 7.350% | 11/27/32 | 2,040 | 2,494 |
HSBC Holdings plc | 6.500% | 5/2/36 | 27,095 | 32,363 |
HSBC Holdings plc | 6.500% | 9/15/37 | 29,825 | 35,986 |
HSBC Holdings plc | 6.800% | 6/1/38 | 5,385 | 6,734 |
HSBC Holdings plc | 6.100% | 1/14/42 | 6,825 | 8,756 |
32
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
HSBC Holdings plc | 5.250% | 3/14/44 | 10,575 | 11,150 |
HSBC USA Inc. | 1.500% | 11/13/17 | 2,750 | 2,744 |
HSBC USA Inc. | 1.625% | 1/16/18 | 22,275 | 22,217 |
HSBC USA Inc. | 1.700% | 3/5/18 | 2,500 | 2,502 |
HSBC USA Inc. | 2.000% | 8/7/18 | 11,000 | 11,020 |
HSBC USA Inc. | 2.250% | 6/23/19 | 6,550 | 6,587 |
HSBC USA Inc. | 2.375% | 11/13/19 | 21,650 | 21,846 |
HSBC USA Inc. | 2.350% | 3/5/20 | 15,650 | 15,646 |
HSBC USA Inc. | 2.750% | 8/7/20 | 4,875 | 4,936 |
HSBC USA Inc. | 5.000% | 9/27/20 | 8,200 | 8,810 |
HSBC USA Inc. | 3.500% | 6/23/24 | 7,350 | 7,569 |
Huntington Bancshares Inc. | 7.000% | 12/15/20 | 4,200 | 4,900 |
Huntington Bancshares Inc. | 3.150% | 3/14/21 | 3,575 | 3,712 |
Huntington National Bank | 1.350% | 8/2/16 | 1,125 | 1,125 |
Huntington National Bank | 1.375% | 4/24/17 | 950 | 951 |
Huntington National Bank | 2.000% | 6/30/18 | 5,250 | 5,308 |
Huntington National Bank | 2.200% | 11/6/18 | 6,225 | 6,302 |
Huntington National Bank | 2.400% | 4/1/20 | 12,575 | 12,766 |
Huntington National Bank | 2.875% | 8/20/20 | 7,750 | 7,968 |
Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 10,350 | 10,623 |
Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 9,500 | 9,781 |
Intesa Sanpaolo SPA | 5.250% | 1/12/24 | 28,381 | 30,125 |
JPMorgan Chase & Co. | 6.125% | 6/27/17 | 7,131 | 7,456 |
JPMorgan Chase & Co. | 2.000% | 8/15/17 | 34,400 | 34,721 |
JPMorgan Chase & Co. | 6.000% | 1/15/18 | 24,384 | 26,082 |
JPMorgan Chase & Co. | 1.800% | 1/25/18 | 13,666 | 13,758 |
JPMorgan Chase & Co. | 1.700% | 3/1/18 | 21,200 | 21,321 |
JPMorgan Chase & Co. | 1.625% | 5/15/18 | 22,035 | 22,130 |
JPMorgan Chase & Co. | 2.350% | 1/28/19 | 8,050 | 8,241 |
JPMorgan Chase & Co. | 1.850% | 3/22/19 | 14,640 | 14,794 |
JPMorgan Chase & Co. | 6.300% | 4/23/19 | 26,995 | 30,353 |
JPMorgan Chase & Co. | 2.200% | 10/22/19 | 12,395 | 12,583 |
JPMorgan Chase & Co. | 2.250% | 1/23/20 | 47,107 | 47,709 |
JPMorgan Chase & Co. | 2.750% | 6/23/20 | 49,725 | 51,070 |
JPMorgan Chase & Co. | 4.400% | 7/22/20 | 4,985 | 5,432 |
JPMorgan Chase & Co. | 4.250% | 10/15/20 | 14,604 | 15,890 |
JPMorgan Chase & Co. | 2.550% | 10/29/20 | 25,525 | 26,032 |
JPMorgan Chase & Co. | 2.550% | 3/1/21 | 17,850 | 18,159 |
JPMorgan Chase & Co. | 4.625% | 5/10/21 | 1,794 | 1,993 |
JPMorgan Chase & Co. | 2.400% | 6/7/21 | 8,050 | 8,156 |
JPMorgan Chase & Co. | 4.350% | 8/15/21 | 26,109 | 28,719 |
JPMorgan Chase & Co. | 4.500% | 1/24/22 | 28,905 | 32,063 |
JPMorgan Chase & Co. | 3.250% | 9/23/22 | 19,085 | 19,942 |
JPMorgan Chase & Co. | 3.200% | 1/25/23 | 40,247 | 41,583 |
JPMorgan Chase & Co. | 3.375% | 5/1/23 | 24,590 | 25,025 |
JPMorgan Chase & Co. | 2.700% | 5/18/23 | 17,776 | 17,865 |
JPMorgan Chase & Co. | 3.875% | 2/1/24 | 19,110 | 20,658 |
JPMorgan Chase & Co. | 3.625% | 5/13/24 | 46,015 | 48,824 |
JPMorgan Chase & Co. | 3.875% | 9/10/24 | 34,483 | 35,755 |
JPMorgan Chase & Co. | 3.125% | 1/23/25 | 26,295 | 26,870 |
JPMorgan Chase & Co. | 3.900% | 7/15/25 | 25,880 | 27,847 |
JPMorgan Chase & Co. | 3.300% | 4/1/26 | 51,320 | 52,807 |
JPMorgan Chase & Co. | 3.200% | 6/15/26 | 13,575 | 13,883 |
JPMorgan Chase & Co. | 4.125% | 12/15/26 | 22,268 | 23,506 |
JPMorgan Chase & Co. | 4.250% | 10/1/27 | 907 | 955 |
JPMorgan Chase & Co. | 6.400% | 5/15/38 | 25,142 | 34,317 |
JPMorgan Chase & Co. | 5.500% | 10/15/40 | 27,749 | 34,812 |
JPMorgan Chase & Co. | 5.600% | 7/15/41 | 11,645 | 14,784 |
JPMorgan Chase & Co. | 5.400% | 1/6/42 | 7,874 | 9,767 |
JPMorgan Chase & Co. | 5.625% | 8/16/43 | 6,565 | 7,712 |
JPMorgan Chase & Co. | 4.850% | 2/1/44 | 1,575 | 1,886 |
JPMorgan Chase & Co. | 4.950% | 6/1/45 | 15,800 | 17,371 |
JPMorgan Chase Bank NA | 6.000% | 7/5/17 | 1,075 | 1,123 |
JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 21,265 | 22,475 |
33
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
KeyBank NA | 1.650% | 2/1/18 | 19,965 | 20,064 | |
KeyBank NA | 1.700% | 6/1/18 | 5,000 | 5,023 | |
KeyBank NA | 2.350% | 3/8/19 | 8,650 | 8,836 | |
KeyBank NA | 2.500% | 12/15/19 | 3,000 | 3,076 | |
KeyBank NA | 2.250% | 3/16/20 | 1,250 | 1,268 | |
KeyBank NA | 3.300% | 6/1/25 | 6,125 | 6,451 | |
KeyBank NA | 3.400% | 5/20/26 | 12,750 | 12,926 | |
KeyBank NA | 6.950% | 2/1/28 | 1,290 | 1,684 | |
KeyCorp | 5.100% | 3/24/21 | 9,200 | 10,333 | |
Lloyds Bank plc | 1.750% | 3/16/18 | 4,750 | 4,737 | |
Lloyds Bank plc | 1.750% | 5/14/18 | 4,700 | 4,687 | |
Lloyds Bank plc | 2.300% | 11/27/18 | 9,350 | 9,401 | |
Lloyds Bank plc | 2.050% | 1/22/19 | 3,775 | 3,751 | |
Lloyds Bank plc | 2.350% | 9/5/19 | 9,925 | 9,993 | |
Lloyds Bank plc | 2.400% | 3/17/20 | 1,275 | 1,283 | |
Lloyds Bank plc | 2.700% | 8/17/20 | 7,200 | 7,343 | |
Lloyds Bank plc | 6.375% | 1/21/21 | 11,050 | 12,949 | |
Lloyds Bank plc | 3.500% | 5/14/25 | 13,675 | 14,058 | |
Lloyds Banking Group plc | 4.500% | 11/4/24 | 6,975 | 7,118 | |
7 | Lloyds Banking Group plc | 4.582% | 12/10/25 | 29,300 | 29,359 |
Lloyds Banking Group plc | 4.650% | 3/24/26 | 22,450 | 22,650 | |
7 | Lloyds Banking Group plc | 5.300% | 12/1/45 | 2,400 | 2,477 |
Manufacturers & Traders Trust Co. | 1.400% | 7/25/17 | 4,000 | 4,009 | |
Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 5,950 | 6,360 | |
Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 28,700 | 29,331 | |
Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 8,000 | 8,168 | |
Manufacturers & Traders Trust Co. | 2.100% | 2/6/20 | 14,000 | 14,201 | |
Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 7,175 | 7,376 | |
Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 30,150 | 31,263 | |
Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 31,150 | 34,078 | |
Morgan Stanley | 4.750% | 3/22/17 | 24,458 | 25,064 | |
Morgan Stanley | 5.550% | 4/27/17 | 11,870 | 12,286 | |
Morgan Stanley | 6.250% | 8/28/17 | 13,610 | 14,350 | |
Morgan Stanley | 5.950% | 12/28/17 | 21,075 | 22,415 | |
Morgan Stanley | 1.875% | 1/5/18 | 18,221 | 18,327 | |
Morgan Stanley | 6.625% | 4/1/18 | 38,385 | 41,591 | |
Morgan Stanley | 2.125% | 4/25/18 | 31,495 | 31,766 | |
Morgan Stanley | 2.200% | 12/7/18 | 1,000 | 1,012 | |
Morgan Stanley | 2.500% | 1/24/19 | 31,822 | 32,428 | |
Morgan Stanley | 2.450% | 2/1/19 | 17,000 | 17,318 | |
Morgan Stanley | 7.300% | 5/13/19 | 38,289 | 43,952 | |
Morgan Stanley | 2.375% | 7/23/19 | 20,053 | 20,385 | |
Morgan Stanley | 5.625% | 9/23/19 | 34,125 | 37,828 | |
Morgan Stanley | 5.500% | 1/26/20 | 10,414 | 11,622 | |
Morgan Stanley | 2.650% | 1/27/20 | 21,755 | 22,114 | |
Morgan Stanley | 2.800% | 6/16/20 | 17,800 | 18,224 | |
Morgan Stanley | 5.500% | 7/24/20 | 1,245 | 1,407 | |
Morgan Stanley | 5.750% | 1/25/21 | 21,100 | 24,086 | |
Morgan Stanley | 2.500% | 4/21/21 | 4,620 | 4,658 | |
Morgan Stanley | 5.500% | 7/28/21 | 11,900 | 13,553 | |
Morgan Stanley | 4.875% | 11/1/22 | 20,795 | 22,753 | |
Morgan Stanley | 3.750% | 2/25/23 | 36,365 | 38,523 | |
Morgan Stanley | 4.100% | 5/22/23 | 20,730 | 21,555 | |
Morgan Stanley | 3.875% | 4/29/24 | 41,610 | 44,532 | |
Morgan Stanley | 3.700% | 10/23/24 | 45,004 | 47,082 | |
Morgan Stanley | 4.000% | 7/23/25 | 29,703 | 31,810 | |
Morgan Stanley | 5.000% | 11/24/25 | 23,390 | 25,616 | |
Morgan Stanley | 3.875% | 1/27/26 | 26,950 | 28,632 | |
Morgan Stanley | 6.250% | 8/9/26 | 11,326 | 14,224 | |
Morgan Stanley | 4.350% | 9/8/26 | 17,599 | 18,341 | |
Morgan Stanley | 3.950% | 4/23/27 | 31,301 | 31,560 | |
Morgan Stanley | 7.250% | 4/1/32 | 7,442 | 10,318 | |
Morgan Stanley | 6.375% | 7/24/42 | 18,367 | 24,791 | |
Morgan Stanley | 4.300% | 1/27/45 | 19,704 | 20,764 |
34
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
MUFG Americas Holdings Corp. | 1.625% | 2/9/18 | 4,800 | 4,809 |
MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 10,500 | 10,614 |
MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 11,410 | 12,098 |
MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 7,000 | 7,125 |
MUFG Union Bank NA | 1.500% | 9/26/16 | 3,775 | 3,779 |
MUFG Union Bank NA | 2.125% | 6/16/17 | 2,695 | 2,720 |
MUFG Union Bank NA | 2.625% | 9/26/18 | 17,575 | 17,963 |
MUFG Union Bank NA | 2.250% | 5/6/19 | 4,925 | 5,002 |
National Australia Bank Ltd. | 2.750% | 3/9/17 | 4,095 | 4,145 |
National Australia Bank Ltd. | 2.300% | 7/25/18 | 11,200 | 11,403 |
National Australia Bank Ltd. | 2.000% | 1/14/19 | 4,650 | 4,718 |
National Australia Bank Ltd. | 2.625% | 1/14/21 | 10,095 | 10,467 |
National Australia Bank Ltd. | 3.000% | 1/20/23 | 5,050 | 5,281 |
National Australia Bank Ltd. | 3.375% | 1/14/26 | 7,500 | 7,958 |
National Bank of Canada | 1.450% | 11/7/17 | 8,250 | 8,277 |
National Bank of Canada | 2.100% | 12/14/18 | 1,000 | 1,014 |
National City Corp. | 6.875% | 5/15/19 | 1,640 | 1,855 |
Northern Trust Co. | 6.500% | 8/15/18 | 1,625 | 1,793 |
Northern Trust Corp. | 3.450% | 11/4/20 | 7,820 | 8,386 |
Northern Trust Corp. | 3.375% | 8/23/21 | 1,738 | 1,867 |
Northern Trust Corp. | 2.375% | 8/2/22 | 6,300 | 6,480 |
Northern Trust Corp. | 3.950% | 10/30/25 | 8,475 | 9,532 |
People's United Bank NA | 4.000% | 7/15/24 | 3,850 | 3,931 |
People's United Financial Inc. | 3.650% | 12/6/22 | 4,650 | 4,742 |
PNC Bank NA | 4.875% | 9/21/17 | 9,969 | 10,363 |
PNC Bank NA | 1.500% | 10/18/17 | 10,595 | 10,644 |
PNC Bank NA | 6.000% | 12/7/17 | 1,050 | 1,116 |
PNC Bank NA | 1.500% | 2/23/18 | 2,425 | 2,441 |
PNC Bank NA | 1.600% | 6/1/18 | 8,000 | 8,072 |
PNC Bank NA | 1.850% | 7/20/18 | 4,500 | 4,549 |
PNC Bank NA | 1.800% | 11/5/18 | 10,525 | 10,643 |
PNC Bank NA | 1.950% | 3/4/19 | 4,750 | 4,821 |
PNC Bank NA | 2.250% | 7/2/19 | 5,475 | 5,592 |
PNC Bank NA | 2.400% | 10/18/19 | 21,345 | 21,976 |
PNC Bank NA | 2.300% | 6/1/20 | 10,730 | 10,994 |
PNC Bank NA | 2.600% | 7/21/20 | 5,320 | 5,507 |
PNC Bank NA | 2.450% | 11/5/20 | 7,800 | 8,048 |
PNC Bank NA | 2.150% | 4/29/21 | 21,850 | 22,286 |
PNC Bank NA | 2.700% | 11/1/22 | 7,317 | 7,399 |
PNC Bank NA | 2.950% | 1/30/23 | 10,077 | 10,322 |
PNC Bank NA | 3.800% | 7/25/23 | 15,575 | 16,725 |
PNC Bank NA | 3.300% | 10/30/24 | 8,375 | 8,930 |
PNC Bank NA | 2.950% | 2/23/25 | 8,425 | 8,788 |
PNC Bank NA | 3.250% | 6/1/25 | 9,075 | 9,582 |
PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 14,450 | 14,958 |
PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 20,585 | 22,096 |
PNC Funding Corp. | 6.700% | 6/10/19 | 6,479 | 7,442 |
PNC Funding Corp. | 5.125% | 2/8/20 | 11,808 | 13,207 |
PNC Funding Corp. | 4.375% | 8/11/20 | 19,200 | 21,107 |
PNC Funding Corp. | 3.300% | 3/8/22 | 12,200 | 12,981 |
Regions Bank | 7.500% | 5/15/18 | 2,546 | 2,804 |
Regions Bank | 6.450% | 6/26/37 | 3,100 | 3,794 |
Regions Financial Corp. | 2.000% | 5/15/18 | 20,190 | 20,230 |
Regions Financial Corp. | 3.200% | 2/8/21 | 2,500 | 2,575 |
Regions Financial Corp. | 7.375% | 12/10/37 | 3,580 | 4,518 |
Royal Bank of Canada | 1.250% | 6/16/17 | 18,750 | 18,772 |
Royal Bank of Canada | 1.400% | 10/13/17 | 14,781 | 14,838 |
Royal Bank of Canada | 1.500% | 1/16/18 | 614 | 617 |
Royal Bank of Canada | 2.200% | 7/27/18 | 20,088 | 20,494 |
Royal Bank of Canada | 1.800% | 7/30/18 | 16,300 | 16,485 |
Royal Bank of Canada | 2.000% | 12/10/18 | 9,300 | 9,461 |
Royal Bank of Canada | 1.625% | 4/15/19 | 2,475 | 2,497 |
Royal Bank of Canada | 2.350% | 10/30/20 | 22,650 | 23,296 |
Royal Bank of Canada | 2.500% | 1/19/21 | 18,033 | 18,690 |
35
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Royal Bank of Canada | 4.650% | 1/27/26 | 9,570 | 10,316 |
Royal Bank of Scotland Group plc | 4.800% | 4/5/26 | 1,275 | 1,304 |
Santander Bank NA | 8.750% | 5/30/18 | 820 | 913 |
Santander Holdings USA Inc. | 3.450% | 8/27/18 | 9,072 | 9,252 |
Santander Holdings USA Inc. | 2.700% | 5/24/19 | 23,750 | 23,839 |
Santander Holdings USA Inc. | 2.650% | 4/17/20 | 4,750 | 4,706 |
Santander Holdings USA Inc. | 4.500% | 7/17/25 | 5,300 | 5,473 |
Santander Issuances SAU | 5.179% | 11/19/25 | 23,400 | 23,303 |
Santander UK Group Holdings plc | 2.875% | 10/16/20 | 14,450 | 14,399 |
Santander UK Group Holdings plc | 3.125% | 1/8/21 | 13,500 | 13,530 |
Santander UK plc | 1.375% | 3/13/17 | 9,333 | 9,310 |
Santander UK plc | 1.650% | 9/29/17 | 10,100 | 10,098 |
Santander UK plc | 3.050% | 8/23/18 | 8,275 | 8,469 |
Santander UK plc | 2.000% | 8/24/18 | 10,595 | 10,607 |
Santander UK plc | 2.500% | 3/14/19 | 21,750 | 21,974 |
Santander UK plc | 2.350% | 9/10/19 | 8,035 | 8,073 |
Santander UK plc | 2.375% | 3/16/20 | 3,525 | 3,528 |
Santander UK plc | 4.000% | 3/13/24 | 17,825 | 19,148 |
Skandinaviska Enskilda Banken AB | 2.625% | 3/15/21 | 15,000 | 15,511 |
Societe Generale SA | 2.750% | 10/12/17 | 9,275 | 9,425 |
Societe Generale SA | 2.625% | 10/1/18 | 14,000 | 14,331 |
State Street Bank & Trust Co. | 5.250% | 10/15/18 | 275 | 296 |
State Street Corp. | 4.956% | 3/15/18 | 5,486 | 5,752 |
State Street Corp. | 1.350% | 5/15/18 | 9,175 | 9,226 |
State Street Corp. | 4.375% | 3/7/21 | 700 | 783 |
State Street Corp. | 1.950% | 5/19/21 | 7,175 | 7,263 |
State Street Corp. | 3.100% | 5/15/23 | 9,104 | 9,391 |
State Street Corp. | 3.700% | 11/20/23 | 6,076 | 6,691 |
State Street Corp. | 3.300% | 12/16/24 | 7,600 | 8,177 |
State Street Corp. | 3.550% | 8/18/25 | 21,237 | 22,999 |
State Street Corp. | 2.650% | 5/19/26 | 7,375 | 7,539 |
Sumitomo Mitsui Banking Corp. | 1.300% | 1/10/17 | 4,275 | 4,278 |
Sumitomo Mitsui Banking Corp. | 1.350% | 7/11/17 | 10,650 | 10,650 |
Sumitomo Mitsui Banking Corp. | 1.800% | 7/18/17 | 12,375 | 12,440 |
Sumitomo Mitsui Banking Corp. | 2.500% | 7/19/18 | 3,325 | 3,391 |
Sumitomo Mitsui Banking Corp. | 1.950% | 7/23/18 | 6,625 | 6,692 |
Sumitomo Mitsui Banking Corp. | 2.450% | 1/10/19 | 6,825 | 6,972 |
Sumitomo Mitsui Banking Corp. | 2.250% | 7/11/19 | 3,850 | 3,902 |
Sumitomo Mitsui Banking Corp. | 2.650% | 7/23/20 | 4,700 | 4,810 |
Sumitomo Mitsui Banking Corp. | 2.450% | 10/20/20 | 3,000 | 3,050 |
Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 5,025 | 5,149 |
Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 550 | 568 |
Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 9,998 | 10,891 |
Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 9,850 | 10,679 |
Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 14,050 | 14,739 |
Sumitomo Mitsui Banking Corp. | 3.650% | 7/23/25 | 3,100 | 3,326 |
Sumitomo Mitsui Financial Group Inc. | 2.934% | 3/9/21 | 13,135 | 13,684 |
Sumitomo Mitsui Financial Group Inc. | 3.784% | 3/9/26 | 17,475 | 19,148 |
SunTrust Bank | 7.250% | 3/15/18 | 950 | 1,037 |
SunTrust Bank | 2.750% | 5/1/23 | 6,600 | 6,697 |
SunTrust Bank | 3.300% | 5/15/26 | 7,025 | 7,123 |
SunTrust Banks Inc. | 6.000% | 9/11/17 | 2,508 | 2,633 |
SunTrust Banks Inc. | 2.500% | 5/1/19 | 4,040 | 4,127 |
SunTrust Banks Inc. | 2.900% | 3/3/21 | 4,500 | 4,652 |
SVB Financial Group | 3.500% | 1/29/25 | 3,775 | 3,835 |
Svenska Handelsbanken AB | 1.625% | 3/21/18 | 4,700 | 4,731 |
Svenska Handelsbanken AB | 2.500% | 1/25/19 | 9,775 | 10,068 |
Svenska Handelsbanken AB | 2.250% | 6/17/19 | 13,680 | 13,934 |
Svenska Handelsbanken AB | 2.400% | 10/1/20 | 4,600 | 4,719 |
Svenska Handelsbanken AB | 2.450% | 3/30/21 | 8,975 | 9,221 |
Synchrony Financial | 1.875% | 8/15/17 | 705 | 706 |
Synchrony Financial | 2.600% | 1/15/19 | 12,600 | 12,719 |
Synchrony Financial | 3.000% | 8/15/19 | 5,024 | 5,121 |
Synchrony Financial | 2.700% | 2/3/20 | 7,225 | 7,248 |
36
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Synchrony Financial | 3.750% | 8/15/21 | 6,263 | 6,488 |
Synchrony Financial | 4.250% | 8/15/24 | 29,691 | 30,751 |
Synchrony Financial | 4.500% | 7/23/25 | 14,750 | 15,299 |
Toronto-Dominion Bank | 1.625% | 3/13/18 | 34,500 | 34,811 |
Toronto-Dominion Bank | 1.400% | 4/30/18 | 27,452 | 27,588 |
Toronto-Dominion Bank | 1.750% | 7/23/18 | 6,000 | 6,062 |
Toronto-Dominion Bank | 2.625% | 9/10/18 | 30,276 | 31,152 |
Toronto-Dominion Bank | 2.125% | 7/2/19 | 3,300 | 3,410 |
Toronto-Dominion Bank | 2.250% | 11/5/19 | 27,447 | 28,209 |
Toronto-Dominion Bank | 2.500% | 12/14/20 | 8,900 | 9,210 |
Toronto-Dominion Bank | 2.125% | 4/7/21 | 17,000 | 17,303 |
UBS AG | 1.375% | 6/1/17 | 13,200 | 13,212 |
UBS AG | 1.375% | 8/14/17 | 10,000 | 10,005 |
UBS AG | 5.875% | 12/20/17 | 3,674 | 3,909 |
UBS AG | 1.800% | 3/26/18 | 28,475 | 28,722 |
UBS AG | 5.750% | 4/25/18 | 2,092 | 2,249 |
UBS AG | 2.375% | 8/14/19 | 9,573 | 9,796 |
UBS AG | 2.350% | 3/26/20 | 3,875 | 3,970 |
UBS AG | 4.875% | 8/4/20 | 2,510 | 2,821 |
US Bancorp | 1.650% | 5/15/17 | 4,300 | 4,321 |
US Bancorp | 1.950% | 11/15/18 | 6,225 | 6,346 |
US Bancorp | 2.200% | 4/25/19 | 15,805 | 16,211 |
US Bancorp | 2.350% | 1/29/21 | 9,000 | 9,277 |
US Bancorp | 4.125% | 5/24/21 | 7,185 | 7,996 |
US Bancorp | 3.000% | 3/15/22 | 2,240 | 2,384 |
US Bancorp | 2.950% | 7/15/22 | 16,199 | 16,810 |
US Bancorp | 3.600% | 9/11/24 | 2,175 | 2,343 |
US Bancorp | 3.100% | 4/27/26 | 6,000 | 6,245 |
US Bank NA | 1.375% | 9/11/17 | 6,775 | 6,810 |
US Bank NA | 1.350% | 1/26/18 | 12,600 | 12,676 |
US Bank NA | 1.450% | 1/29/18 | 12,700 | 12,787 |
US Bank NA | 1.400% | 4/26/19 | 7,880 | 7,920 |
US Bank NA | 2.125% | 10/28/19 | 14,500 | 14,832 |
US Bank NA | 2.800% | 1/27/25 | 16,400 | 17,027 |
Wachovia Bank NA | 5.850% | 2/1/37 | 16,351 | 20,717 |
Wachovia Corp. | 5.750% | 2/1/18 | 9,665 | 10,336 |
Wachovia Corp. | 6.605% | 10/1/25 | 3,175 | 3,986 |
Wachovia Corp. | 5.500% | 8/1/35 | 13,800 | 16,353 |
Wachovia Corp. | 6.550% | 10/15/35 | 7,625 | 9,679 |
Wells Fargo & Co. | 2.625% | 12/15/16 | 42,239 | 42,597 |
Wells Fargo & Co. | 1.400% | 9/8/17 | 26,775 | 26,872 |
Wells Fargo & Co. | 5.625% | 12/11/17 | 33,870 | 36,039 |
Wells Fargo & Co. | 1.500% | 1/16/18 | 3,562 | 3,582 |
Wells Fargo & Co. | 2.150% | 1/15/19 | 5,810 | 5,929 |
Wells Fargo & Co. | 2.125% | 4/22/19 | 1,000 | 1,022 |
Wells Fargo & Co. | 2.150% | 1/30/20 | 6,225 | 6,333 |
Wells Fargo & Co. | 2.600% | 7/22/20 | 33,075 | 34,003 |
Wells Fargo & Co. | 2.550% | 12/7/20 | 18,000 | 18,458 |
Wells Fargo & Co. | 3.000% | 1/22/21 | 13,070 | 13,684 |
Wells Fargo & Co. | 2.500% | 3/4/21 | 22,275 | 22,802 |
Wells Fargo & Co. | 4.600% | 4/1/21 | 20,769 | 23,201 |
Wells Fargo & Co. | 3.500% | 3/8/22 | 22,690 | 24,309 |
Wells Fargo & Co. | 3.450% | 2/13/23 | 16,648 | 17,189 |
Wells Fargo & Co. | 4.125% | 8/15/23 | 14,214 | 15,245 |
Wells Fargo & Co. | 4.480% | 1/16/24 | 10,987 | 11,986 |
Wells Fargo & Co. | 3.300% | 9/9/24 | 21,300 | 22,287 |
Wells Fargo & Co. | 3.000% | 2/19/25 | 18,965 | 19,407 |
Wells Fargo & Co. | 3.550% | 9/29/25 | 15,900 | 16,950 |
Wells Fargo & Co. | 3.000% | 4/22/26 | 39,950 | 40,612 |
Wells Fargo & Co. | 4.100% | 6/3/26 | 24,050 | 25,696 |
Wells Fargo & Co. | 4.300% | 7/22/27 | 21,678 | 23,348 |
Wells Fargo & Co. | 5.375% | 2/7/35 | 13,200 | 16,047 |
Wells Fargo & Co. | 5.375% | 11/2/43 | 17,166 | 20,014 |
Wells Fargo & Co. | 5.606% | 1/15/44 | 9,065 | 10,861 |
37
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Wells Fargo & Co. | 4.650% | 11/4/44 | 9,890 | 10,399 | |
Wells Fargo & Co. | 3.900% | 5/1/45 | 16,250 | 17,021 | |
Wells Fargo & Co. | 4.900% | 11/17/45 | 27,760 | 30,410 | |
Wells Fargo & Co. | 4.400% | 6/14/46 | 13,500 | 13,674 | |
Wells Fargo Bank NA | 6.000% | 11/15/17 | 8,775 | 9,333 | |
Wells Fargo Bank NA | 1.650% | 1/22/18 | 9,250 | 9,328 | |
Wells Fargo Bank NA | 1.750% | 5/24/19 | 42,650 | 43,150 | |
Wells Fargo Bank NA | 5.950% | 8/26/36 | 10,653 | 13,588 | |
Wells Fargo Bank NA | 6.600% | 1/15/38 | 10,140 | 13,916 | |
4 | Wells Fargo Capital X | 5.950% | 12/1/86 | 3,907 | 4,151 |
Westpac Banking Corp. | 2.000% | 8/14/17 | 5,920 | 5,979 | |
Westpac Banking Corp. | 1.500% | 12/1/17 | 11,500 | 11,565 | |
Westpac Banking Corp. | 1.600% | 1/12/18 | 11,200 | 11,270 | |
Westpac Banking Corp. | 1.550% | 5/25/18 | 500 | 503 | |
Westpac Banking Corp. | 2.250% | 7/30/18 | 17,025 | 17,363 | |
Westpac Banking Corp. | 1.950% | 11/23/18 | 9,800 | 9,927 | |
Westpac Banking Corp. | 2.250% | 1/17/19 | 11,980 | 12,159 | |
Westpac Banking Corp. | 1.650% | 5/13/19 | 10,200 | 10,264 | |
Westpac Banking Corp. | 4.875% | 11/19/19 | 16,450 | 18,208 | |
Westpac Banking Corp. | 2.300% | 5/26/20 | 12,750 | 13,016 | |
Westpac Banking Corp. | 2.600% | 11/23/20 | 21,415 | 22,131 | |
Westpac Banking Corp. | 2.100% | 5/13/21 | 39,550 | 39,983 | |
Westpac Banking Corp. | 2.850% | 5/13/26 | 23,275 | 23,666 | |
Brokerage (0.2%) | |||||
Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 8,625 | 9,122 | |
Affiliated Managers Group Inc. | 3.500% | 8/1/25 | 10,650 | 10,613 | |
Ameriprise Financial Inc. | 7.300% | 6/28/19 | 2,227 | 2,584 | |
Ameriprise Financial Inc. | 5.300% | 3/15/20 | 3,942 | 4,438 | |
Ameriprise Financial Inc. | 4.000% | 10/15/23 | 9,075 | 9,871 | |
Ameriprise Financial Inc. | 3.700% | 10/15/24 | 6,740 | 7,203 | |
Apollo Investment Corp. | 5.250% | 3/3/25 | 3,700 | 3,714 | |
7 | Apollo Management Holdings LP | 4.400% | 5/27/26 | 150 | 156 |
BGC Partners Inc. | 5.375% | 12/9/19 | 500 | 520 | |
7 | BGC Partners Inc. | 5.125% | 5/27/21 | 2,625 | 2,654 |
BlackRock Inc. | 6.250% | 9/15/17 | 4,427 | 4,708 | |
BlackRock Inc. | 5.000% | 12/10/19 | 7,598 | 8,523 | |
BlackRock Inc. | 4.250% | 5/24/21 | 6,540 | 7,320 | |
BlackRock Inc. | 3.375% | 6/1/22 | 10,375 | 11,228 | |
BlackRock Inc. | 3.500% | 3/18/24 | 16,025 | 17,451 | |
Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 6,725 | 6,839 | |
Brookfield Asset Management Inc. | 7.375% | 3/1/33 | 2,215 | 2,694 | |
Brookfield Finance Inc. | 4.250% | 6/2/26 | 2,300 | 2,353 | |
Charles Schwab Corp. | 4.450% | 7/22/20 | 10,525 | 11,666 | |
Charles Schwab Corp. | 3.225% | 9/1/22 | 4,005 | 4,239 | |
Charles Schwab Corp. | 3.450% | 2/13/26 | 6,425 | 6,855 | |
CME Group Inc. | 3.000% | 9/15/22 | 7,870 | 8,361 | |
CME Group Inc. | 3.000% | 3/15/25 | 5,675 | 5,907 | |
CME Group Inc. | 5.300% | 9/15/43 | 6,995 | 8,829 | |
E*TRADE Financial Corp. | 5.375% | 11/15/22 | 4,900 | 5,176 | |
Eaton Vance Corp. | 3.625% | 6/15/23 | 1,900 | 2,031 | |
7 | FMR LLC | 7.490% | 6/15/19 | 800 | 924 |
Franklin Resources Inc. | 1.375% | 9/15/17 | 2,775 | 2,790 | |
Franklin Resources Inc. | 4.625% | 5/20/20 | 1,550 | 1,715 | |
Franklin Resources Inc. | 2.800% | 9/15/22 | 10,550 | 10,917 | |
Franklin Resources Inc. | 2.850% | 3/30/25 | 1,885 | 1,936 | |
Intercontinental Exchange Inc. | 2.500% | 10/15/18 | 4,795 | 4,907 | |
Intercontinental Exchange Inc. | 2.750% | 12/1/20 | 12,060 | 12,628 | |
Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 16,071 | 17,392 | |
Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 9,910 | 10,696 | |
Invesco Finance plc | 3.125% | 11/30/22 | 7,000 | 7,323 | |
Invesco Finance plc | 4.000% | 1/30/24 | 4,253 | 4,670 | |
Invesco Finance plc | 3.750% | 1/15/26 | 1,940 | 2,092 | |
Invesco Finance plc | 5.375% | 11/30/43 | 10,960 | 13,006 |
38
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Janus Capital Group Inc. | 4.875% | 8/1/25 | 3,950 | 4,272 | |
Jefferies Group LLC | 5.125% | 4/13/18 | 5,870 | 6,140 | |
Jefferies Group LLC | 8.500% | 7/15/19 | 2,132 | 2,448 | |
Jefferies Group LLC | 6.875% | 4/15/21 | 12,400 | 14,081 | |
Jefferies Group LLC | 5.125% | 1/20/23 | 1,025 | 1,074 | |
Jefferies Group LLC | 6.450% | 6/8/27 | 2,475 | 2,751 | |
Jefferies Group LLC | 6.250% | 1/15/36 | 3,325 | 3,426 | |
Jefferies Group LLC | 6.500% | 1/20/43 | 5,525 | 5,488 | |
Lazard Group LLC | 6.850% | 6/15/17 | 1,245 | 1,304 | |
Lazard Group LLC | 3.750% | 2/13/25 | 125 | 124 | |
Legg Mason Inc. | 2.700% | 7/15/19 | 950 | 970 | |
Legg Mason Inc. | 3.950% | 7/15/24 | 1,775 | 1,801 | |
Legg Mason Inc. | 4.750% | 3/15/26 | 3,550 | 3,743 | |
Legg Mason Inc. | 5.625% | 1/15/44 | 7,270 | 7,437 | |
Leucadia National Corp. | 5.500% | 10/18/23 | 4,650 | 4,723 | |
Leucadia National Corp. | 6.625% | 10/23/43 | 2,765 | 2,413 | |
Nasdaq Inc. | 5.550% | 1/15/20 | 10,175 | 11,196 | |
Nasdaq Inc. | 3.850% | 6/30/26 | 1,550 | 1,575 | |
Nomura Holdings Inc. | 2.750% | 3/19/19 | 22,209 | 22,713 | |
Nomura Holdings Inc. | 6.700% | 3/4/20 | 7,880 | 9,144 | |
NYSE Euronext | 2.000% | 10/5/17 | 6,800 | 6,869 | |
Stifel Financial Corp. | 4.250% | 7/18/24 | 2,825 | 2,866 | |
TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 2,400 | 2,703 | |
TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 6,900 | 7,198 | |
TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 6,200 | 6,626 | |
Finance Companies (0.3%) | |||||
AerCap Ireland Capital Ltd. / AerCap Global Aviation | |||||
Trust | 3.950% | 2/1/22 | 7,575 | 7,537 | |
Air Lease Corp. | 2.125% | 1/15/18 | 4,500 | 4,466 | |
Air Lease Corp. | 2.625% | 9/4/18 | 625 | 625 | |
Air Lease Corp. | 3.375% | 1/15/19 | 26,435 | 26,898 | |
Air Lease Corp. | 4.750% | 3/1/20 | 11,700 | 12,431 | |
Air Lease Corp. | 3.875% | 4/1/21 | 4,245 | 4,383 | |
Air Lease Corp. | 3.750% | 2/1/22 | 3,925 | 4,004 | |
Ares Capital Corp. | 4.875% | 11/30/18 | 9,500 | 9,936 | |
Ares Capital Corp. | 3.875% | 1/15/20 | 1,800 | 1,864 | |
FS Investment Corp. | 4.000% | 7/15/19 | 3,775 | 3,802 | |
FS Investment Corp. | 4.250% | 1/15/20 | 2,150 | 2,199 | |
FS Investment Corp. | 4.750% | 5/15/22 | 2,250 | 2,286 | |
GATX Corp. | 2.375% | 7/30/18 | 7,060 | 7,090 | |
GATX Corp. | 2.500% | 3/15/19 | 1,000 | 1,006 | |
GATX Corp. | 2.500% | 7/30/19 | 2,250 | 2,273 | |
GATX Corp. | 4.850% | 6/1/21 | 125 | 135 | |
GATX Corp. | 4.750% | 6/15/22 | 4,900 | 5,248 | |
GATX Corp. | 3.250% | 3/30/25 | 3,500 | 3,408 | |
GATX Corp. | 5.200% | 3/15/44 | 1,025 | 1,040 | |
GATX Corp. | 4.500% | 3/30/45 | 2,322 | 2,128 | |
7 | GE Capital International Funding Co. | 2.342% | 11/15/20 | 104,526 | 108,018 |
7 | GE Capital International Funding Co. | 3.373% | 11/15/25 | 28,949 | 31,589 |
7 | GE Capital International Funding Co. | 4.418% | 11/15/35 | 120,102 | 134,555 |
HSBC Finance Corp. | 6.676% | 1/15/21 | 45,704 | 51,189 | |
7 | International Lease Finance Corp. | 7.125% | 9/1/18 | 11,440 | 12,555 |
Prospect Capital Corp. | 5.000% | 7/15/19 | 3,650 | 3,604 | |
Prospect Capital Corp. | 5.875% | 3/15/23 | 1,860 | 1,804 | |
Insurance (1.3%) | |||||
ACE Capital Trust II | 9.700% | 4/1/30 | 1,689 | 2,457 | |
AEGON Funding Co. LLC | 5.750% | 12/15/20 | 12,100 | 13,938 | |
Aetna Inc. | 1.500% | 11/15/17 | 9,397 | 9,438 | |
Aetna Inc. | 1.700% | 6/7/18 | 16,000 | 16,115 | |
Aetna Inc. | 2.200% | 3/15/19 | 3,580 | 3,647 | |
Aetna Inc. | 1.900% | 6/7/19 | 17,240 | 17,459 | |
Aetna Inc. | 4.125% | 6/1/21 | 375 | 408 | |
Aetna Inc. | 2.400% | 6/15/21 | 6,700 | 6,839 |
39
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Aetna Inc. | 2.750% | 11/15/22 | 9,300 | 9,493 | |
Aetna Inc. | 2.800% | 6/15/23 | 475 | 485 | |
Aetna Inc. | 3.500% | 11/15/24 | 9,551 | 10,115 | |
Aetna Inc. | 3.200% | 6/15/26 | 8,020 | 8,230 | |
Aetna Inc. | 4.250% | 6/15/36 | 12,640 | 13,066 | |
Aetna Inc. | 6.625% | 6/15/36 | 8,886 | 11,874 | |
Aetna Inc. | 6.750% | 12/15/37 | 3,205 | 4,351 | |
Aetna Inc. | 4.500% | 5/15/42 | 4,653 | 4,930 | |
Aetna Inc. | 4.125% | 11/15/42 | 1,842 | 1,863 | |
Aetna Inc. | 4.750% | 3/15/44 | 3,600 | 3,983 | |
Aetna Inc. | 4.375% | 6/15/46 | 26,671 | 27,727 | |
Aflac Inc. | 2.400% | 3/16/20 | 12,856 | 13,248 | |
Aflac Inc. | 4.000% | 2/15/22 | 1,150 | 1,270 | |
Aflac Inc. | 3.625% | 6/15/23 | 4,200 | 4,509 | |
Aflac Inc. | 6.900% | 12/17/39 | 5,225 | 7,363 | |
Aflac Inc. | 6.450% | 8/15/40 | 4,958 | 6,636 | |
Alleghany Corp. | 5.625% | 9/15/20 | 3,450 | 3,862 | |
Alleghany Corp. | 4.950% | 6/27/22 | 4,100 | 4,564 | |
Alleghany Corp. | 4.900% | 9/15/44 | 7,864 | 8,180 | |
Allied World Assurance Co. Holdings Ltd. | 4.350% | 10/29/25 | 28,076 | 28,699 | |
Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 1,850 | 2,064 | |
Allstate Corp. | 7.450% | 5/16/19 | 500 | 579 | |
Allstate Corp. | 3.150% | 6/15/23 | 9,640 | 10,185 | |
Allstate Corp. | 5.350% | 6/1/33 | 1,654 | 2,029 | |
Allstate Corp. | 5.550% | 5/9/35 | 2,906 | 3,675 | |
Allstate Corp. | 5.950% | 4/1/36 | 28 | 37 | |
Allstate Corp. | 4.500% | 6/15/43 | 6,237 | 7,256 | |
4 | Allstate Corp. | 5.750% | 8/15/53 | 3,400 | 3,477 |
4 | Allstate Corp. | 6.125% | 5/15/67 | 1,456 | 1,281 |
4 | Allstate Corp. | 6.500% | 5/15/67 | 4,300 | 4,665 |
Alterra Finance LLC | 6.250% | 9/30/20 | 2,235 | 2,546 | |
American Financial Group Inc. | 9.875% | 6/15/19 | 8,054 | 9,727 | |
American International Group Inc. | 5.850% | 1/16/18 | 16,881 | 18,018 | |
American International Group Inc. | 2.300% | 7/16/19 | 12,091 | 12,299 | |
American International Group Inc. | 3.375% | 8/15/20 | 15,175 | 15,935 | |
American International Group Inc. | 6.400% | 12/15/20 | 22,513 | 26,445 | |
American International Group Inc. | 4.875% | 6/1/22 | 13,023 | 14,509 | |
American International Group Inc. | 4.125% | 2/15/24 | 13,215 | 13,957 | |
American International Group Inc. | 3.900% | 4/1/26 | 3,570 | 3,685 | |
American International Group Inc. | 3.875% | 1/15/35 | 9,735 | 9,207 | |
American International Group Inc. | 4.700% | 7/10/35 | 4,445 | 4,614 | |
American International Group Inc. | 6.250% | 5/1/36 | 9,120 | 10,860 | |
American International Group Inc. | 4.500% | 7/16/44 | 20,333 | 19,787 | |
American International Group Inc. | 4.800% | 7/10/45 | 7,700 | 7,842 | |
American International Group Inc. | 4.375% | 1/15/55 | 4,643 | 4,304 | |
4 | American International Group Inc. | 8.175% | 5/15/68 | 5,875 | 7,358 |
Anthem Inc. | 1.875% | 1/15/18 | 9,558 | 9,612 | |
Anthem Inc. | 7.000% | 2/15/19 | 875 | 989 | |
Anthem Inc. | 2.250% | 8/15/19 | 5,595 | 5,648 | |
Anthem Inc. | 4.350% | 8/15/20 | 6,475 | 7,044 | |
Anthem Inc. | 3.700% | 8/15/21 | 6,125 | 6,543 | |
Anthem Inc. | 3.125% | 5/15/22 | 7,340 | 7,590 | |
Anthem Inc. | 3.300% | 1/15/23 | 8,695 | 8,987 | |
Anthem Inc. | 3.500% | 8/15/24 | 5,759 | 5,967 | |
Anthem Inc. | 5.950% | 12/15/34 | 7,525 | 8,890 | |
Anthem Inc. | 5.850% | 1/15/36 | 6,835 | 8,182 | |
Anthem Inc. | 6.375% | 6/15/37 | 6,403 | 8,119 | |
Anthem Inc. | 4.625% | 5/15/42 | 13,092 | 13,746 | |
Anthem Inc. | 4.650% | 1/15/43 | 12,198 | 12,904 | |
Anthem Inc. | 5.100% | 1/15/44 | 4,925 | 5,538 | |
Anthem Inc. | 4.650% | 8/15/44 | 1,150 | 1,230 | |
Anthem Inc. | 4.850% | 8/15/54 | 3,550 | 3,740 | |
Aon Corp. | 5.000% | 9/30/20 | 6,235 | 6,978 | |
Aon Corp. | 8.205% | 1/1/27 | 1,419 | 1,822 |
40
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Aon Corp. | 6.250% | 9/30/40 | 3,600 | 4,584 |
Aon plc | 2.800% | 3/15/21 | 13,425 | 13,823 |
Aon plc | 3.500% | 6/14/24 | 6,250 | 6,454 |
Aon plc | 3.875% | 12/15/25 | 725 | 765 |
Aon plc | 4.450% | 5/24/43 | 2,025 | 2,044 |
Aon plc | 4.600% | 6/14/44 | 6,900 | 7,032 |
Aon plc | 4.750% | 5/15/45 | 2,702 | 2,912 |
Arch Capital Group Ltd. | 7.350% | 5/1/34 | 4,510 | 6,101 |
Arch Capital Group US Inc. | 5.144% | 11/1/43 | 625 | 679 |
Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 5,325 | 5,949 |
Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 11,065 | 11,756 |
Assurant Inc. | 4.000% | 3/15/23 | 7,925 | 8,162 |
Assurant Inc. | 6.750% | 2/15/34 | 6,000 | 7,459 |
Assured Guaranty US Holdings Inc. | 5.000% | 7/1/24 | 600 | 652 |
AXA SA | 8.600% | 12/15/30 | 15,156 | 20,653 |
Axis Specialty Finance LLC | 5.875% | 6/1/20 | 11,775 | 13,180 |
AXIS Specialty Finance plc | 2.650% | 4/1/19 | 1,000 | 1,014 |
AXIS Specialty Finance plc | 5.150% | 4/1/45 | 1,375 | 1,487 |
Berkshire Hathaway Finance Corp. | 1.450% | 3/7/18 | 10,950 | 11,055 |
Berkshire Hathaway Finance Corp. | 1.300% | 5/15/18 | 12,350 | 12,443 |
Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 4,985 | 5,395 |
Berkshire Hathaway Finance Corp. | 2.000% | 8/15/18 | 5,909 | 6,053 |
Berkshire Hathaway Finance Corp. | 1.700% | 3/15/19 | 8,750 | 8,888 |
Berkshire Hathaway Finance Corp. | 2.900% | 10/15/20 | 4,800 | 5,098 |
Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 3,000 | 3,342 |
Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 13,540 | 14,427 |
Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 7,830 | 10,363 |
Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 4,450 | 4,987 |
Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 4,775 | 5,301 |
Berkshire Hathaway Inc. | 1.550% | 2/9/18 | 1,699 | 1,717 |
Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 10,525 | 10,851 |
Berkshire Hathaway Inc. | 2.200% | 3/15/21 | 5,716 | 5,895 |
Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 3,070 | 3,393 |
Berkshire Hathaway Inc. | 3.400% | 1/31/22 | 500 | 540 |
Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 3,806 | 4,022 |
Berkshire Hathaway Inc. | 2.750% | 3/15/23 | 21,805 | 22,526 |
Berkshire Hathaway Inc. | 3.125% | 3/15/26 | 41,300 | 43,309 |
Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 9,365 | 10,587 |
Brown & Brown Inc. | 4.200% | 9/15/24 | 8,215 | 8,337 |
Chubb Corp. | 5.750% | 5/15/18 | 6,135 | 6,652 |
Chubb Corp. | 6.000% | 5/11/37 | 5,450 | 7,392 |
Chubb Corp. | 6.500% | 5/15/38 | 2,140 | 3,076 |
Chubb INA Holdings Inc. | 5.800% | 3/15/18 | 1,956 | 2,099 |
Chubb INA Holdings Inc. | 5.900% | 6/15/19 | 2,755 | 3,098 |
Chubb INA Holdings Inc. | 2.300% | 11/3/20 | 6,500 | 6,682 |
Chubb INA Holdings Inc. | 2.875% | 11/3/22 | 18,875 | 19,741 |
Chubb INA Holdings Inc. | 2.700% | 3/13/23 | 8,648 | 8,875 |
Chubb INA Holdings Inc. | 3.350% | 5/15/24 | 4,999 | 5,324 |
Chubb INA Holdings Inc. | 3.150% | 3/15/25 | 7,090 | 7,400 |
Chubb INA Holdings Inc. | 3.350% | 5/3/26 | 13,625 | 14,512 |
Chubb INA Holdings Inc. | 6.700% | 5/15/36 | 740 | 1,063 |
Chubb INA Holdings Inc. | 4.150% | 3/13/43 | 4,308 | 4,797 |
Chubb INA Holdings Inc. | 4.350% | 11/3/45 | 14,050 | 16,108 |
Cigna Corp. | 5.125% | 6/15/20 | 8,339 | 9,246 |
Cigna Corp. | 4.375% | 12/15/20 | 8,571 | 9,334 |
Cigna Corp. | 4.500% | 3/15/21 | 1,300 | 1,424 |
Cigna Corp. | 4.000% | 2/15/22 | 5,265 | 5,685 |
Cigna Corp. | 3.250% | 4/15/25 | 8,875 | 9,076 |
Cigna Corp. | 7.875% | 5/15/27 | 1,325 | 1,831 |
Cigna Corp. | 6.150% | 11/15/36 | 4,443 | 5,514 |
Cigna Corp. | 5.875% | 3/15/41 | 2,800 | 3,431 |
Cigna Corp. | 5.375% | 2/15/42 | 796 | 937 |
Cincinnati Financial Corp. | 6.920% | 5/15/28 | 3,575 | 4,710 |
Cincinnati Financial Corp. | 6.125% | 11/1/34 | 2,045 | 2,499 |
41
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
CNA Financial Corp. | 7.350% | 11/15/19 | 9,475 | 10,912 |
CNA Financial Corp. | 5.875% | 8/15/20 | 5,870 | 6,627 |
CNA Financial Corp. | 5.750% | 8/15/21 | 4,118 | 4,746 |
CNA Financial Corp. | 3.950% | 5/15/24 | 100 | 106 |
CNA Financial Corp. | 4.500% | 3/1/26 | 3,850 | 4,119 |
Coventry Health Care Inc. | 5.450% | 6/15/21 | 10,245 | 11,707 |
Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 7,275 | 8,796 |
Everest Reinsurance Holdings Inc. | 4.868% | 6/1/44 | 4,500 | 4,615 |
Fidelity National Financial Inc. | 5.500% | 9/1/22 | 500 | 553 |
First American Financial Corp. | 4.300% | 2/1/23 | 2,675 | 2,737 |
First American Financial Corp. | 4.600% | 11/15/24 | 4,950 | 5,193 |
Hanover Insurance Group Inc. | 4.500% | 4/15/26 | 4,400 | 4,546 |
Hartford Financial Services Group Inc. | 6.300% | 3/15/18 | 8,020 | 8,581 |
Hartford Financial Services Group Inc. | 6.000% | 1/15/19 | 3,309 | 3,628 |
Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 1,705 | 1,937 |
Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 3,595 | 4,407 |
Hartford Financial Services Group Inc. | 6.625% | 3/30/40 | 2,100 | 2,713 |
Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 3,156 | 3,895 |
Hartford Financial Services Group Inc. | 4.300% | 4/15/43 | 6,615 | 6,612 |
Horace Mann Educators Corp. | 4.500% | 12/1/25 | 1,300 | 1,367 |
Humana Inc. | 7.200% | 6/15/18 | 5,815 | 6,426 |
Humana Inc. | 6.300% | 8/1/18 | 705 | 771 |
Humana Inc. | 2.625% | 10/1/19 | 2,100 | 2,155 |
Humana Inc. | 3.150% | 12/1/22 | 6,325 | 6,500 |
Humana Inc. | 3.850% | 10/1/24 | 8,475 | 9,019 |
Humana Inc. | 8.150% | 6/15/38 | 5,518 | 8,006 |
Humana Inc. | 4.625% | 12/1/42 | 4,278 | 4,460 |
Humana Inc. | 4.950% | 10/1/44 | 1,607 | 1,762 |
Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 9,075 | 9,653 |
Kemper Corp. | 4.350% | 2/15/25 | 11,000 | 11,395 |
Lincoln National Corp. | 8.750% | 7/1/19 | 743 | 881 |
Lincoln National Corp. | 6.250% | 2/15/20 | 1,268 | 1,432 |
Lincoln National Corp. | 4.850% | 6/24/21 | 2,900 | 3,210 |
Lincoln National Corp. | 4.200% | 3/15/22 | 2,850 | 3,051 |
Lincoln National Corp. | 4.000% | 9/1/23 | 3,455 | 3,593 |
Lincoln National Corp. | 3.350% | 3/9/25 | 2,547 | 2,531 |
Lincoln National Corp. | 6.150% | 4/7/36 | 7,625 | 8,969 |
Lincoln National Corp. | 6.300% | 10/9/37 | 2,068 | 2,441 |
Lincoln National Corp. | 7.000% | 6/15/40 | 2,955 | 3,788 |
Loews Corp. | 2.625% | 5/15/23 | 12,175 | 12,259 |
Loews Corp. | 6.000% | 2/1/35 | 468 | 577 |
Loews Corp. | 4.125% | 5/15/43 | 15,402 | 15,583 |
Manulife Financial Corp. | 4.900% | 9/17/20 | 14,484 | 16,048 |
Manulife Financial Corp. | 4.150% | 3/4/26 | 2,870 | 3,081 |
Manulife Financial Corp. | 5.375% | 3/4/46 | 5,550 | 6,546 |
Markel Corp. | 4.900% | 7/1/22 | 700 | 778 |
Markel Corp. | 3.625% | 3/30/23 | 625 | 647 |
Markel Corp. | 5.000% | 3/30/43 | 3,400 | 3,639 |
Markel Corp. | 5.000% | 4/5/46 | 6,878 | 7,260 |
Marsh & McLennan Cos. Inc. | 2.300% | 4/1/17 | 475 | 479 |
Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 3,225 | 3,284 |
Marsh & McLennan Cos. Inc. | 2.350% | 9/10/19 | 1,225 | 1,249 |
Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 6,700 | 6,831 |
Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 1,945 | 2,162 |
Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 4,568 | 4,937 |
Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 13,850 | 14,339 |
Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 6,160 | 6,391 |
Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 3,650 | 3,849 |
Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 2,909 | 3,578 |
MetLife Inc. | 1.756% | 12/15/17 | 8,984 | 9,064 |
MetLife Inc. | 1.903% | 12/15/17 | 9,540 | 9,640 |
MetLife Inc. | 6.817% | 8/15/18 | 3,915 | 4,364 |
MetLife Inc. | 7.717% | 2/15/19 | 4,896 | 5,656 |
MetLife Inc. | 4.750% | 2/8/21 | 15,215 | 17,065 |
42
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
MetLife Inc. | 3.048% | 12/15/22 | 7,250 | 7,448 | |
MetLife Inc. | 4.368% | 9/15/23 | 5,435 | 6,020 | |
MetLife Inc. | 3.600% | 4/10/24 | 14,195 | 14,967 | |
MetLife Inc. | 3.000% | 3/1/25 | 13,675 | 13,805 | |
MetLife Inc. | 3.600% | 11/13/25 | 11,975 | 12,582 | |
MetLife Inc. | 6.500% | 12/15/32 | 1,550 | 2,013 | |
MetLife Inc. | 6.375% | 6/15/34 | 2,025 | 2,620 | |
MetLife Inc. | 5.700% | 6/15/35 | 10,890 | 13,246 | |
MetLife Inc. | 5.875% | 2/6/41 | 14,415 | 17,959 | |
MetLife Inc. | 4.125% | 8/13/42 | 9,555 | 9,513 | |
MetLife Inc. | 4.875% | 11/13/43 | 7,650 | 8,415 | |
MetLife Inc. | 4.721% | 12/15/44 | 9,575 | 10,313 | |
MetLife Inc. | 4.050% | 3/1/45 | 8,600 | 8,438 | |
MetLife Inc. | 4.600% | 5/13/46 | 5,900 | 6,307 | |
4 | MetLife Inc. | 6.400% | 12/15/66 | 19,972 | 21,220 |
4 | MetLife Inc. | 10.750% | 8/1/69 | 685 | 1,065 |
Montpelier Re Holdings Ltd. | 4.700% | 10/15/22 | 600 | 626 | |
Munich Re America Corp. | 7.450% | 12/15/26 | 2,350 | 3,123 | |
4 | Nationwide Financial Services Inc. | 6.750% | 5/15/87 | 500 | 515 |
Navigators Group Inc. | 5.750% | 10/15/23 | 2,000 | 2,180 | |
Old Republic International Corp. | 4.875% | 10/1/24 | 7,815 | 8,355 | |
OneBeacon US Holdings Inc. | 4.600% | 11/9/22 | 7,225 | 7,373 | |
PartnerRe Finance B LLC | 5.500% | 6/1/20 | 14,734 | 16,434 | |
Primerica Inc. | 4.750% | 7/15/22 | 200 | 220 | |
Principal Financial Group Inc. | 1.850% | 11/15/17 | 1,300 | 1,305 | |
Principal Financial Group Inc. | 8.875% | 5/15/19 | 8,163 | 9,638 | |
Principal Financial Group Inc. | 3.300% | 9/15/22 | 2,675 | 2,796 | |
Principal Financial Group Inc. | 3.125% | 5/15/23 | 3,645 | 3,690 | |
Principal Financial Group Inc. | 6.050% | 10/15/36 | 4,475 | 5,595 | |
Principal Financial Group Inc. | 4.625% | 9/15/42 | 2,680 | 2,841 | |
Principal Financial Group Inc. | 4.350% | 5/15/43 | 968 | 983 | |
4 | Principal Financial Group Inc. | 4.700% | 5/15/55 | 3,250 | 3,170 |
ProAssurance Corp. | 5.300% | 11/15/23 | 1,415 | 1,529 | |
Progressive Corp. | 3.750% | 8/23/21 | 10,088 | 11,081 | |
Progressive Corp. | 6.625% | 3/1/29 | 4,600 | 6,095 | |
Progressive Corp. | 6.250% | 12/1/32 | 75 | 101 | |
Progressive Corp. | 4.350% | 4/25/44 | 2,985 | 3,415 | |
Protective Life Corp. | 7.375% | 10/15/19 | 4,855 | 5,614 | |
Protective Life Corp. | 8.450% | 10/15/39 | 3,285 | 4,602 | |
Prudential Financial Inc. | 6.000% | 12/1/17 | 808 | 865 | |
Prudential Financial Inc. | 2.300% | 8/15/18 | 165 | 168 | |
Prudential Financial Inc. | 7.375% | 6/15/19 | 1,090 | 1,265 | |
Prudential Financial Inc. | 2.350% | 8/15/19 | 11,150 | 11,360 | |
Prudential Financial Inc. | 5.375% | 6/21/20 | 6,605 | 7,450 | |
Prudential Financial Inc. | 4.500% | 11/15/20 | 10,675 | 11,776 | |
Prudential Financial Inc. | 4.500% | 11/16/21 | 4,220 | 4,739 | |
Prudential Financial Inc. | 3.500% | 5/15/24 | 3,440 | 3,575 | |
Prudential Financial Inc. | 5.750% | 7/15/33 | 570 | 673 | |
Prudential Financial Inc. | 5.400% | 6/13/35 | 9,160 | 10,389 | |
Prudential Financial Inc. | 5.900% | 3/17/36 | 11,787 | 14,130 | |
Prudential Financial Inc. | 5.700% | 12/14/36 | 12,043 | 14,315 | |
Prudential Financial Inc. | 6.625% | 12/1/37 | 10,538 | 13,606 | |
Prudential Financial Inc. | 6.625% | 6/21/40 | 5,575 | 7,230 | |
Prudential Financial Inc. | 6.200% | 11/15/40 | 3,225 | 3,975 | |
4 | Prudential Financial Inc. | 5.875% | 9/15/42 | 5,200 | 5,590 |
4 | Prudential Financial Inc. | 5.625% | 6/15/43 | 9,850 | 10,219 |
Prudential Financial Inc. | 5.100% | 8/15/43 | 3,150 | 3,501 | |
4 | Prudential Financial Inc. | 5.200% | 3/15/44 | 5,490 | 5,353 |
Prudential Financial Inc. | 4.600% | 5/15/44 | 3,025 | 3,221 | |
4 | Prudential Financial Inc. | 5.375% | 5/15/45 | 5,070 | 5,114 |
4 | Prudential Financial Inc. | 8.875% | 6/15/68 | 705 | 776 |
Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 1,175 | 1,300 | |
Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 3,575 | 3,877 | |
Reinsurance Group of America Inc. | 3.950% | 9/15/26 | 4,100 | 4,213 |
43
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
StanCorp Financial Group Inc. | 5.000% | 8/15/22 | 2,775 | 3,051 | |
4 | StanCorp Financial Group Inc. | 6.900% | 6/1/67 | 15 | 11 |
Swiss Re Solutions Holding Corp. | 7.000% | 2/15/26 | 1,309 | 1,702 | |
Torchmark Corp. | 3.800% | 9/15/22 | 90 | 93 | |
Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 10,088 | 13,932 | |
Travelers Cos. Inc. | 5.750% | 12/15/17 | 3,740 | 3,986 | |
Travelers Cos. Inc. | 5.800% | 5/15/18 | 160 | 174 | |
Travelers Cos. Inc. | 5.900% | 6/2/19 | 11,225 | 12,660 | |
Travelers Cos. Inc. | 3.900% | 11/1/20 | 2,965 | 3,253 | |
Travelers Cos. Inc. | 6.750% | 6/20/36 | 10 | 14 | |
Travelers Cos. Inc. | 6.250% | 6/15/37 | 4,667 | 6,473 | |
Travelers Cos. Inc. | 5.350% | 11/1/40 | 1,990 | 2,561 | |
Travelers Cos. Inc. | 4.600% | 8/1/43 | 14,785 | 17,607 | |
Travelers Cos. Inc. | 4.300% | 8/25/45 | 300 | 340 | |
Travelers Cos. Inc. | 3.750% | 5/15/46 | 5,100 | 5,332 | |
Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 460 | 624 | |
Trinity Acquisition plc | 4.625% | 8/15/23 | 1,075 | 1,157 | |
Trinity Acquisition plc | 6.125% | 8/15/43 | 4,525 | 5,052 | |
UnitedHealth Group Inc. | 1.450% | 7/17/17 | 10,100 | 10,149 | |
UnitedHealth Group Inc. | 1.400% | 10/15/17 | 20 | 20 | |
UnitedHealth Group Inc. | 1.400% | 12/15/17 | 7,550 | 7,599 | |
UnitedHealth Group Inc. | 6.000% | 2/15/18 | 10,645 | 11,478 | |
UnitedHealth Group Inc. | 1.900% | 7/16/18 | 10,000 | 10,154 | |
UnitedHealth Group Inc. | 1.625% | 3/15/19 | 5,035 | 5,082 | |
UnitedHealth Group Inc. | 2.300% | 12/15/19 | 12,050 | 12,440 | |
UnitedHealth Group Inc. | 2.700% | 7/15/20 | 12,835 | 13,365 | |
UnitedHealth Group Inc. | 3.875% | 10/15/20 | 205 | 224 | |
UnitedHealth Group Inc. | 4.700% | 2/15/21 | 4,775 | 5,383 | |
UnitedHealth Group Inc. | 2.125% | 3/15/21 | 5,125 | 5,217 | |
UnitedHealth Group Inc. | 3.375% | 11/15/21 | 4,545 | 4,895 | |
UnitedHealth Group Inc. | 2.875% | 12/15/21 | 7,925 | 8,345 | |
UnitedHealth Group Inc. | 2.875% | 3/15/22 | 2,485 | 2,594 | |
UnitedHealth Group Inc. | 3.350% | 7/15/22 | 18,475 | 19,769 | |
UnitedHealth Group Inc. | 2.750% | 2/15/23 | 10,030 | 10,302 | |
UnitedHealth Group Inc. | 2.875% | 3/15/23 | 1,896 | 1,967 | |
UnitedHealth Group Inc. | 3.750% | 7/15/25 | 33,000 | 36,217 | |
UnitedHealth Group Inc. | 3.100% | 3/15/26 | 7,850 | 8,229 | |
UnitedHealth Group Inc. | 4.625% | 7/15/35 | 11,026 | 12,801 | |
UnitedHealth Group Inc. | 5.800% | 3/15/36 | 2,243 | 2,941 | |
UnitedHealth Group Inc. | 6.500% | 6/15/37 | 1,625 | 2,268 | |
UnitedHealth Group Inc. | 6.625% | 11/15/37 | 9,025 | 12,843 | |
UnitedHealth Group Inc. | 6.875% | 2/15/38 | 17,083 | 24,898 | |
UnitedHealth Group Inc. | 5.700% | 10/15/40 | 20 | 26 | |
UnitedHealth Group Inc. | 5.950% | 2/15/41 | 2,705 | 3,602 | |
UnitedHealth Group Inc. | 4.625% | 11/15/41 | 6,905 | 7,885 | |
UnitedHealth Group Inc. | 4.375% | 3/15/42 | 270 | 300 | |
UnitedHealth Group Inc. | 3.950% | 10/15/42 | 11,581 | 12,119 | |
UnitedHealth Group Inc. | 4.250% | 3/15/43 | 5,825 | 6,342 | |
UnitedHealth Group Inc. | 4.750% | 7/15/45 | 17,549 | 21,155 | |
Unum Group | 5.625% | 9/15/20 | 2,200 | 2,466 | |
Unum Group | 3.000% | 5/15/21 | 3,000 | 3,074 | |
Unum Group | 4.000% | 3/15/24 | 2,190 | 2,262 | |
Unum Group | 3.875% | 11/5/25 | 175 | 178 | |
Unum Group | 5.750% | 8/15/42 | 2,075 | 2,306 | |
Validus Holdings Ltd. | 8.875% | 1/26/40 | 3,850 | 5,367 | |
Voya Financial Inc. | 2.900% | 2/15/18 | 6,404 | 6,527 | |
Voya Financial Inc. | 3.650% | 6/15/26 | 2,850 | 2,865 | |
Voya Financial Inc. | 5.700% | 7/15/43 | 9,425 | 10,620 | |
Voya Financial Inc. | 4.800% | 6/15/46 | 4,750 | 4,755 | |
Willis Towers Watson plc | 5.750% | 3/15/21 | 9,351 | 10,480 | |
WR Berkley Corp. | 5.375% | 9/15/20 | 595 | 659 | |
WR Berkley Corp. | 4.625% | 3/15/22 | 2,550 | 2,778 | |
WR Berkley Corp. | 4.750% | 8/1/44 | 3,313 | 3,454 | |
XLIT Ltd. | 2.300% | 12/15/18 | 3,050 | 3,084 |
44
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
XLIT Ltd. | 5.750% | 10/1/21 | 7,755 | 8,914 |
XLIT Ltd. | 4.450% | 3/31/25 | 2,700 | 2,740 |
XLIT Ltd. | 6.250% | 5/15/27 | 2,500 | 3,022 |
XLIT Ltd. | 5.250% | 12/15/43 | 7,925 | 8,646 |
XLIT Ltd. | 5.500% | 3/31/45 | 6,600 | 6,582 |
Other Finance (0.0%) | ||||
Jones Lang LaSalle Inc. | 4.400% | 11/15/22 | 825 | 861 |
Real Estate Investment Trusts (0.7%) | ||||
Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 4,225 | 4,266 |
Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 6,225 | 6,731 |
Alexandria Real Estate Equities Inc. | 3.900% | 6/15/23 | 450 | 467 |
Alexandria Real Estate Equities Inc. | 4.300% | 1/15/26 | 400 | 424 |
Alexandria Real Estate Equities Inc. | 3.950% | 1/15/27 | 6,300 | 6,528 |
Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 3,350 | 3,514 |
American Campus Communities Operating Partnership | ||||
LP | 3.350% | 10/1/20 | 3,000 | 3,115 |
American Campus Communities Operating Partnership | ||||
LP | 3.750% | 4/15/23 | 1,040 | 1,075 |
American Campus Communities Operating Partnership | ||||
LP | 4.125% | 7/1/24 | 3,200 | 3,390 |
AvalonBay Communities Inc. | 2.850% | 3/15/23 | 5,944 | 6,077 |
AvalonBay Communities Inc. | 4.200% | 12/15/23 | 1,555 | 1,712 |
AvalonBay Communities Inc. | 3.500% | 11/15/24 | 3,300 | 3,485 |
AvalonBay Communities Inc. | 3.450% | 6/1/25 | 11,180 | 11,781 |
AvalonBay Communities Inc. | 3.500% | 11/15/25 | 600 | 636 |
AvalonBay Communities Inc. | 2.950% | 5/11/26 | 7,835 | 7,925 |
Boston Properties LP | 3.700% | 11/15/18 | 3,000 | 3,141 |
Boston Properties LP | 5.875% | 10/15/19 | 2,095 | 2,372 |
Boston Properties LP | 5.625% | 11/15/20 | 9,225 | 10,571 |
Boston Properties LP | 4.125% | 5/15/21 | 3,665 | 3,998 |
Boston Properties LP | 3.850% | 2/1/23 | 11,123 | 11,968 |
Boston Properties LP | 3.125% | 9/1/23 | 4,540 | 4,678 |
Boston Properties LP | 3.800% | 2/1/24 | 6,025 | 6,474 |
Boston Properties LP | 3.650% | 2/1/26 | 5,925 | 6,317 |
Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 7,070 | 7,302 |
Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 3,325 | 3,483 |
Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 5,140 | 5,286 |
Brandywine Operating Partnership LP | 4.550% | 10/1/29 | 6,125 | 6,382 |
Brixmor Operating Partnership LP | 3.875% | 8/15/22 | 5,950 | 6,110 |
Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 14,135 | 14,160 |
Brixmor Operating Partnership LP | 4.125% | 6/15/26 | 4,485 | 4,603 |
Camden Property Trust | 2.950% | 12/15/22 | 4,850 | 4,918 |
Camden Property Trust | 4.875% | 6/15/23 | 1,470 | 1,656 |
Camden Property Trust | 4.250% | 1/15/24 | 2,350 | 2,547 |
CBL & Associates LP | 5.250% | 12/1/23 | 5,300 | 5,030 |
CBL & Associates LP | 4.600% | 10/15/24 | 4,325 | 3,957 |
Columbia Property Trust Operating Partnership LP | 4.150% | 4/1/25 | 3,000 | 3,069 |
Corporate Office Properties LP | 3.700% | 6/15/21 | 2,450 | 2,472 |
Corporate Office Properties LP | 3.600% | 5/15/23 | 7,431 | 7,217 |
CubeSmart LP | 4.375% | 12/15/23 | 9,425 | 10,228 |
CubeSmart LP | 4.000% | 11/15/25 | 2,265 | 2,400 |
DCT Industrial Operating Partnership LP | 4.500% | 10/15/23 | 2,550 | 2,698 |
DDR Corp. | 7.875% | 9/1/20 | 10,975 | 13,243 |
DDR Corp. | 3.500% | 1/15/21 | 11,005 | 11,353 |
DDR Corp. | 4.625% | 7/15/22 | 8,940 | 9,677 |
DDR Corp. | 3.375% | 5/15/23 | 8,250 | 8,205 |
DDR Corp. | 3.625% | 2/1/25 | 10,630 | 10,669 |
DDR Corp. | 4.250% | 2/1/26 | 2,140 | 2,244 |
Digital Realty Trust LP | 5.875% | 2/1/20 | 2,175 | 2,449 |
Digital Realty Trust LP | 3.400% | 10/1/20 | 5,600 | 5,833 |
Digital Realty Trust LP | 5.250% | 3/15/21 | 9,170 | 10,265 |
Digital Realty Trust LP | 3.950% | 7/1/22 | 11,650 | 12,316 |
45
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Digital Realty Trust LP | 4.750% | 10/1/25 | 6,050 | 6,467 |
Duke Realty LP | 4.375% | 6/15/22 | 100 | 109 |
Duke Realty LP | 3.875% | 10/15/22 | 923 | 980 |
Duke Realty LP | 3.625% | 4/15/23 | 2,748 | 2,898 |
Duke Realty LP | 3.750% | 12/1/24 | 2,325 | 2,447 |
Duke Realty LP | 3.250% | 6/30/26 | 5,400 | 5,476 |
EPR Properties | 5.750% | 8/15/22 | 1,350 | 1,468 |
EPR Properties | 5.250% | 7/15/23 | 6,300 | 6,669 |
EPR Properties | 4.500% | 4/1/25 | 7,025 | 6,967 |
Equity Commonwealth | 5.875% | 9/15/20 | 3,200 | 3,537 |
Equity One Inc. | 3.750% | 11/15/22 | 3,000 | 3,061 |
ERP Operating LP | 5.750% | 6/15/17 | 2,747 | 2,859 |
ERP Operating LP | 2.375% | 7/1/19 | 1,170 | 1,197 |
ERP Operating LP | 4.750% | 7/15/20 | 2,810 | 3,120 |
ERP Operating LP | 4.625% | 12/15/21 | 6,516 | 7,353 |
ERP Operating LP | 3.000% | 4/15/23 | 2,603 | 2,675 |
ERP Operating LP | 4.500% | 7/1/44 | 7,355 | 8,185 |
Essex Portfolio LP | 3.375% | 1/15/23 | 3,409 | 3,522 |
Essex Portfolio LP | 3.250% | 5/1/23 | 3,305 | 3,385 |
Essex Portfolio LP | 3.500% | 4/1/25 | 10,915 | 11,327 |
Essex Portfolio LP | 3.375% | 4/15/26 | 8,650 | 8,838 |
Federal Realty Investment Trust | 3.000% | 8/1/22 | 4,348 | 4,514 |
Federal Realty Investment Trust | 2.750% | 6/1/23 | 2,685 | 2,738 |
Federal Realty Investment Trust | 4.500% | 12/1/44 | 13,900 | 15,226 |
HCP Inc. | 6.700% | 1/30/18 | 2,944 | 3,167 |
HCP Inc. | 3.750% | 2/1/19 | 10,400 | 10,786 |
HCP Inc. | 2.625% | 2/1/20 | 775 | 782 |
HCP Inc. | 5.375% | 2/1/21 | 3,517 | 3,910 |
HCP Inc. | 3.150% | 8/1/22 | 700 | 697 |
HCP Inc. | 4.000% | 12/1/22 | 31,340 | 32,647 |
HCP Inc. | 4.250% | 11/15/23 | 2,802 | 2,910 |
HCP Inc. | 4.200% | 3/1/24 | 2,950 | 3,036 |
HCP Inc. | 3.875% | 8/15/24 | 5,985 | 6,093 |
HCP Inc. | 3.400% | 2/1/25 | 775 | 749 |
HCP Inc. | 6.750% | 2/1/41 | 480 | 585 |
Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 2,575 | 2,892 |
Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 425 | 426 |
Healthcare Realty Trust Inc. | 3.875% | 5/1/25 | 4,450 | 4,480 |
Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 3,840 | 3,936 |
Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 1,500 | 1,528 |
Highwoods Realty LP | 3.200% | 6/15/21 | 14,100 | 14,240 |
Highwoods Realty LP | 3.625% | 1/15/23 | 100 | 102 |
Hospitality Properties Trust | 6.700% | 1/15/18 | 9,880 | 10,357 |
Hospitality Properties Trust | 4.250% | 2/15/21 | 3,350 | 3,508 |
Hospitality Properties Trust | 5.000% | 8/15/22 | 2,430 | 2,599 |
Hospitality Properties Trust | 4.500% | 6/15/23 | 4,050 | 4,141 |
Hospitality Properties Trust | 4.650% | 3/15/24 | 1,200 | 1,223 |
Hospitality Properties Trust | 4.500% | 3/15/25 | 650 | 655 |
Hospitality Properties Trust | 5.250% | 2/15/26 | 200 | 211 |
Host Hotels & Resorts LP | 6.000% | 10/1/21 | 10,550 | 11,913 |
Host Hotels & Resorts LP | 5.250% | 3/15/22 | 4,880 | 5,364 |
Host Hotels & Resorts LP | 4.750% | 3/1/23 | 1,100 | 1,176 |
Host Hotels & Resorts LP | 3.750% | 10/15/23 | 8,550 | 8,585 |
Host Hotels & Resorts LP | 4.000% | 6/15/25 | 2,050 | 2,074 |
Kilroy Realty LP | 4.800% | 7/15/18 | 11,650 | 12,246 |
Kilroy Realty LP | 3.800% | 1/15/23 | 3,050 | 3,191 |
Kilroy Realty LP | 4.250% | 8/15/29 | 550 | 580 |
Kimco Realty Corp. | 5.700% | 5/1/17 | 5,630 | 5,833 |
Kimco Realty Corp. | 4.300% | 2/1/18 | 1,430 | 1,480 |
Kimco Realty Corp. | 6.875% | 10/1/19 | 5,657 | 6,528 |
Kimco Realty Corp. | 3.200% | 5/1/21 | 5,515 | 5,737 |
Kimco Realty Corp. | 3.125% | 6/1/23 | 3,300 | 3,362 |
Lexington Realty Trust | 4.400% | 6/15/24 | 2,775 | 2,862 |
Liberty Property LP | 6.625% | 10/1/17 | 2,917 | 3,092 |
46
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Liberty Property LP | 4.750% | 10/1/20 | 1,080 | 1,181 |
Liberty Property LP | 3.375% | 6/15/23 | 1,250 | 1,265 |
Liberty Property LP | 4.400% | 2/15/24 | 10,800 | 11,635 |
Liberty Property LP | 3.750% | 4/1/25 | 5,900 | 6,098 |
Mack-Cali Realty LP | 2.500% | 12/15/17 | 650 | 656 |
Mack-Cali Realty LP | 7.750% | 8/15/19 | 6,550 | 7,395 |
Mack-Cali Realty LP | 4.500% | 4/18/22 | 3,550 | 3,618 |
Mack-Cali Realty LP | 3.150% | 5/15/23 | 2,000 | 1,844 |
Mid-America Apartments LP | 4.300% | 10/15/23 | 12,500 | 13,449 |
Mid-America Apartments LP | 3.750% | 6/15/24 | 4,710 | 4,905 |
National Retail Properties Inc. | 6.875% | 10/15/17 | 10,360 | 11,011 |
National Retail Properties Inc. | 5.500% | 7/15/21 | 2,000 | 2,279 |
National Retail Properties Inc. | 3.800% | 10/15/22 | 3,000 | 3,167 |
National Retail Properties Inc. | 3.300% | 4/15/23 | 2,999 | 3,044 |
Omega Healthcare Investors Inc. | 4.375% | 8/1/23 | 20,750 | 20,696 |
Omega Healthcare Investors Inc. | 5.875% | 3/15/24 | 1,474 | 1,544 |
Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 4,075 | 4,279 |
Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 2,750 | 2,784 |
Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 5,792 | 6,125 |
Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 24,003 | 23,763 |
Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 1,912 | 1,899 |
Piedmont Operating Partnership LP | 4.450% | 3/15/24 | 4,125 | 4,270 |
Post Apartment Homes LP | 3.375% | 12/1/22 | 1,825 | 1,857 |
ProLogis LP | 2.750% | 2/15/19 | 2,430 | 2,496 |
ProLogis LP | 3.350% | 2/1/21 | 1,840 | 1,944 |
ProLogis LP | 4.250% | 8/15/23 | 3,445 | 3,806 |
Realty Income Corp. | 2.000% | 1/31/18 | 1,175 | 1,185 |
Realty Income Corp. | 6.750% | 8/15/19 | 8,577 | 9,820 |
Realty Income Corp. | 5.750% | 1/15/21 | 5,175 | 5,957 |
Realty Income Corp. | 3.875% | 7/15/24 | 3,150 | 3,301 |
Realty Income Corp. | 5.875% | 3/15/35 | 8,085 | 9,804 |
Regency Centers LP | 3.750% | 6/15/24 | 4,849 | 5,061 |
Retail Opportunity Investments Partnership LP | 5.000% | 12/15/23 | 1,675 | 1,761 |
Retail Properties of America Inc. | 4.000% | 3/15/25 | 10,400 | 10,076 |
Select Income REIT | 2.850% | 2/1/18 | 2,300 | 2,318 |
Select Income REIT | 3.600% | 2/1/20 | 206 | 211 |
Select Income REIT | 4.150% | 2/1/22 | 4,000 | 4,021 |
Select Income REIT | 4.500% | 2/1/25 | 9,475 | 9,365 |
Senior Housing Properties Trust | 3.250% | 5/1/19 | 4,740 | 4,767 |
Senior Housing Properties Trust | 4.750% | 5/1/24 | 4,025 | 4,100 |
Simon Property Group LP | 2.150% | 9/15/17 | 7,372 | 7,449 |
Simon Property Group LP | 2.200% | 2/1/19 | 2,000 | 2,046 |
Simon Property Group LP | 5.650% | 2/1/20 | 13,895 | 15,730 |
Simon Property Group LP | 2.500% | 9/1/20 | 600 | 621 |
Simon Property Group LP | 4.375% | 3/1/21 | 8,445 | 9,394 |
Simon Property Group LP | 2.500% | 7/15/21 | 7,260 | 7,474 |
Simon Property Group LP | 4.125% | 12/1/21 | 10,733 | 11,894 |
Simon Property Group LP | 3.375% | 3/15/22 | 2,775 | 2,983 |
Simon Property Group LP | 2.750% | 2/1/23 | 5,700 | 5,868 |
Simon Property Group LP | 3.750% | 2/1/24 | 6,014 | 6,575 |
Simon Property Group LP | 3.500% | 9/1/25 | 3,640 | 3,904 |
Simon Property Group LP | 3.300% | 1/15/26 | 7,135 | 7,601 |
Simon Property Group LP | 6.750% | 2/1/40 | 11,243 | 16,244 |
Simon Property Group LP | 4.750% | 3/15/42 | 1,971 | 2,273 |
Simon Property Group LP | 4.250% | 10/1/44 | 10 | 11 |
Sovran Acquisition LP | 3.500% | 7/1/26 | 18,200 | 18,376 |
Tanger Properties LP | 3.875% | 12/1/23 | 3,445 | 3,584 |
Tanger Properties LP | 3.750% | 12/1/24 | 1,325 | 1,365 |
UDR Inc. | 3.700% | 10/1/20 | 6,800 | 7,218 |
UDR Inc. | 4.625% | 1/10/22 | 11,645 | 12,923 |
Ventas Realty LP | 1.250% | 4/17/17 | 4,000 | 4,001 |
Ventas Realty LP | 3.750% | 5/1/24 | 2,000 | 2,090 |
Ventas Realty LP | 3.500% | 2/1/25 | 2,900 | 2,986 |
Ventas Realty LP | 4.125% | 1/15/26 | 975 | 1,046 |
47
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Ventas Realty LP | 5.700% | 9/30/43 | 4,525 | 5,240 |
Ventas Realty LP | 4.375% | 2/1/45 | 6,680 | 6,579 |
Ventas Realty LP / Ventas Capital Corp. | 2.000% | 2/15/18 | 6,423 | 6,459 |
Ventas Realty LP / Ventas Capital Corp. | 4.000% | 4/30/19 | 100 | 105 |
Ventas Realty LP / Ventas Capital Corp. | 2.700% | 4/1/20 | 5,625 | 5,747 |
Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 4,925 | 5,483 |
Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 1,140 | 1,231 |
Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 10,563 | 10,916 |
Vornado Realty LP | 2.500% | 6/30/19 | 8,525 | 8,682 |
Washington Prime Group LP | 3.850% | 4/1/20 | 4,525 | 4,672 |
Washington REIT | 4.950% | 10/1/20 | 825 | 892 |
Washington REIT | 3.950% | 10/15/22 | 1,900 | 1,938 |
Weingarten Realty Investors | 3.375% | 10/15/22 | 1,275 | 1,308 |
Weingarten Realty Investors | 3.500% | 4/15/23 | 3,925 | 3,950 |
Weingarten Realty Investors | 4.450% | 1/15/24 | 450 | 480 |
Welltower Inc. | 4.700% | 9/15/17 | 4,750 | 4,925 |
Welltower Inc. | 2.250% | 3/15/18 | 4,653 | 4,705 |
Welltower Inc. | 4.125% | 4/1/19 | 4,555 | 4,825 |
Welltower Inc. | 4.950% | 1/15/21 | 7,680 | 8,472 |
Welltower Inc. | 5.250% | 1/15/22 | 8,184 | 9,154 |
Welltower Inc. | 3.750% | 3/15/23 | 4,650 | 4,821 |
Welltower Inc. | 4.500% | 1/15/24 | 250 | 271 |
Welltower Inc. | 4.000% | 6/1/25 | 16,925 | 17,852 |
Welltower Inc. | 4.250% | 4/1/26 | 6,706 | 7,212 |
Welltower Inc. | 6.500% | 3/15/41 | 4,875 | 6,067 |
Welltower Inc. | 5.125% | 3/15/43 | 5,050 | 5,464 |
WP Carey Inc. | 4.600% | 4/1/24 | 6,201 | 6,452 |
WP Carey Inc. | 4.000% | 2/1/25 | 2,050 | 2,000 |
14,279,031 | ||||
Industrial (17.0%) | ||||
Basic Industry (1.0%) | ||||
Agrium Inc. | 6.750% | 1/15/19 | 7,095 | 7,820 |
Agrium Inc. | 3.150% | 10/1/22 | 2,721 | 2,792 |
Agrium Inc. | 3.500% | 6/1/23 | 11,750 | 12,222 |
Agrium Inc. | 3.375% | 3/15/25 | 6,575 | 6,770 |
Agrium Inc. | 4.125% | 3/15/35 | 5,750 | 5,558 |
Agrium Inc. | 6.125% | 1/15/41 | 7,043 | 8,279 |
Agrium Inc. | 4.900% | 6/1/43 | 3,200 | 3,323 |
Agrium Inc. | 5.250% | 1/15/45 | 11,290 | 12,225 |
Air Products & Chemicals Inc. | 1.200% | 10/15/17 | 500 | 502 |
Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 1,325 | 1,414 |
Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 7,125 | 7,357 |
Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 6,350 | 6,865 |
Airgas Inc. | 1.650% | 2/15/18 | 1,500 | 1,506 |
Airgas Inc. | 3.050% | 8/1/20 | 8,250 | 8,530 |
Airgas Inc. | 3.650% | 7/15/24 | 7,000 | 7,356 |
Albemarle Corp. | 3.000% | 12/1/19 | 1,975 | 2,006 |
Albemarle Corp. | 4.500% | 12/15/20 | 500 | 532 |
Albemarle Corp. | 4.150% | 12/1/24 | 4,525 | 4,763 |
Albemarle Corp. | 5.450% | 12/1/44 | 5,025 | 5,203 |
Barrick Gold Corp. | 4.100% | 5/1/23 | 3,445 | 3,628 |
Barrick Gold Corp. | 5.250% | 4/1/42 | 7,904 | 8,017 |
Barrick North America Finance LLC | 4.400% | 5/30/21 | 9,362 | 10,163 |
Barrick North America Finance LLC | 7.500% | 9/15/38 | 2,650 | 2,993 |
Barrick North America Finance LLC | 5.700% | 5/30/41 | 11,138 | 11,378 |
Barrick North America Finance LLC | 5.750% | 5/1/43 | 18,633 | 20,510 |
Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 6,043 | 6,314 |
BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 4,400 | 4,460 |
BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 13,517 | 15,312 |
BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 6,596 | 6,968 |
BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 18,494 | 19,209 |
BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 6,546 | 7,139 |
BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 12,183 | 12,507 |
48
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 25,518 | 29,685 |
Braskem Finance Ltd. | 6.450% | 2/3/24 | 850 | 858 |
Cabot Corp. | 2.550% | 1/15/18 | 1,004 | 1,015 |
Cabot Corp. | 3.700% | 7/15/22 | 800 | 830 |
Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 1,225 | 1,394 |
Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 2,300 | 2,484 |
Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 6,863 | 7,406 |
Celulosa Arauco y Constitucion SA | 4.500% | 8/1/24 | 500 | 521 |
CF Industries Inc. | 6.875% | 5/1/18 | 18,123 | 19,641 |
CF Industries Inc. | 7.125% | 5/1/20 | 9,175 | 10,586 |
CF Industries Inc. | 5.150% | 3/15/34 | 21,848 | 21,304 |
CF Industries Inc. | 4.950% | 6/1/43 | 4,079 | 3,766 |
CF Industries Inc. | 5.375% | 3/15/44 | 8,000 | 7,598 |
Cytec Industries Inc. | 3.500% | 4/1/23 | 1,250 | 1,243 |
Domtar Corp. | 6.250% | 9/1/42 | 850 | 880 |
Domtar Corp. | 6.750% | 2/15/44 | 5,000 | 5,474 |
Dow Chemical Co. | 8.550% | 5/15/19 | 21,204 | 25,236 |
Dow Chemical Co. | 4.250% | 11/15/20 | 18,070 | 19,764 |
Dow Chemical Co. | 4.125% | 11/15/21 | 1,996 | 2,192 |
Dow Chemical Co. | 3.000% | 11/15/22 | 18,945 | 19,361 |
Dow Chemical Co. | 3.500% | 10/1/24 | 2,825 | 3,009 |
Dow Chemical Co. | 7.375% | 11/1/29 | 2,398 | 3,214 |
Dow Chemical Co. | 4.250% | 10/1/34 | 8,236 | 8,502 |
Dow Chemical Co. | 9.400% | 5/15/39 | 13,293 | 21,007 |
Dow Chemical Co. | 5.250% | 11/15/41 | 8,032 | 8,926 |
Dow Chemical Co. | 4.375% | 11/15/42 | 7,607 | 7,770 |
Dow Chemical Co. | 4.625% | 10/1/44 | 2,500 | 2,654 |
Eastman Chemical Co. | 2.400% | 6/1/17 | 6,322 | 6,381 |
Eastman Chemical Co. | 5.500% | 11/15/19 | 4,771 | 5,294 |
Eastman Chemical Co. | 2.700% | 1/15/20 | 14,380 | 14,784 |
Eastman Chemical Co. | 4.500% | 1/15/21 | 775 | 846 |
Eastman Chemical Co. | 3.600% | 8/15/22 | 13,285 | 13,952 |
Eastman Chemical Co. | 3.800% | 3/15/25 | 2,500 | 2,649 |
Eastman Chemical Co. | 4.800% | 9/1/42 | 7,249 | 7,525 |
Eastman Chemical Co. | 4.650% | 10/15/44 | 4,700 | 4,813 |
Ecolab Inc. | 1.450% | 12/8/17 | 5,822 | 5,836 |
Ecolab Inc. | 1.550% | 1/12/18 | 2,000 | 2,010 |
Ecolab Inc. | 2.000% | 1/14/19 | 3,800 | 3,851 |
Ecolab Inc. | 2.250% | 1/12/20 | 3,243 | 3,304 |
Ecolab Inc. | 4.350% | 12/8/21 | 3,714 | 4,201 |
Ecolab Inc. | 3.250% | 1/14/23 | 4,475 | 4,685 |
Ecolab Inc. | 5.500% | 12/8/41 | 9,790 | 12,249 |
EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 9,965 | 10,893 |
EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 5,302 | 5,828 |
EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 14,975 | 16,135 |
EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 2,950 | 3,279 |
EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 10,385 | 10,647 |
EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 1,400 | 1,784 |
EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 10,328 | 11,481 |
EI du Pont de Nemours & Co. | 4.150% | 2/15/43 | 2,950 | 3,037 |
Fibria Overseas Finance Ltd. | 5.250% | 5/12/24 | 350 | 358 |
FMC Corp. | 3.950% | 2/1/22 | 1,675 | 1,756 |
FMC Corp. | 4.100% | 2/1/24 | 11,210 | 11,879 |
Georgia-Pacific LLC | 8.000% | 1/15/24 | 7,829 | 10,489 |
Georgia-Pacific LLC | 7.375% | 12/1/25 | 5,750 | 7,683 |
Georgia-Pacific LLC | 7.750% | 11/15/29 | 3,318 | 4,823 |
Georgia-Pacific LLC | 8.875% | 5/15/31 | 4,665 | 7,466 |
Glencore Canada Corp. | 6.200% | 6/15/35 | 250 | 217 |
Goldcorp Inc. | 2.125% | 3/15/18 | 18,785 | 18,748 |
Goldcorp Inc. | 3.625% | 6/9/21 | 2,000 | 2,060 |
Goldcorp Inc. | 3.700% | 3/15/23 | 9,575 | 9,737 |
Goldcorp Inc. | 5.450% | 6/9/44 | 4,155 | 4,167 |
International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 1,785 | 1,833 |
International Paper Co. | 7.950% | 6/15/18 | 9,758 | 10,987 |
49
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
International Paper Co. | 7.500% | 8/15/21 | 13,510 | 16,597 |
International Paper Co. | 3.650% | 6/15/24 | 7,410 | 7,821 |
International Paper Co. | 3.800% | 1/15/26 | 2,825 | 2,964 |
International Paper Co. | 5.000% | 9/15/35 | 4,125 | 4,464 |
International Paper Co. | 8.700% | 6/15/38 | 1,200 | 1,755 |
International Paper Co. | 7.300% | 11/15/39 | 4,268 | 5,617 |
International Paper Co. | 6.000% | 11/15/41 | 2,250 | 2,624 |
International Paper Co. | 4.800% | 6/15/44 | 15,035 | 15,331 |
International Paper Co. | 5.150% | 5/15/46 | 12,252 | 13,208 |
Lubrizol Corp. | 8.875% | 2/1/19 | 875 | 1,043 |
Lubrizol Corp. | 6.500% | 10/1/34 | 6,025 | 8,056 |
LYB International Finance BV | 4.000% | 7/15/23 | 1,250 | 1,343 |
LYB International Finance BV | 5.250% | 7/15/43 | 1,600 | 1,763 |
LYB International Finance BV | 4.875% | 3/15/44 | 11,350 | 12,059 |
LyondellBasell Industries NV | 5.000% | 4/15/19 | 21,595 | 23,393 |
LyondellBasell Industries NV | 6.000% | 11/15/21 | 15,125 | 17,715 |
LyondellBasell Industries NV | 5.750% | 4/15/24 | 4,950 | 5,871 |
LyondellBasell Industries NV | 4.625% | 2/26/55 | 11,427 | 11,177 |
Meadwestvaco Corp. | 7.950% | 2/15/31 | 5,253 | 6,927 |
Methanex Corp. | 3.250% | 12/15/19 | 7,850 | 7,642 |
Methanex Corp. | 4.250% | 12/1/24 | 865 | 773 |
Monsanto Co. | 5.125% | 4/15/18 | 3,105 | 3,305 |
Monsanto Co. | 2.125% | 7/15/19 | 4,400 | 4,461 |
Monsanto Co. | 2.750% | 7/15/21 | 11,810 | 12,167 |
Monsanto Co. | 2.200% | 7/15/22 | 7,580 | 7,499 |
Monsanto Co. | 3.375% | 7/15/24 | 500 | 515 |
Monsanto Co. | 2.850% | 4/15/25 | 3,800 | 3,790 |
Monsanto Co. | 5.500% | 8/15/25 | 2,353 | 2,736 |
Monsanto Co. | 4.200% | 7/15/34 | 9,175 | 9,199 |
Monsanto Co. | 5.875% | 4/15/38 | 5,631 | 6,444 |
Monsanto Co. | 3.600% | 7/15/42 | 6,341 | 5,605 |
Monsanto Co. | 4.650% | 11/15/43 | 2,450 | 2,458 |
Monsanto Co. | 3.950% | 4/15/45 | 15,000 | 13,906 |
Monsanto Co. | 4.700% | 7/15/64 | 10,385 | 9,389 |
Mosaic Co. | 3.750% | 11/15/21 | 3,150 | 3,343 |
Mosaic Co. | 4.250% | 11/15/23 | 19,232 | 20,723 |
Mosaic Co. | 5.450% | 11/15/33 | 3,054 | 3,382 |
Mosaic Co. | 4.875% | 11/15/41 | 1,543 | 1,558 |
Mosaic Co. | 5.625% | 11/15/43 | 3,981 | 4,420 |
Newmont Mining Corp. | 5.125% | 10/1/19 | 2,245 | 2,434 |
Newmont Mining Corp. | 3.500% | 3/15/22 | 4,508 | 4,689 |
Newmont Mining Corp. | 5.875% | 4/1/35 | 2,355 | 2,485 |
Newmont Mining Corp. | 6.250% | 10/1/39 | 11,024 | 12,251 |
Newmont Mining Corp. | 4.875% | 3/15/42 | 7,908 | 7,807 |
Nucor Corp. | 5.750% | 12/1/17 | 5,144 | 5,422 |
Nucor Corp. | 5.850% | 6/1/18 | 6,865 | 7,394 |
Nucor Corp. | 4.125% | 9/15/22 | 382 | 413 |
Nucor Corp. | 4.000% | 8/1/23 | 5,795 | 6,179 |
Nucor Corp. | 6.400% | 12/1/37 | 6,238 | 7,584 |
Nucor Corp. | 5.200% | 8/1/43 | 13,250 | 14,454 |
Packaging Corp. of America | 3.900% | 6/15/22 | 6,015 | 6,377 |
Packaging Corp. of America | 4.500% | 11/1/23 | 15,870 | 17,287 |
Packaging Corp. of America | 3.650% | 9/15/24 | 4,525 | 4,679 |
Placer Dome Inc. | 6.450% | 10/15/35 | 2,175 | 2,362 |
Plum Creek Timberlands LP | 4.700% | 3/15/21 | 3,605 | 3,945 |
Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 4,456 | 4,575 |
Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 1,190 | 1,346 |
Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 7,128 | 7,839 |
Potash Corp. of Saskatchewan Inc. | 3.625% | 3/15/24 | 5,375 | 5,670 |
Potash Corp. of Saskatchewan Inc. | 3.000% | 4/1/25 | 9,096 | 9,155 |
Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 875 | 1,057 |
Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 4,918 | 5,823 |
PPG Industries Inc. | 2.300% | 11/15/19 | 10,043 | 10,205 |
PPG Industries Inc. | 3.600% | 11/15/20 | 4,650 | 4,907 |
50
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
PPG Industries Inc. | 5.500% | 11/15/40 | 3,825 | 4,527 |
Praxair Inc. | 4.500% | 8/15/19 | 2,640 | 2,905 |
Praxair Inc. | 3.000% | 9/1/21 | 5,900 | 6,291 |
Praxair Inc. | 2.450% | 2/15/22 | 20,085 | 20,841 |
Praxair Inc. | 2.200% | 8/15/22 | 4,319 | 4,415 |
Praxair Inc. | 2.650% | 2/5/25 | 4,500 | 4,666 |
Praxair Inc. | 3.200% | 1/30/26 | 4,750 | 5,147 |
Praxair Inc. | 3.550% | 11/7/42 | 2,250 | 2,247 |
Rayonier Inc. | 3.750% | 4/1/22 | 2,875 | 2,889 |
Reliance Steel & Aluminum Co. | 6.200% | 11/15/16 | 260 | 264 |
Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 1,790 | 1,833 |
Reliance Steel & Aluminum Co. | 6.850% | 11/15/36 | 1,635 | 1,743 |
Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 9,654 | 10,559 |
Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 7,873 | 9,472 |
Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 4,750 | 5,167 |
Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 5,139 | 5,504 |
Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 42,650 | 44,681 |
Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 7,009 | 8,744 |
Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 13,381 | 14,822 |
Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 5,972 | 6,268 |
Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 12,205 | 12,420 |
Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 418 | 440 |
Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 120 | 116 |
Rohm & Haas Co. | 6.000% | 9/15/17 | 2,811 | 2,970 |
Rohm & Haas Co. | 7.850% | 7/15/29 | 2,950 | 4,056 |
RPM International Inc. | 6.125% | 10/15/19 | 2,493 | 2,776 |
RPM International Inc. | 3.450% | 11/15/22 | 4,585 | 4,671 |
RPM International Inc. | 5.250% | 6/1/45 | 200 | 205 |
Sherwin-Williams Co. | 3.450% | 8/1/25 | 9,200 | 9,552 |
Sherwin-Williams Co. | 4.000% | 12/15/42 | 2,000 | 1,997 |
Sherwin-Williams Co. | 4.550% | 8/1/45 | 3,044 | 3,287 |
Southern Copper Corp. | 5.375% | 4/16/20 | 1,238 | 1,337 |
Southern Copper Corp. | 3.875% | 4/23/25 | 2,725 | 2,677 |
Southern Copper Corp. | 7.500% | 7/27/35 | 5,544 | 6,008 |
Southern Copper Corp. | 6.750% | 4/16/40 | 2,565 | 2,616 |
Southern Copper Corp. | 5.250% | 11/8/42 | 16,320 | 14,137 |
Southern Copper Corp. | 5.875% | 4/23/45 | 32,250 | 30,315 |
Syngenta Finance NV | 3.125% | 3/28/22 | 4,100 | 4,311 |
Syngenta Finance NV | 4.375% | 3/28/42 | 2,675 | 2,589 |
Vale Canada Ltd. | 7.200% | 9/15/32 | 1,375 | 1,162 |
Vale Overseas Ltd. | 5.625% | 9/15/19 | 6,075 | 6,257 |
Vale Overseas Ltd. | 5.875% | 6/10/21 | 26,000 | 25,935 |
Vale Overseas Ltd. | 4.375% | 1/11/22 | 25,585 | 23,922 |
Vale Overseas Ltd. | 8.250% | 1/17/34 | 2,537 | 2,638 |
Vale Overseas Ltd. | 6.875% | 11/21/36 | 14,709 | 13,385 |
Vale Overseas Ltd. | 6.875% | 11/10/39 | 14,364 | 12,963 |
Vale SA | 5.625% | 9/11/42 | 33,459 | 27,018 |
Valspar Corp. | 7.250% | 6/15/19 | 675 | 770 |
Valspar Corp. | 4.200% | 1/15/22 | 1,000 | 1,073 |
Valspar Corp. | 3.950% | 1/15/26 | 8,700 | 9,170 |
Westlake Chemical Corp. | 3.600% | 7/15/22 | 775 | 793 |
Westrock MWV LLC | 8.200% | 1/15/30 | 2,268 | 3,074 |
WestRock RKT Co. | 4.450% | 3/1/19 | 9,150 | 9,694 |
WestRock RKT Co. | 3.500% | 3/1/20 | 3,755 | 3,893 |
WestRock RKT Co. | 4.900% | 3/1/22 | 3,650 | 4,043 |
Weyerhaeuser Co. | 7.375% | 10/1/19 | 8,291 | 9,544 |
Weyerhaeuser Co. | 4.625% | 9/15/23 | 8,125 | 9,054 |
Weyerhaeuser Co. | 8.500% | 1/15/25 | 2,400 | 3,175 |
Weyerhaeuser Co. | 7.375% | 3/15/32 | 7,592 | 10,047 |
Weyerhaeuser Co. | 6.875% | 12/15/33 | 2,775 | 3,449 |
Worthington Industries Inc. | 4.550% | 4/15/26 | 1,300 | 1,348 |
Yamana Gold Inc. | 4.950% | 7/15/24 | 2,105 | 2,071 |
51
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Capital Goods (1.4%) | ||||
3M Co. | 1.375% | 8/7/18 | 4,650 | 4,699 |
3M Co. | 2.000% | 8/7/20 | 4,650 | 4,779 |
3M Co. | 3.000% | 8/7/25 | 4,550 | 4,960 |
3M Co. | 6.375% | 2/15/28 | 3,650 | 5,061 |
3M Co. | 5.700% | 3/15/37 | 9,823 | 13,243 |
ABB Finance USA Inc. | 2.875% | 5/8/22 | 5,005 | 5,249 |
ABB Finance USA Inc. | 4.375% | 5/8/42 | 1,678 | 1,904 |
Avery Dennison Corp. | 3.350% | 4/15/23 | 6,675 | 6,848 |
Boeing Capital Corp. | 2.900% | 8/15/18 | 150 | 156 |
Boeing Capital Corp. | 4.700% | 10/27/19 | 6,025 | 6,716 |
Boeing Co. | 0.950% | 5/15/18 | 10,425 | 10,434 |
Boeing Co. | 6.000% | 3/15/19 | 640 | 723 |
Boeing Co. | 4.875% | 2/15/20 | 13,990 | 15,730 |
Boeing Co. | 1.650% | 10/30/20 | 1,495 | 1,512 |
Boeing Co. | 8.750% | 8/15/21 | 1,310 | 1,741 |
Boeing Co. | 2.350% | 10/30/21 | 9,645 | 10,041 |
Boeing Co. | 2.200% | 10/30/22 | 4,500 | 4,593 |
Boeing Co. | 1.875% | 6/15/23 | 4,500 | 4,491 |
Boeing Co. | 7.950% | 8/15/24 | 2,823 | 4,000 |
Boeing Co. | 2.850% | 10/30/24 | 7,433 | 7,853 |
Boeing Co. | 2.500% | 3/1/25 | 9,800 | 10,128 |
Boeing Co. | 7.250% | 6/15/25 | 675 | 941 |
Boeing Co. | 2.600% | 10/30/25 | 3,400 | 3,527 |
Boeing Co. | 2.250% | 6/15/26 | 4,150 | 4,163 |
Boeing Co. | 8.750% | 9/15/31 | 850 | 1,365 |
Boeing Co. | 6.125% | 2/15/33 | 4,562 | 6,089 |
Boeing Co. | 3.300% | 3/1/35 | 6,150 | 6,254 |
Boeing Co. | 6.625% | 2/15/38 | 2,905 | 4,212 |
Boeing Co. | 6.875% | 3/15/39 | 2,853 | 4,294 |
Boeing Co. | 5.875% | 2/15/40 | 3,762 | 5,243 |
Boeing Co. | 3.500% | 3/1/45 | 6,080 | 6,214 |
Boeing Co. | 3.375% | 6/15/46 | 5,325 | 5,361 |
Carlisle Cos. Inc. | 3.750% | 11/15/22 | 3,205 | 3,307 |
Caterpillar Financial Services Corp. | 2.050% | 8/1/16 | 28,475 | 28,503 |
Caterpillar Financial Services Corp. | 1.250% | 8/18/17 | 6,000 | 6,019 |
Caterpillar Financial Services Corp. | 1.250% | 11/6/17 | 8,024 | 8,058 |
Caterpillar Financial Services Corp. | 1.500% | 2/23/18 | 11,000 | 11,101 |
Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 134 | 144 |
Caterpillar Financial Services Corp. | 7.050% | 10/1/18 | 2,151 | 2,422 |
Caterpillar Financial Services Corp. | 1.800% | 11/13/18 | 4,000 | 4,057 |
Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 20,178 | 23,142 |
Caterpillar Financial Services Corp. | 1.350% | 5/18/19 | 11,450 | 11,506 |
Caterpillar Financial Services Corp. | 2.100% | 6/9/19 | 5,625 | 5,769 |
Caterpillar Financial Services Corp. | 2.250% | 12/1/19 | 1,990 | 2,044 |
Caterpillar Financial Services Corp. | 2.000% | 3/5/20 | 3,810 | 3,906 |
Caterpillar Financial Services Corp. | 2.500% | 11/13/20 | 2,950 | 3,062 |
Caterpillar Financial Services Corp. | 2.750% | 8/20/21 | 3,400 | 3,572 |
Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 800 | 840 |
Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 3,000 | 3,318 |
Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 2,000 | 2,139 |
Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 4,315 | 4,604 |
Caterpillar Inc. | 7.900% | 12/15/18 | 475 | 550 |
Caterpillar Inc. | 3.900% | 5/27/21 | 11,578 | 12,784 |
Caterpillar Inc. | 3.400% | 5/15/24 | 20,490 | 22,033 |
Caterpillar Inc. | 6.050% | 8/15/36 | 13,322 | 17,512 |
Caterpillar Inc. | 5.200% | 5/27/41 | 8,250 | 10,010 |
Caterpillar Inc. | 3.803% | 8/15/42 | 20,003 | 20,383 |
Caterpillar Inc. | 4.300% | 5/15/44 | 7,803 | 8,565 |
Caterpillar Inc. | 4.750% | 5/15/64 | 2,550 | 2,825 |
Crane Co. | 2.750% | 12/15/18 | 2,525 | 2,584 |
Crane Co. | 4.450% | 12/15/23 | 8,650 | 9,251 |
CRH America Inc. | 8.125% | 7/15/18 | 9,420 | 10,570 |
52
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
CRH America Inc. | 5.750% | 1/15/21 | 6,950 | 7,893 | |
Deere & Co. | 4.375% | 10/16/19 | 6,097 | 6,727 | |
Deere & Co. | 2.600% | 6/8/22 | 22,578 | 23,289 | |
Deere & Co. | 5.375% | 10/16/29 | 10,457 | 13,325 | |
Deere & Co. | 8.100% | 5/15/30 | 5,467 | 8,252 | |
Deere & Co. | 7.125% | 3/3/31 | 825 | 1,185 | |
Deere & Co. | 3.900% | 6/9/42 | 7,370 | 7,884 | |
Dover Corp. | 5.450% | 3/15/18 | 7,160 | 7,654 | |
Dover Corp. | 4.300% | 3/1/21 | 850 | 940 | |
Dover Corp. | 3.150% | 11/15/25 | 8,500 | 9,014 | |
Dover Corp. | 5.375% | 10/15/35 | 550 | 676 | |
Dover Corp. | 6.600% | 3/15/38 | 3,115 | 4,391 | |
Dover Corp. | 5.375% | 3/1/41 | 1,759 | 2,253 | |
Eaton Corp. | 1.500% | 11/2/17 | 14,165 | 14,231 | |
Eaton Corp. | 5.600% | 5/15/18 | 11,960 | 12,859 | |
Eaton Corp. | 2.750% | 11/2/22 | 10,785 | 11,029 | |
Eaton Corp. | 4.000% | 11/2/32 | 9,999 | 10,651 | |
Eaton Corp. | 4.150% | 11/2/42 | 1,147 | 1,227 | |
Eaton Electric Holdings LLC | 3.875% | 12/15/20 | 2,325 | 2,497 | |
Embraer Netherlands Finance BV | 5.050% | 6/15/25 | 8,200 | 8,092 | |
7 | Embraer Overseas Ltd. | 5.696% | 9/16/23 | 5,600 | 5,793 |
Emerson Electric Co. | 5.250% | 10/15/18 | 6,645 | 7,276 | |
Emerson Electric Co. | 4.875% | 10/15/19 | 3,595 | 4,015 | |
Emerson Electric Co. | 4.250% | 11/15/20 | 745 | 831 | |
Emerson Electric Co. | 2.625% | 12/1/21 | 13,250 | 13,977 | |
Emerson Electric Co. | 2.625% | 2/15/23 | 4,350 | 4,513 | |
Emerson Electric Co. | 3.150% | 6/1/25 | 5,900 | 6,280 | |
Emerson Electric Co. | 6.000% | 8/15/32 | 940 | 1,221 | |
Emerson Electric Co. | 6.125% | 4/15/39 | 1,960 | 2,702 | |
Exelis Inc. | 4.250% | 10/1/16 | 3,525 | 3,548 | |
FLIR Systems Inc. | 3.125% | 6/15/21 | 3,000 | 3,082 | |
Flowserve Corp. | 3.500% | 9/15/22 | 12,800 | 13,194 | |
Flowserve Corp. | 4.000% | 11/15/23 | 4,325 | 4,454 | |
7 | Fortive Corp. | 1.800% | 6/15/19 | 1,500 | 1,509 |
7 | Fortive Corp. | 2.350% | 6/15/21 | 5,000 | 5,070 |
7 | Fortive Corp. | 3.150% | 6/15/26 | 4,250 | 4,373 |
7 | Fortive Corp. | 4.300% | 6/15/46 | 6,325 | 6,732 |
Fortune Brands Home & Security Inc. | 3.000% | 6/15/20 | 4,430 | 4,566 | |
Fortune Brands Home & Security Inc. | 4.000% | 6/15/25 | 5,500 | 5,864 | |
General Dynamics Corp. | 1.000% | 11/15/17 | 14,300 | 14,353 | |
General Dynamics Corp. | 3.875% | 7/15/21 | 5,869 | 6,460 | |
General Dynamics Corp. | 2.250% | 11/15/22 | 8,965 | 9,172 | |
General Dynamics Corp. | 3.600% | 11/15/42 | 2,443 | 2,585 | |
General Electric Capital Corp. | 5.625% | 9/15/17 | 60 | 63 | |
General Electric Capital Corp. | 6.000% | 8/7/19 | 13,750 | 15,751 | |
General Electric Capital Corp. | 2.100% | 12/11/19 | 1,865 | 1,921 | |
General Electric Capital Corp. | 5.500% | 1/8/20 | 18,874 | 21,480 | |
General Electric Capital Corp. | 2.200% | 1/9/20 | 14,907 | 15,368 | |
General Electric Capital Corp. | 5.550% | 5/4/20 | 15,926 | 18,402 | |
General Electric Capital Corp. | 4.375% | 9/16/20 | 14,858 | 16,590 | |
General Electric Capital Corp. | 4.625% | 1/7/21 | 11,471 | 13,012 | |
General Electric Capital Corp. | 5.300% | 2/11/21 | 10,072 | 11,642 | |
General Electric Capital Corp. | 4.650% | 10/17/21 | 17,120 | 19,598 | |
General Electric Capital Corp. | 3.150% | 9/7/22 | 4,743 | 5,090 | |
General Electric Capital Corp. | 3.100% | 1/9/23 | 12,856 | 13,727 | |
General Electric Capital Corp. | 3.450% | 5/15/24 | 4,545 | 4,972 | |
General Electric Capital Corp. | 6.750% | 3/15/32 | 26,797 | 37,431 | |
General Electric Capital Corp. | 7.500% | 8/21/35 | 100 | 149 | |
General Electric Capital Corp. | 6.150% | 8/7/37 | 8,417 | 11,642 | |
General Electric Capital Corp. | 5.875% | 1/14/38 | 31,638 | 42,917 | |
General Electric Capital Corp. | 6.875% | 1/10/39 | 18,599 | 28,082 | |
General Electric Co. | 5.250% | 12/6/17 | 61,349 | 65,067 | |
General Electric Co. | 2.700% | 10/9/22 | 34,840 | 36,283 | |
General Electric Co. | 3.375% | 3/11/24 | 6,260 | 6,830 |
53
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
General Electric Co. | 4.125% | 10/9/42 | 24,824 | 27,326 |
General Electric Co. | 4.500% | 3/11/44 | 25,792 | 29,923 |
Harris Corp. | 1.999% | 4/27/18 | 5,898 | 5,926 |
Harris Corp. | 2.700% | 4/27/20 | 2,540 | 2,569 |
Harris Corp. | 4.400% | 12/15/20 | 3,795 | 4,103 |
Harris Corp. | 3.832% | 4/27/25 | 9,780 | 10,394 |
Harris Corp. | 4.854% | 4/27/35 | 8,375 | 9,125 |
Harris Corp. | 6.150% | 12/15/40 | 7,628 | 9,544 |
Harris Corp. | 5.054% | 4/27/45 | 4,806 | 5,451 |
Hexcel Corp. | 4.700% | 8/15/25 | 1,400 | 1,492 |
Honeywell International Inc. | 5.300% | 3/1/18 | 7,900 | 8,458 |
Honeywell International Inc. | 5.000% | 2/15/19 | 5,836 | 6,433 |
Honeywell International Inc. | 4.250% | 3/1/21 | 22,150 | 24,885 |
Honeywell International Inc. | 3.350% | 12/1/23 | 9,160 | 10,050 |
Honeywell International Inc. | 5.700% | 3/15/36 | 1,435 | 1,893 |
Honeywell International Inc. | 5.700% | 3/15/37 | 6,851 | 9,089 |
Honeywell International Inc. | 5.375% | 3/1/41 | 13,790 | 18,029 |
Hubbell Inc. | 3.350% | 3/1/26 | 4,750 | 4,959 |
Illinois Tool Works Inc. | 1.950% | 3/1/19 | 1,000 | 1,022 |
Illinois Tool Works Inc. | 6.250% | 4/1/19 | 12,700 | 14,364 |
Illinois Tool Works Inc. | 3.375% | 9/15/21 | 1,450 | 1,563 |
Illinois Tool Works Inc. | 3.500% | 3/1/24 | 1,900 | 2,091 |
Illinois Tool Works Inc. | 4.875% | 9/15/41 | 45 | 54 |
Illinois Tool Works Inc. | 3.900% | 9/1/42 | 15,506 | 16,760 |
Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 12,340 | 13,716 |
Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 6,850 | 7,094 |
Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 8,925 | 9,918 |
Ingersoll-Rand Global Holding Co. Ltd. | 5.750% | 6/15/43 | 3,800 | 4,675 |
Ingersoll-Rand Luxembourg Finance SA | 2.625% | 5/1/20 | 4,000 | 4,068 |
Ingersoll-Rand Luxembourg Finance SA | 3.550% | 11/1/24 | 2,200 | 2,317 |
Ingersoll-Rand Luxembourg Finance SA | 4.650% | 11/1/44 | 3,500 | 3,766 |
John Deere Capital Corp. | 2.800% | 9/18/17 | 8,018 | 8,208 |
John Deere Capital Corp. | 1.200% | 10/10/17 | 3,200 | 3,215 |
John Deere Capital Corp. | 1.550% | 12/15/17 | 7,021 | 7,090 |
John Deere Capital Corp. | 1.350% | 1/16/18 | 2,800 | 2,820 |
John Deere Capital Corp. | 1.300% | 3/12/18 | 13,769 | 13,852 |
John Deere Capital Corp. | 1.600% | 7/13/18 | 1,000 | 1,010 |
John Deere Capital Corp. | 1.750% | 8/10/18 | 4,500 | 4,560 |
John Deere Capital Corp. | 5.750% | 9/10/18 | 3,890 | 4,289 |
John Deere Capital Corp. | 1.950% | 12/13/18 | 10,125 | 10,341 |
John Deere Capital Corp. | 1.950% | 1/8/19 | 4,100 | 4,183 |
John Deere Capital Corp. | 1.950% | 3/4/19 | 10,200 | 10,407 |
John Deere Capital Corp. | 2.250% | 4/17/19 | 5,300 | 5,455 |
John Deere Capital Corp. | 1.700% | 1/15/20 | 5,735 | 5,775 |
John Deere Capital Corp. | 2.050% | 3/10/20 | 4,500 | 4,587 |
John Deere Capital Corp. | 2.375% | 7/14/20 | 1,000 | 1,031 |
John Deere Capital Corp. | 2.450% | 9/11/20 | 3,500 | 3,613 |
John Deere Capital Corp. | 2.800% | 3/4/21 | 7,100 | 7,450 |
John Deere Capital Corp. | 3.900% | 7/12/21 | 5,850 | 6,450 |
John Deere Capital Corp. | 3.150% | 10/15/21 | 7,349 | 7,863 |
John Deere Capital Corp. | 2.750% | 3/15/22 | 1,645 | 1,702 |
John Deere Capital Corp. | 2.800% | 1/27/23 | 6,060 | 6,302 |
John Deere Capital Corp. | 2.800% | 3/6/23 | 9,900 | 10,364 |
John Deere Capital Corp. | 3.350% | 6/12/24 | 16,425 | 17,712 |
John Deere Capital Corp. | 3.400% | 9/11/25 | 3,550 | 3,830 |
John Deere Capital Corp. | 2.650% | 6/10/26 | 2,000 | 2,038 |
Kennametal Inc. | 2.650% | 11/1/19 | 3,650 | 3,644 |
Kennametal Inc. | 3.875% | 2/15/22 | 2,700 | 2,742 |
L-3 Communications Corp. | 5.200% | 10/15/19 | 12,950 | 14,118 |
L-3 Communications Corp. | 4.750% | 7/15/20 | 11,850 | 12,774 |
L-3 Communications Corp. | 4.950% | 2/15/21 | 11,525 | 12,598 |
L-3 Communications Corp. | 3.950% | 5/28/24 | 466 | 489 |
Lafarge SA | 7.125% | 7/15/36 | 5,300 | 6,455 |
Leggett & Platt Inc. | 3.800% | 11/15/24 | 4,600 | 4,861 |
54
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Legrand France SA | 8.500% | 2/15/25 | 3,225 | 4,396 |
Lockheed Martin Corp. | 1.850% | 11/23/18 | 8,169 | 8,279 |
Lockheed Martin Corp. | 4.250% | 11/15/19 | 9,281 | 10,167 |
Lockheed Martin Corp. | 2.500% | 11/23/20 | 10,410 | 10,737 |
Lockheed Martin Corp. | 3.350% | 9/15/21 | 15,103 | 16,163 |
Lockheed Martin Corp. | 3.100% | 1/15/23 | 7,210 | 7,600 |
Lockheed Martin Corp. | 2.900% | 3/1/25 | 2,652 | 2,750 |
Lockheed Martin Corp. | 3.550% | 1/15/26 | 27,700 | 30,213 |
Lockheed Martin Corp. | 3.600% | 3/1/35 | 7,435 | 7,547 |
Lockheed Martin Corp. | 4.500% | 5/15/36 | 4,604 | 5,210 |
Lockheed Martin Corp. | 6.150% | 9/1/36 | 18,810 | 24,997 |
Lockheed Martin Corp. | 5.500% | 11/15/39 | 2,802 | 3,476 |
Lockheed Martin Corp. | 5.720% | 6/1/40 | 5,360 | 6,968 |
Lockheed Martin Corp. | 4.850% | 9/15/41 | 4,872 | 5,671 |
Lockheed Martin Corp. | 4.070% | 12/15/42 | 50 | 53 |
Lockheed Martin Corp. | 3.800% | 3/1/45 | 3,332 | 3,391 |
Lockheed Martin Corp. | 4.700% | 5/15/46 | 19,978 | 23,454 |
Martin Marietta Materials Inc. | 6.600% | 4/15/18 | 4,455 | 4,756 |
Mohawk Industries Inc. | 3.850% | 2/1/23 | 12,690 | 13,379 |
Northrop Grumman Corp. | 5.050% | 8/1/19 | 2,810 | 3,110 |
Northrop Grumman Corp. | 3.500% | 3/15/21 | 14,828 | 15,948 |
Northrop Grumman Corp. | 3.250% | 8/1/23 | 5,342 | 5,727 |
Northrop Grumman Corp. | 5.050% | 11/15/40 | 6,925 | 8,313 |
Northrop Grumman Corp. | 4.750% | 6/1/43 | 7,729 | 9,189 |
Northrop Grumman Corp. | 3.850% | 4/15/45 | 1,454 | 1,513 |
Northrop Grumman Systems Corp. | 7.875% | 3/1/26 | 2,475 | 3,483 |
Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 381 | 572 |
Owens Corning | 4.200% | 12/15/22 | 9,304 | 9,913 |
Owens Corning | 4.200% | 12/1/24 | 3,190 | 3,338 |
Owens Corning | 7.000% | 12/1/36 | 1,635 | 1,992 |
Parker-Hannifin Corp. | 5.500% | 5/15/18 | 965 | 1,047 |
Parker-Hannifin Corp. | 3.500% | 9/15/22 | 3,350 | 3,667 |
Parker-Hannifin Corp. | 3.300% | 11/21/24 | 7,600 | 8,179 |
Parker-Hannifin Corp. | 4.200% | 11/21/34 | 5,553 | 6,230 |
Parker-Hannifin Corp. | 6.250% | 5/15/38 | 4,203 | 5,863 |
Parker-Hannifin Corp. | 4.450% | 11/21/44 | 4,650 | 5,498 |
Pentair Finance SA | 2.650% | 12/1/19 | 2,204 | 2,207 |
Pentair Finance SA | 3.625% | 9/15/20 | 2,000 | 2,032 |
Pentair Finance SA | 5.000% | 5/15/21 | 1,210 | 1,308 |
Pentair Finance SA | 3.150% | 9/15/22 | 880 | 874 |
Pentair Finance SA | 4.650% | 9/15/25 | 125 | 131 |
Precision Castparts Corp. | 1.250% | 1/15/18 | 12,358 | 12,415 |
Precision Castparts Corp. | 2.250% | 6/15/20 | 4,800 | 4,939 |
Precision Castparts Corp. | 2.500% | 1/15/23 | 13,577 | 14,037 |
Precision Castparts Corp. | 3.250% | 6/15/25 | 7,005 | 7,508 |
Precision Castparts Corp. | 4.200% | 6/15/35 | 1,500 | 1,704 |
Precision Castparts Corp. | 3.900% | 1/15/43 | 3,625 | 3,938 |
Precision Castparts Corp. | 4.375% | 6/15/45 | 2,012 | 2,387 |
Raytheon Co. | 6.400% | 12/15/18 | 240 | 270 |
Raytheon Co. | 4.400% | 2/15/20 | 2,820 | 3,114 |
Raytheon Co. | 3.125% | 10/15/20 | 4,235 | 4,533 |
Raytheon Co. | 2.500% | 12/15/22 | 12,670 | 13,189 |
Raytheon Co. | 7.200% | 8/15/27 | 4,310 | 6,143 |
Raytheon Co. | 4.875% | 10/15/40 | 1,915 | 2,339 |
Raytheon Co. | 4.700% | 12/15/41 | 8,175 | 9,814 |
Raytheon Co. | 4.200% | 12/15/44 | 2,400 | 2,728 |
Republic Services Inc. | 3.800% | 5/15/18 | 6,400 | 6,696 |
Republic Services Inc. | 5.500% | 9/15/19 | 15,040 | 16,766 |
Republic Services Inc. | 5.000% | 3/1/20 | 5,810 | 6,446 |
Republic Services Inc. | 5.250% | 11/15/21 | 11,494 | 13,293 |
Republic Services Inc. | 3.550% | 6/1/22 | 3,700 | 4,000 |
Republic Services Inc. | 4.750% | 5/15/23 | 2,650 | 3,032 |
Republic Services Inc. | 3.200% | 3/15/25 | 8,100 | 8,473 |
Republic Services Inc. | 6.086% | 3/15/35 | 2,600 | 3,282 |
55
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Republic Services Inc. | 6.200% | 3/1/40 | 5,873 | 7,959 |
Republic Services Inc. | 5.700% | 5/15/41 | 10,998 | 14,029 |
Rockwell Automation Inc. | 5.650% | 12/1/17 | 1,650 | 1,749 |
Rockwell Automation Inc. | 2.050% | 3/1/20 | 5,900 | 6,009 |
Rockwell Automation Inc. | 6.700% | 1/15/28 | 4,026 | 5,600 |
Rockwell Automation Inc. | 6.250% | 12/1/37 | 4,385 | 5,962 |
Rockwell Collins Inc. | 5.250% | 7/15/19 | 265 | 296 |
Rockwell Collins Inc. | 3.100% | 11/15/21 | 2,350 | 2,460 |
Rockwell Collins Inc. | 4.800% | 12/15/43 | 3,400 | 4,092 |
Roper Technologies Inc. | 1.850% | 11/15/17 | 5,550 | 5,582 |
Roper Technologies Inc. | 2.050% | 10/1/18 | 16,700 | 16,904 |
Roper Technologies Inc. | 6.250% | 9/1/19 | 2,760 | 3,121 |
Roper Technologies Inc. | 3.000% | 12/15/20 | 1,400 | 1,446 |
Roper Technologies Inc. | 3.125% | 11/15/22 | 3,968 | 4,063 |
Roper Technologies Inc. | 3.850% | 12/15/25 | 1,200 | 1,287 |
Snap-on Inc. | 6.125% | 9/1/21 | 3,700 | 4,494 |
Sonoco Products Co. | 4.375% | 11/1/21 | 745 | 801 |
Sonoco Products Co. | 5.750% | 11/1/40 | 6,600 | 7,890 |
Spirit AeroSystems Inc. | 5.250% | 3/15/22 | 600 | 629 |
Spirit AeroSystems Inc. | 3.850% | 6/15/26 | 3,600 | 3,730 |
Stanley Black & Decker Inc. | 2.451% | 11/17/18 | 2,150 | 2,197 |
Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 4,340 | 4,644 |
Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 1,881 | 1,983 |
Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 3,428 | 4,056 |
Textron Inc. | 5.600% | 12/1/17 | 1,895 | 1,993 |
Textron Inc. | 7.250% | 10/1/19 | 4,140 | 4,744 |
Textron Inc. | 4.300% | 3/1/24 | 3,725 | 4,037 |
Textron Inc. | 3.875% | 3/1/25 | 6,335 | 6,688 |
Textron Inc. | 4.000% | 3/15/26 | 3,000 | 3,169 |
Timken CO | 3.875% | 9/1/24 | 1,000 | 1,014 |
Tyco International Finance SA | 3.900% | 2/14/26 | 3,377 | 3,628 |
Tyco International Finance SA | 5.125% | 9/14/45 | 400 | 462 |
United Technologies Corp. | 1.800% | 6/1/17 | 3,221 | 3,245 |
United Technologies Corp. | 5.375% | 12/15/17 | 10,376 | 11,041 |
United Technologies Corp. | 6.125% | 2/1/19 | 2,420 | 2,718 |
United Technologies Corp. | 4.500% | 4/15/20 | 29,953 | 33,375 |
United Technologies Corp. | 3.100% | 6/1/22 | 12,956 | 13,811 |
United Technologies Corp. | 6.700% | 8/1/28 | 2,397 | 3,227 |
United Technologies Corp. | 7.500% | 9/15/29 | 4,821 | 7,106 |
United Technologies Corp. | 5.400% | 5/1/35 | 7,075 | 8,729 |
United Technologies Corp. | 6.050% | 6/1/36 | 4,912 | 6,545 |
United Technologies Corp. | 6.125% | 7/15/38 | 6,796 | 9,315 |
United Technologies Corp. | 5.700% | 4/15/40 | 10,545 | 13,843 |
United Technologies Corp. | 4.500% | 6/1/42 | 41,583 | 47,708 |
United Technologies Corp. | 4.150% | 5/15/45 | 4,000 | 4,394 |
Valmont Industries Inc. | 6.625% | 4/20/20 | 140 | 158 |
Valmont Industries Inc. | 5.000% | 10/1/44 | 1,900 | 1,764 |
Valmont Industries Inc. | 5.250% | 10/1/54 | 4,550 | 4,101 |
Vulcan Materials Co. | 7.500% | 6/15/21 | 5,290 | 6,359 |
Vulcan Materials Co. | 4.500% | 4/1/25 | 4,200 | 4,486 |
Waste Management Inc. | 2.600% | 9/1/16 | 7,250 | 7,267 |
Waste Management Inc. | 6.100% | 3/15/18 | 450 | 488 |
Waste Management Inc. | 4.750% | 6/30/20 | 9,824 | 11,013 |
Waste Management Inc. | 4.600% | 3/1/21 | 9,470 | 10,508 |
Waste Management Inc. | 2.400% | 5/15/23 | 10,750 | 10,883 |
Waste Management Inc. | 3.500% | 5/15/24 | 2,600 | 2,809 |
Waste Management Inc. | 3.125% | 3/1/25 | 3,500 | 3,679 |
Waste Management Inc. | 3.900% | 3/1/35 | 2,002 | 2,111 |
Waste Management Inc. | 4.100% | 3/1/45 | 5,759 | 6,283 |
WW Grainger Inc. | 4.600% | 6/15/45 | 15,600 | 18,539 |
WW Grainger Inc. | 3.750% | 5/15/46 | 5,125 | 5,291 |
Xylem Inc. | 4.875% | 10/1/21 | 150 | 164 |
56
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Communication (2.6%) | ||||
21st Century Fox America Inc. | 8.000% | 10/17/16 | 3,830 | 3,904 |
21st Century Fox America Inc. | 7.250% | 5/18/18 | 165 | 182 |
21st Century Fox America Inc. | 6.900% | 3/1/19 | 3,045 | 3,456 |
21st Century Fox America Inc. | 5.650% | 8/15/20 | 4,701 | 5,388 |
21st Century Fox America Inc. | 4.500% | 2/15/21 | 7,900 | 8,812 |
21st Century Fox America Inc. | 3.000% | 9/15/22 | 3,250 | 3,392 |
21st Century Fox America Inc. | 3.700% | 9/15/24 | 1,275 | 1,379 |
21st Century Fox America Inc. | 3.700% | 10/15/25 | 4,900 | 5,302 |
21st Century Fox America Inc. | 7.700% | 10/30/25 | 1,225 | 1,698 |
21st Century Fox America Inc. | 6.550% | 3/15/33 | 13,365 | 16,823 |
21st Century Fox America Inc. | 6.200% | 12/15/34 | 15,141 | 18,838 |
21st Century Fox America Inc. | 6.400% | 12/15/35 | 24,265 | 30,848 |
21st Century Fox America Inc. | 8.150% | 10/17/36 | 2,075 | 2,931 |
21st Century Fox America Inc. | 6.150% | 3/1/37 | 10,123 | 12,585 |
21st Century Fox America Inc. | 6.650% | 11/15/37 | 760 | 997 |
21st Century Fox America Inc. | 6.900% | 8/15/39 | 7,648 | 10,237 |
21st Century Fox America Inc. | 6.150% | 2/15/41 | 4,198 | 5,249 |
21st Century Fox America Inc. | 5.400% | 10/1/43 | 10,250 | 12,043 |
21st Century Fox America Inc. | 4.750% | 9/15/44 | 8,050 | 8,915 |
21st Century Fox America Inc. | 4.950% | 10/15/45 | 502 | 570 |
21st Century Fox America Inc. | 7.750% | 12/1/45 | 5,160 | 7,488 |
America Movil SAB de CV | 5.625% | 11/15/17 | 6,550 | 6,891 |
America Movil SAB de CV | 5.000% | 10/16/19 | 2,125 | 2,323 |
America Movil SAB de CV | 5.000% | 3/30/20 | 8,325 | 9,202 |
America Movil SAB de CV | 3.125% | 7/16/22 | 36,000 | 36,820 |
America Movil SAB de CV | 6.375% | 3/1/35 | 21,517 | 26,328 |
America Movil SAB de CV | 6.125% | 11/15/37 | 4,568 | 5,440 |
America Movil SAB de CV | 6.125% | 3/30/40 | 14,600 | 17,677 |
America Movil SAB de CV | 4.375% | 7/16/42 | 10,175 | 10,248 |
American Tower Corp. | 4.500% | 1/15/18 | 20,740 | 21,635 |
American Tower Corp. | 3.400% | 2/15/19 | 3,325 | 3,462 |
American Tower Corp. | 2.800% | 6/1/20 | 6,675 | 6,828 |
American Tower Corp. | 5.050% | 9/1/20 | 5,025 | 5,588 |
American Tower Corp. | 3.300% | 2/15/21 | 3,052 | 3,180 |
American Tower Corp. | 3.450% | 9/15/21 | 18,125 | 18,803 |
American Tower Corp. | 5.900% | 11/1/21 | 7,025 | 8,176 |
American Tower Corp. | 3.500% | 1/31/23 | 18,825 | 19,488 |
American Tower Corp. | 5.000% | 2/15/24 | 11,150 | 12,596 |
American Tower Corp. | 4.000% | 6/1/25 | 5,465 | 5,817 |
American Tower Corp. | 4.400% | 2/15/26 | 2,000 | 2,170 |
Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 445 | 534 |
AT&T Corp. | 8.250% | 11/15/31 | 18,084 | 26,220 |
AT&T Inc. | 1.400% | 12/1/17 | 2,150 | 2,153 |
AT&T Inc. | 5.500% | 2/1/18 | 6,171 | 6,573 |
AT&T Inc. | 5.600% | 5/15/18 | 8,995 | 9,676 |
AT&T Inc. | 2.375% | 11/27/18 | 18,990 | 19,400 |
AT&T Inc. | 5.800% | 2/15/19 | 28,560 | 31,671 |
AT&T Inc. | 2.300% | 3/11/19 | 6,242 | 6,369 |
AT&T Inc. | 5.875% | 10/1/19 | 25,645 | 29,033 |
AT&T Inc. | 5.200% | 3/15/20 | 16,889 | 19,117 |
AT&T Inc. | 2.450% | 6/30/20 | 41,300 | 42,131 |
AT&T Inc. | 4.600% | 2/15/21 | 13,727 | 15,060 |
AT&T Inc. | 2.800% | 2/17/21 | 24,500 | 25,117 |
AT&T Inc. | 5.000% | 3/1/21 | 11,328 | 12,685 |
AT&T Inc. | 4.450% | 5/15/21 | 3,000 | 3,296 |
AT&T Inc. | 3.875% | 8/15/21 | 23,823 | 25,642 |
AT&T Inc. | 3.000% | 2/15/22 | 12,461 | 12,711 |
AT&T Inc. | 3.800% | 3/15/22 | 21,601 | 23,008 |
AT&T Inc. | 3.000% | 6/30/22 | 26,900 | 27,594 |
AT&T Inc. | 2.625% | 12/1/22 | 17,204 | 17,267 |
AT&T Inc. | 3.600% | 2/17/23 | 27,025 | 28,280 |
AT&T Inc. | 4.450% | 4/1/24 | 4,675 | 5,138 |
57
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
AT&T Inc. | 3.950% | 1/15/25 | 32,910 | 34,928 | |
AT&T Inc. | 3.400% | 5/15/25 | 9,150 | 9,343 | |
AT&T Inc. | 4.125% | 2/17/26 | 7,800 | 8,383 | |
AT&T Inc. | 6.450% | 6/15/34 | 8,835 | 10,588 | |
AT&T Inc. | 6.150% | 9/15/34 | 100 | 117 | |
AT&T Inc. | 4.500% | 5/15/35 | 17,900 | 18,291 | |
AT&T Inc. | 6.500% | 9/1/37 | 15,028 | 18,492 | |
AT&T Inc. | 6.300% | 1/15/38 | 11,300 | 13,595 | |
AT&T Inc. | 6.400% | 5/15/38 | 6,945 | 8,418 | |
AT&T Inc. | 6.550% | 2/15/39 | 27,599 | 34,177 | |
AT&T Inc. | 6.350% | 3/15/40 | 11,125 | 13,285 | |
AT&T Inc. | 6.000% | 8/15/40 | 9,547 | 11,174 | |
AT&T Inc. | 5.350% | 9/1/40 | 43,493 | 47,356 | |
AT&T Inc. | 6.375% | 3/1/41 | 8,132 | 9,905 | |
AT&T Inc. | 5.550% | 8/15/41 | 6,335 | 7,105 | |
AT&T Inc. | 5.150% | 3/15/42 | 28,534 | 30,798 | |
AT&T Inc. | 4.300% | 12/15/42 | 18,950 | 18,144 | |
AT&T Inc. | 4.800% | 6/15/44 | 28,690 | 29,546 | |
AT&T Inc. | 4.350% | 6/15/45 | 12,011 | 11,517 | |
AT&T Inc. | 4.750% | 5/15/46 | 16,344 | 16,796 | |
AT&T Inc. | 5.650% | 2/15/47 | 5,000 | 5,732 | |
AT&T Mobility LLC | 7.125% | 12/15/31 | 7,865 | 10,348 | |
Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 7,565 | 9,671 | |
Bellsouth Capital Funding Corp. | 7.120% | 7/15/97 | 350 | 414 | |
BellSouth LLC | 6.875% | 10/15/31 | 7,765 | 9,321 | |
BellSouth LLC | 6.550% | 6/15/34 | 2,805 | 3,309 | |
BellSouth LLC | 6.000% | 11/15/34 | 2,262 | 2,546 | |
BellSouth Telecommunications LLC | 6.375% | 6/1/28 | 6,748 | 8,108 | |
BellSouth Telecommunications LLC | 6.650% | 12/15/95 | 555 | 654 | |
British Telecommunications plc | 5.950% | 1/15/18 | 18,400 | 19,704 | |
British Telecommunications plc | 2.350% | 2/14/19 | 2,700 | 2,760 | |
British Telecommunications plc | 9.375% | 12/15/30 | 8,275 | 12,818 | |
CBS Corp. | 1.950% | 7/1/17 | 1,025 | 1,032 | |
CBS Corp. | 4.625% | 5/15/18 | 4,924 | 5,196 | |
CBS Corp. | 2.300% | 8/15/19 | 6,360 | 6,465 | |
CBS Corp. | 5.750% | 4/15/20 | 12,060 | 13,714 | |
CBS Corp. | 4.300% | 2/15/21 | 7,575 | 8,240 | |
CBS Corp. | 3.375% | 3/1/22 | 6,437 | 6,717 | |
CBS Corp. | 3.700% | 8/15/24 | 3,775 | 3,965 | |
CBS Corp. | 4.000% | 1/15/26 | 5,509 | 5,885 | |
CBS Corp. | 7.875% | 7/30/30 | 2,339 | 3,321 | |
CBS Corp. | 5.500% | 5/15/33 | 668 | 744 | |
CBS Corp. | 5.900% | 10/15/40 | 1,425 | 1,625 | |
CBS Corp. | 4.850% | 7/1/42 | 3,443 | 3,493 | |
CBS Corp. | 4.900% | 8/15/44 | 7,974 | 8,155 | |
CBS Corp. | 4.600% | 1/15/45 | 7,650 | 7,527 | |
CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 11,001 | 11,719 | |
7 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 3.579% | 7/23/20 | 22,975 | 24,020 | |
7 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 4.464% | 7/23/22 | 18,525 | 19,916 | |
7 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 4.908% | 7/23/25 | 41,990 | 45,741 | |
7 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 6.384% | 10/23/35 | 17,540 | 20,684 | |
7 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 6.484% | 10/23/45 | 37,605 | 44,870 | |
7 | Charter Communications Operating LLC / Charter | ||||
Communications Operating Capital | 6.834% | 10/23/55 | 4,600 | 5,453 | |
Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 7,156 | 10,188 | |
Comcast Corp. | 6.300% | 11/15/17 | 38,953 | 41,845 | |
Comcast Corp. | 5.875% | 2/15/18 | 21,618 | 23,290 | |
Comcast Corp. | 5.700% | 5/15/18 | 9,062 | 9,840 | |
Comcast Corp. | 5.700% | 7/1/19 | 7,575 | 8,559 |
58
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Comcast Corp. | 5.150% | 3/1/20 | 9,043 | 10,225 |
Comcast Corp. | 3.125% | 7/15/22 | 3,654 | 3,905 |
Comcast Corp. | 2.850% | 1/15/23 | 250 | 263 |
Comcast Corp. | 2.750% | 3/1/23 | 8,825 | 9,228 |
Comcast Corp. | 3.600% | 3/1/24 | 1,125 | 1,233 |
Comcast Corp. | 3.375% | 2/15/25 | 6,132 | 6,622 |
Comcast Corp. | 3.375% | 8/15/25 | 11,750 | 12,667 |
Comcast Corp. | 3.150% | 3/1/26 | 9,929 | 10,554 |
Comcast Corp. | 4.250% | 1/15/33 | 15,572 | 17,188 |
Comcast Corp. | 7.050% | 3/15/33 | 3,152 | 4,418 |
Comcast Corp. | 4.200% | 8/15/34 | 9,850 | 10,821 |
Comcast Corp. | 5.650% | 6/15/35 | 3,671 | 4,702 |
Comcast Corp. | 4.400% | 8/15/35 | 7,500 | 8,409 |
Comcast Corp. | 6.500% | 11/15/35 | 17,200 | 23,573 |
Comcast Corp. | 6.450% | 3/15/37 | 9,606 | 13,225 |
Comcast Corp. | 6.950% | 8/15/37 | 12,076 | 17,423 |
Comcast Corp. | 6.400% | 5/15/38 | 15,421 | 21,188 |
Comcast Corp. | 6.550% | 7/1/39 | 2,436 | 3,409 |
Comcast Corp. | 6.400% | 3/1/40 | 1,800 | 2,511 |
Comcast Corp. | 4.650% | 7/15/42 | 21,722 | 24,942 |
Comcast Corp. | 4.500% | 1/15/43 | 7,650 | 8,578 |
Comcast Corp. | 4.750% | 3/1/44 | 6,840 | 7,981 |
Comcast Corp. | 4.600% | 8/15/45 | 17,325 | 19,911 |
Crown Castle International Corp. | 3.400% | 2/15/21 | 14,250 | 14,891 |
Crown Castle International Corp. | 4.875% | 4/15/22 | 6,800 | 7,463 |
Crown Castle International Corp. | 5.250% | 1/15/23 | 14,150 | 15,883 |
Crown Castle International Corp. | 4.450% | 2/15/26 | 15,100 | 16,384 |
Crown Castle International Corp. | 3.700% | 6/15/26 | 11,925 | 12,280 |
Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 4,965 | 5,531 |
Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 11,075 | 12,491 |
Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 38,770 | 58,633 |
Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 600 | 957 |
Discovery Communications LLC | 5.050% | 6/1/20 | 9,925 | 10,852 |
Discovery Communications LLC | 4.375% | 6/15/21 | 4,925 | 5,287 |
Discovery Communications LLC | 3.300% | 5/15/22 | 6,850 | 6,944 |
Discovery Communications LLC | 3.250% | 4/1/23 | 2,500 | 2,444 |
Discovery Communications LLC | 3.450% | 3/15/25 | 3,950 | 3,836 |
Discovery Communications LLC | 4.900% | 3/11/26 | 10,500 | 11,126 |
Discovery Communications LLC | 6.350% | 6/1/40 | 295 | 307 |
Discovery Communications LLC | 4.950% | 5/15/42 | 12,075 | 10,486 |
Discovery Communications LLC | 4.875% | 4/1/43 | 973 | 878 |
Electronic Arts Inc. | 3.700% | 3/1/21 | 5,200 | 5,488 |
Grupo Televisa SAB | 6.625% | 3/18/25 | 3,439 | 4,214 |
Grupo Televisa SAB | 4.625% | 1/30/26 | 2,550 | 2,757 |
Grupo Televisa SAB | 8.500% | 3/11/32 | 535 | 686 |
Grupo Televisa SAB | 6.625% | 1/15/40 | 7,918 | 8,951 |
Grupo Televisa SAB | 5.000% | 5/13/45 | 7,400 | 7,053 |
Grupo Televisa SAB | 6.125% | 1/31/46 | 13,367 | 14,479 |
GTE Corp. | 6.940% | 4/15/28 | 13,105 | 16,945 |
Historic TW Inc. | 9.150% | 2/1/23 | 8,925 | 11,995 |
Historic TW Inc. | 6.625% | 5/15/29 | 7,355 | 9,545 |
Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 6,300 | 6,595 |
Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 16,600 | 17,799 |
Koninklijke KPN NV | 8.375% | 10/1/30 | 6,321 | 8,811 |
Moody's Corp. | 2.750% | 7/15/19 | 3,404 | 3,518 |
Moody's Corp. | 5.500% | 9/1/20 | 1,000 | 1,134 |
Moody's Corp. | 4.500% | 9/1/22 | 15,750 | 17,533 |
Moody's Corp. | 4.875% | 2/15/24 | 6,335 | 7,209 |
Moody's Corp. | 5.250% | 7/15/44 | 8,175 | 9,952 |
NBCUniversal Media LLC | 5.150% | 4/30/20 | 14,730 | 16,698 |
NBCUniversal Media LLC | 4.375% | 4/1/21 | 20,420 | 22,764 |
NBCUniversal Media LLC | 2.875% | 1/15/23 | 22,820 | 23,972 |
NBCUniversal Media LLC | 6.400% | 4/30/40 | 23,725 | 32,904 |
NBCUniversal Media LLC | 5.950% | 4/1/41 | 7,883 | 10,489 |
59
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
NBCUniversal Media LLC | 4.450% | 1/15/43 | 14,305 | 15,946 |
New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 695 | 1,038 |
Nippon Telegraph & Telephone Corp. | 1.400% | 7/18/17 | 2,140 | 2,146 |
Omnicom Group Inc. | 6.250% | 7/15/19 | 520 | 592 |
Omnicom Group Inc. | 4.450% | 8/15/20 | 21,640 | 23,880 |
Omnicom Group Inc. | 3.625% | 5/1/22 | 24,678 | 26,252 |
Omnicom Group Inc. | 3.650% | 11/1/24 | 10,653 | 11,276 |
Omnicom Group Inc. | 3.600% | 4/15/26 | 6,000 | 6,269 |
Orange SA | 2.750% | 2/6/19 | 1,875 | 1,934 |
Orange SA | 5.375% | 7/8/19 | 9,559 | 10,613 |
Orange SA | 4.125% | 9/14/21 | 23,300 | 25,701 |
Orange SA | 9.000% | 3/1/31 | 22,269 | 34,363 |
Orange SA | 5.375% | 1/13/42 | 12,685 | 15,554 |
Orange SA | 5.500% | 2/6/44 | 8,511 | 10,617 |
Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 625 | 803 |
Qwest Corp. | 6.750% | 12/1/21 | 13,624 | 14,738 |
Qwest Corp. | 7.250% | 9/15/25 | 1,360 | 1,451 |
Qwest Corp. | 6.875% | 9/15/33 | 26,420 | 25,892 |
Qwest Corp. | 7.125% | 11/15/43 | 13,910 | 13,510 |
RELX Capital Inc. | 3.125% | 10/15/22 | 18,518 | 18,869 |
Rogers Communications Inc. | 6.800% | 8/15/18 | 29,611 | 32,801 |
Rogers Communications Inc. | 3.000% | 3/15/23 | 3,425 | 3,546 |
Rogers Communications Inc. | 7.500% | 8/15/38 | 1,278 | 1,741 |
Rogers Communications Inc. | 4.500% | 3/15/43 | 3,648 | 3,866 |
Rogers Communications Inc. | 5.000% | 3/15/44 | 15,309 | 17,332 |
S&P Global Inc. | 5.900% | 11/15/17 | 3,505 | 3,704 |
S&P Global Inc. | 2.500% | 8/15/18 | 4,175 | 4,261 |
S&P Global Inc. | 3.300% | 8/14/20 | 6,125 | 6,409 |
S&P Global Inc. | 4.000% | 6/15/25 | 5,375 | 5,870 |
S&P Global Inc. | 4.400% | 2/15/26 | 10,900 | 12,240 |
S&P Global Inc. | 6.550% | 11/15/37 | 6,950 | 8,459 |
Scripps Networks Interactive Inc. | 2.750% | 11/15/19 | 5,850 | 5,970 |
Scripps Networks Interactive Inc. | 2.800% | 6/15/20 | 5,375 | 5,461 |
Scripps Networks Interactive Inc. | 3.500% | 6/15/22 | 9,100 | 9,475 |
Scripps Networks Interactive Inc. | 3.900% | 11/15/24 | 2,875 | 3,023 |
TCI Communications Inc. | 7.875% | 2/15/26 | 4,968 | 7,113 |
TCI Communications Inc. | 7.125% | 2/15/28 | 2,022 | 2,812 |
Telefonica Emisiones SAU | 6.221% | 7/3/17 | 201 | 210 |
Telefonica Emisiones SAU | 3.192% | 4/27/18 | 18,650 | 18,875 |
Telefonica Emisiones SAU | 5.877% | 7/15/19 | 9,193 | 10,184 |
Telefonica Emisiones SAU | 5.134% | 4/27/20 | 8,605 | 9,541 |
Telefonica Emisiones SAU | 5.462% | 2/16/21 | 11,839 | 13,528 |
Telefonica Emisiones SAU | 4.570% | 4/27/23 | 14,075 | 15,568 |
Telefonica Emisiones SAU | 7.045% | 6/20/36 | 19,216 | 24,689 |
Telefonica Europe BV | 8.250% | 9/15/30 | 15,427 | 22,223 |
Thomson Reuters Corp. | 1.650% | 9/29/17 | 8,125 | 8,159 |
Thomson Reuters Corp. | 4.700% | 10/15/19 | 1,850 | 2,012 |
Thomson Reuters Corp. | 4.300% | 11/23/23 | 9,308 | 10,223 |
Thomson Reuters Corp. | 3.850% | 9/29/24 | 7,050 | 7,508 |
Thomson Reuters Corp. | 3.350% | 5/15/26 | 5,100 | 5,223 |
Thomson Reuters Corp. | 5.500% | 8/15/35 | 8,375 | 9,215 |
Thomson Reuters Corp. | 5.850% | 4/15/40 | 6,375 | 7,419 |
Thomson Reuters Corp. | 4.500% | 5/23/43 | 1,925 | 1,925 |
Thomson Reuters Corp. | 5.650% | 11/23/43 | 15,200 | 17,911 |
Time Warner Cable Inc. | 6.750% | 7/1/18 | 30,969 | 33,970 |
Time Warner Cable Inc. | 8.750% | 2/14/19 | 11,202 | 13,077 |
Time Warner Cable Inc. | 8.250% | 4/1/19 | 12,826 | 14,892 |
Time Warner Cable Inc. | 5.000% | 2/1/20 | 16,735 | 18,195 |
Time Warner Cable Inc. | 4.125% | 2/15/21 | 1,850 | 1,960 |
Time Warner Cable Inc. | 4.000% | 9/1/21 | 12,325 | 13,083 |
Time Warner Cable Inc. | 6.550% | 5/1/37 | 12,321 | 14,415 |
Time Warner Cable Inc. | 7.300% | 7/1/38 | 13,000 | 16,327 |
Time Warner Cable Inc. | 6.750% | 6/15/39 | 13,825 | 16,462 |
Time Warner Cable Inc. | 5.875% | 11/15/40 | 21,563 | 23,488 |
60
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Time Warner Cable Inc. | 5.500% | 9/1/41 | 9,250 | 9,713 |
Time Warner Cable Inc. | 4.500% | 9/15/42 | 12,800 | 11,936 |
Time Warner Cos. Inc. | 7.570% | 2/1/24 | 1,680 | 2,136 |
Time Warner Cos. Inc. | 6.950% | 1/15/28 | 7,912 | 10,251 |
Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 6,975 | 9,377 |
Time Warner Inc. | 2.100% | 6/1/19 | 12,155 | 12,360 |
Time Warner Inc. | 4.875% | 3/15/20 | 6,505 | 7,203 |
Time Warner Inc. | 4.700% | 1/15/21 | 7,920 | 8,836 |
Time Warner Inc. | 4.750% | 3/29/21 | 14,990 | 16,825 |
Time Warner Inc. | 4.000% | 1/15/22 | 3,200 | 3,456 |
Time Warner Inc. | 3.400% | 6/15/22 | 100 | 105 |
Time Warner Inc. | 4.050% | 12/15/23 | 550 | 605 |
Time Warner Inc. | 3.550% | 6/1/24 | 7,375 | 7,816 |
Time Warner Inc. | 3.600% | 7/15/25 | 20,250 | 21,476 |
Time Warner Inc. | 3.875% | 1/15/26 | 19,450 | 20,976 |
Time Warner Inc. | 7.625% | 4/15/31 | 14,810 | 20,321 |
Time Warner Inc. | 7.700% | 5/1/32 | 12,659 | 17,646 |
Time Warner Inc. | 6.500% | 11/15/36 | 6,250 | 7,787 |
Time Warner Inc. | 6.200% | 3/15/40 | 4,895 | 6,064 |
Time Warner Inc. | 6.100% | 7/15/40 | 10,976 | 13,350 |
Time Warner Inc. | 6.250% | 3/29/41 | 12,090 | 15,221 |
Time Warner Inc. | 5.375% | 10/15/41 | 2,475 | 2,844 |
Time Warner Inc. | 4.900% | 6/15/42 | 500 | 534 |
Time Warner Inc. | 5.350% | 12/15/43 | 7,860 | 8,984 |
Time Warner Inc. | 4.650% | 6/1/44 | 8,695 | 9,153 |
Time Warner Inc. | 4.850% | 7/15/45 | 3,152 | 3,425 |
Verizon Communications Inc. | 1.100% | 11/1/17 | 2,800 | 2,799 |
Verizon Communications Inc. | 5.500% | 2/15/18 | 22,890 | 24,497 |
Verizon Communications Inc. | 6.100% | 4/15/18 | 5,614 | 6,098 |
Verizon Communications Inc. | 3.650% | 9/14/18 | 53,305 | 56,042 |
Verizon Communications Inc. | 2.625% | 2/21/20 | 18,849 | 19,505 |
Verizon Communications Inc. | 4.500% | 9/15/20 | 29,790 | 33,071 |
Verizon Communications Inc. | 3.450% | 3/15/21 | 12,545 | 13,482 |
Verizon Communications Inc. | 4.600% | 4/1/21 | 13,400 | 15,049 |
Verizon Communications Inc. | 3.000% | 11/1/21 | 10,435 | 10,974 |
Verizon Communications Inc. | 3.500% | 11/1/21 | 17,590 | 18,922 |
Verizon Communications Inc. | 2.450% | 11/1/22 | 23,750 | 23,983 |
Verizon Communications Inc. | 5.150% | 9/15/23 | 72,965 | 85,069 |
Verizon Communications Inc. | 4.150% | 3/15/24 | 18,460 | 20,341 |
Verizon Communications Inc. | 3.500% | 11/1/24 | 12,424 | 13,241 |
Verizon Communications Inc. | 7.750% | 12/1/30 | 14,176 | 19,943 |
Verizon Communications Inc. | 6.400% | 9/15/33 | 4,350 | 5,557 |
Verizon Communications Inc. | 5.050% | 3/15/34 | 13,325 | 14,797 |
Verizon Communications Inc. | 4.400% | 11/1/34 | 34,662 | 35,860 |
Verizon Communications Inc. | 5.850% | 9/15/35 | 10,467 | 12,682 |
Verizon Communications Inc. | 4.272% | 1/15/36 | 20,915 | 21,427 |
Verizon Communications Inc. | 6.250% | 4/1/37 | 6,991 | 8,772 |
Verizon Communications Inc. | 6.400% | 2/15/38 | 9,302 | 11,729 |
Verizon Communications Inc. | 6.900% | 4/15/38 | 14,345 | 19,094 |
Verizon Communications Inc. | 7.350% | 4/1/39 | 8,809 | 12,282 |
Verizon Communications Inc. | 6.000% | 4/1/41 | 24,690 | 30,741 |
Verizon Communications Inc. | 4.750% | 11/1/41 | 8,060 | 8,669 |
Verizon Communications Inc. | 3.850% | 11/1/42 | 6,095 | 5,758 |
Verizon Communications Inc. | 6.550% | 9/15/43 | 41,627 | 56,235 |
Verizon Communications Inc. | 4.862% | 8/21/46 | 38,994 | 42,404 |
Verizon Communications Inc. | 4.522% | 9/15/48 | 39,798 | 41,479 |
Verizon Communications Inc. | 5.012% | 8/21/54 | 59,466 | 63,192 |
Verizon Communications Inc. | 4.672% | 3/15/55 | 50,660 | 50,957 |
Viacom Inc. | 6.125% | 10/5/17 | 6,415 | 6,763 |
Viacom Inc. | 2.500% | 9/1/18 | 440 | 446 |
Viacom Inc. | 2.200% | 4/1/19 | 12,100 | 12,127 |
Viacom Inc. | 5.625% | 9/15/19 | 20,325 | 22,383 |
Viacom Inc. | 3.875% | 12/15/21 | 3,450 | 3,623 |
Viacom Inc. | 4.250% | 9/1/23 | 2,364 | 2,455 |
61
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Viacom Inc. | 3.875% | 4/1/24 | 4,040 | 4,118 |
Viacom Inc. | 4.850% | 12/15/34 | 5,100 | 4,728 |
Viacom Inc. | 6.875% | 4/30/36 | 19,236 | 21,116 |
Viacom Inc. | 4.500% | 2/27/42 | 3,375 | 2,792 |
Viacom Inc. | 4.375% | 3/15/43 | 5,578 | 4,490 |
Viacom Inc. | 5.850% | 9/1/43 | 6,365 | 6,371 |
Viacom Inc. | 5.250% | 4/1/44 | 9,950 | 9,234 |
Vodafone Group plc | 1.250% | 9/26/17 | 21,565 | 21,567 |
Vodafone Group plc | 1.500% | 2/19/18 | 3,150 | 3,152 |
Vodafone Group plc | 4.625% | 7/15/18 | 210 | 223 |
Vodafone Group plc | 5.450% | 6/10/19 | 8,215 | 9,088 |
Vodafone Group plc | 4.375% | 3/16/21 | 3,025 | 3,326 |
Vodafone Group plc | 2.500% | 9/26/22 | 6,775 | 6,685 |
Vodafone Group plc | 2.950% | 2/19/23 | 9,885 | 10,019 |
Vodafone Group plc | 7.875% | 2/15/30 | 880 | 1,177 |
Vodafone Group plc | 6.250% | 11/30/32 | 7,425 | 8,657 |
Vodafone Group plc | 6.150% | 2/27/37 | 10,288 | 11,947 |
Vodafone Group plc | 4.375% | 2/19/43 | 27,470 | 26,125 |
Walt Disney Co. | 1.100% | 12/1/17 | 5,739 | 5,763 |
Walt Disney Co. | 5.875% | 12/15/17 | 5,375 | 5,750 |
Walt Disney Co. | 1.650% | 1/8/19 | 2,000 | 2,037 |
Walt Disney Co. | 1.850% | 5/30/19 | 8,899 | 9,101 |
Walt Disney Co. | 2.150% | 9/17/20 | 4,000 | 4,136 |
Walt Disney Co. | 2.300% | 2/12/21 | 5,475 | 5,698 |
Walt Disney Co. | 2.750% | 8/16/21 | 11,318 | 12,056 |
Walt Disney Co. | 2.550% | 2/15/22 | 9,806 | 10,265 |
Walt Disney Co. | 2.350% | 12/1/22 | 6,168 | 6,371 |
Walt Disney Co. | 3.150% | 9/17/25 | 5,400 | 5,917 |
Walt Disney Co. | 3.000% | 2/13/26 | 14,050 | 15,125 |
Walt Disney Co. | 7.000% | 3/1/32 | 2,843 | 4,098 |
Walt Disney Co. | 4.375% | 8/16/41 | 3,835 | 4,468 |
Walt Disney Co. | 4.125% | 12/1/41 | 13,425 | 15,090 |
Walt Disney Co. | 3.700% | 12/1/42 | 6,104 | 6,484 |
Walt Disney Co. | 4.125% | 6/1/44 | 12,975 | 14,680 |
WPP Finance 2010 | 4.750% | 11/21/21 | 14,204 | 15,790 |
WPP Finance 2010 | 3.625% | 9/7/22 | 11,006 | 11,662 |
WPP Finance 2010 | 3.750% | 9/19/24 | 2,700 | 2,865 |
WPP Finance 2010 | 5.625% | 11/15/43 | 2,250 | 2,611 |
Consumer Cyclical (2.1%) | ||||
Advance Auto Parts Inc. | 4.500% | 1/15/22 | 2,525 | 2,714 |
Advance Auto Parts Inc. | 4.500% | 12/1/23 | 5,221 | 5,610 |
Alibaba Group Holding Ltd. | 1.625% | 11/28/17 | 14,145 | 14,178 |
Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 26,125 | 26,428 |
Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 12,590 | 12,938 |
Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 13,400 | 13,767 |
Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 7,650 | 8,023 |
Amazon.com Inc. | 1.200% | 11/29/17 | 5,265 | 5,286 |
Amazon.com Inc. | 2.600% | 12/5/19 | 16,829 | 17,555 |
Amazon.com Inc. | 3.300% | 12/5/21 | 9,800 | 10,569 |
Amazon.com Inc. | 2.500% | 11/29/22 | 7,538 | 7,803 |
Amazon.com Inc. | 3.800% | 12/5/24 | 6,730 | 7,534 |
Amazon.com Inc. | 4.800% | 12/5/34 | 17,797 | 20,947 |
Amazon.com Inc. | 4.950% | 12/5/44 | 15,025 | 18,343 |
American Honda Finance Corp. | 1.200% | 7/14/17 | 5,499 | 5,510 |
American Honda Finance Corp. | 1.550% | 12/11/17 | 14,198 | 14,323 |
American Honda Finance Corp. | 1.600% | 7/13/18 | 5,700 | 5,764 |
American Honda Finance Corp. | 2.125% | 10/10/18 | 7,998 | 8,204 |
American Honda Finance Corp. | 2.250% | 8/15/19 | 9,975 | 10,283 |
American Honda Finance Corp. | 2.450% | 9/24/20 | 20,267 | 21,054 |
Automatic Data Processing Inc. | 2.250% | 9/15/20 | 9,826 | 10,213 |
Automatic Data Processing Inc. | 3.375% | 9/15/25 | 6,800 | 7,394 |
AutoNation Inc. | 6.750% | 4/15/18 | 2,600 | 2,789 |
AutoNation Inc. | 5.500% | 2/1/20 | 2,375 | 2,596 |
62
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
AutoNation Inc. | 3.350% | 1/15/21 | 2,905 | 2,971 |
AutoNation Inc. | 4.500% | 10/1/25 | 4,250 | 4,488 |
AutoZone Inc. | 7.125% | 8/1/18 | 7,950 | 8,847 |
AutoZone Inc. | 2.500% | 4/15/21 | 3,605 | 3,673 |
AutoZone Inc. | 3.700% | 4/15/22 | 10,136 | 10,802 |
AutoZone Inc. | 2.875% | 1/15/23 | 3,760 | 3,834 |
AutoZone Inc. | 3.125% | 7/15/23 | 375 | 388 |
AutoZone Inc. | 3.250% | 4/15/25 | 2,775 | 2,888 |
AutoZone Inc. | 3.125% | 4/21/26 | 3,910 | 4,010 |
Bed Bath & Beyond Inc. | 3.749% | 8/1/24 | 1,590 | 1,600 |
Bed Bath & Beyond Inc. | 4.915% | 8/1/34 | 2,350 | 2,183 |
Bed Bath & Beyond Inc. | 5.165% | 8/1/44 | 8,575 | 7,553 |
Best Buy Co. Inc. | 5.500% | 3/15/21 | 2,116 | 2,243 |
Block Financial LLC | 4.125% | 10/1/20 | 5,375 | 5,541 |
Block Financial LLC | 5.500% | 11/1/22 | 2,400 | 2,593 |
Block Financial LLC | 5.250% | 10/1/25 | 9,475 | 9,944 |
BorgWarner Inc. | 4.625% | 9/15/20 | 1,000 | 1,085 |
BorgWarner Inc. | 3.375% | 3/15/25 | 3,000 | 3,068 |
BorgWarner Inc. | 4.375% | 3/15/45 | 5,615 | 5,785 |
Brinker International Inc. | 2.600% | 5/15/18 | 5,925 | 5,988 |
Brinker International Inc. | 3.875% | 5/15/23 | 7,400 | 7,480 |
Carnival Corp. | 1.875% | 12/15/17 | 1,950 | 1,968 |
Carnival Corp. | 3.950% | 10/15/20 | 4,050 | 4,378 |
Coach Inc. | 4.250% | 4/1/25 | 4,925 | 5,064 |
Costco Wholesale Corp. | 1.125% | 12/15/17 | 3,854 | 3,873 |
Costco Wholesale Corp. | 1.700% | 12/15/19 | 7,918 | 8,101 |
Costco Wholesale Corp. | 1.750% | 2/15/20 | 5,475 | 5,581 |
Costco Wholesale Corp. | 2.250% | 2/15/22 | 2,000 | 2,060 |
Cummins Inc. | 3.650% | 10/1/23 | 4,425 | 4,798 |
Cummins Inc. | 7.125% | 3/1/28 | 1,250 | 1,755 |
Cummins Inc. | 4.875% | 10/1/43 | 5,850 | 6,745 |
CVS Health Corp. | 1.900% | 7/20/18 | 26,960 | 27,370 |
CVS Health Corp. | 2.250% | 12/5/18 | 21,450 | 21,946 |
CVS Health Corp. | 2.250% | 8/12/19 | 19,480 | 20,008 |
CVS Health Corp. | 2.800% | 7/20/20 | 25,700 | 26,766 |
CVS Health Corp. | 2.125% | 6/1/21 | 15,000 | 15,198 |
CVS Health Corp. | 3.500% | 7/20/22 | 13,875 | 14,937 |
CVS Health Corp. | 2.750% | 12/1/22 | 15,235 | 15,740 |
CVS Health Corp. | 4.750% | 12/1/22 | 5,000 | 5,702 |
CVS Health Corp. | 4.000% | 12/5/23 | 9,854 | 10,894 |
CVS Health Corp. | 3.375% | 8/12/24 | 14,060 | 14,973 |
CVS Health Corp. | 5.000% | 12/1/24 | 6,700 | 7,794 |
CVS Health Corp. | 3.875% | 7/20/25 | 24,102 | 26,553 |
CVS Health Corp. | 2.875% | 6/1/26 | 17,100 | 17,470 |
CVS Health Corp. | 5.300% | 12/5/43 | 12,295 | 15,267 |
CVS Health Corp. | 5.125% | 7/20/45 | 39,250 | 48,646 |
Daimler Finance North America LLC | 8.500% | 1/18/31 | 13,342 | 21,625 |
Delphi Automotive plc | 3.150% | 11/19/20 | 7,750 | 8,028 |
Delphi Automotive plc | 4.250% | 1/15/26 | 9,250 | 10,078 |
Delphi Corp. | 4.150% | 3/15/24 | 7,020 | 7,508 |
Dollar General Corp. | 4.125% | 7/15/17 | 1,150 | 1,183 |
Dollar General Corp. | 3.250% | 4/15/23 | 10,170 | 10,466 |
Dollar General Corp. | 4.150% | 11/1/25 | 2,200 | 2,409 |
eBay Inc. | 1.350% | 7/15/17 | 11,881 | 11,903 |
eBay Inc. | 2.500% | 3/9/18 | 3,250 | 3,318 |
eBay Inc. | 2.200% | 8/1/19 | 10,925 | 11,162 |
eBay Inc. | 3.250% | 10/15/20 | 5,380 | 5,627 |
eBay Inc. | 2.875% | 8/1/21 | 7,390 | 7,634 |
eBay Inc. | 3.800% | 3/9/22 | 5,000 | 5,284 |
eBay Inc. | 2.600% | 7/15/22 | 6,675 | 6,604 |
eBay Inc. | 3.450% | 8/1/24 | 7,900 | 8,082 |
eBay Inc. | 4.000% | 7/15/42 | 6,333 | 5,352 |
Expedia Inc. | 7.456% | 8/15/18 | 2,650 | 2,937 |
Expedia Inc. | 5.950% | 8/15/20 | 7,546 | 8,446 |
63
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Expedia Inc. | 4.500% | 8/15/24 | 4,855 | 4,976 | |
7 | Expedia Inc. | 5.000% | 2/15/26 | 10,775 | 11,196 |
Ford Holdings LLC | 9.300% | 3/1/30 | 4,125 | 5,831 | |
Ford Motor Co. | 6.625% | 10/1/28 | 5,546 | 7,002 | |
Ford Motor Co. | 6.375% | 2/1/29 | 6,944 | 8,441 | |
Ford Motor Co. | 7.450% | 7/16/31 | 22,161 | 29,608 | |
Ford Motor Co. | 4.750% | 1/15/43 | 4,770 | 5,012 | |
Ford Motor Co. | 7.400% | 11/1/46 | 6,325 | 8,882 | |
Ford Motor Credit Co. LLC | 4.250% | 2/3/17 | 10,050 | 10,213 | |
Ford Motor Credit Co. LLC | 1.461% | 3/27/17 | 2,200 | 2,206 | |
Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 12,450 | 12,624 | |
Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 18,693 | 19,733 | |
Ford Motor Credit Co. LLC | 1.724% | 12/6/17 | 10,900 | 10,922 | |
Ford Motor Credit Co. LLC | 2.145% | 1/9/18 | 1,500 | 1,513 | |
Ford Motor Credit Co. LLC | 2.375% | 1/16/18 | 11,113 | 11,251 | |
Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 23,920 | 25,326 | |
Ford Motor Credit Co. LLC | 2.875% | 10/1/18 | 8,195 | 8,409 | |
Ford Motor Credit Co. LLC | 2.551% | 10/5/18 | 13,500 | 13,737 | |
Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 24,095 | 24,422 | |
Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 10,200 | 10,430 | |
Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 18,545 | 22,081 | |
Ford Motor Credit Co. LLC | 2.459% | 3/27/20 | 1,500 | 1,511 | |
Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 2,286 | 2,362 | |
Ford Motor Credit Co. LLC | 3.200% | 1/15/21 | 16,925 | 17,380 | |
Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 24,550 | 27,911 | |
Ford Motor Credit Co. LLC | 3.336% | 3/18/21 | 14,550 | 15,101 | |
Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 21,379 | 24,504 | |
Ford Motor Credit Co. LLC | 3.219% | 1/9/22 | 6,400 | 6,564 | |
Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 8,890 | 9,585 | |
Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 14,695 | 15,941 | |
Ford Motor Credit Co. LLC | 3.664% | 9/8/24 | 4,575 | 4,731 | |
Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 11,600 | 12,443 | |
Ford Motor Credit Co. LLC | 4.389% | 1/8/26 | 10,000 | 10,921 | |
General Motors Co. | 3.500% | 10/2/18 | 8,825 | 9,079 | |
General Motors Co. | 4.875% | 10/2/23 | 15,065 | 16,007 | |
General Motors Co. | 4.000% | 4/1/25 | 4,581 | 4,615 | |
General Motors Co. | 5.000% | 4/1/35 | 11,230 | 11,230 | |
General Motors Co. | 6.600% | 4/1/36 | 4,380 | 5,059 | |
General Motors Co. | 6.250% | 10/2/43 | 11,245 | 12,538 | |
General Motors Co. | 5.200% | 4/1/45 | 26,737 | 26,650 | |
General Motors Co. | 6.750% | 4/1/46 | 10,545 | 12,575 | |
General Motors Financial Co. Inc. | 2.625% | 7/10/17 | 3,515 | 3,541 | |
General Motors Financial Co. Inc. | 4.750% | 8/15/17 | 6,518 | 6,762 | |
General Motors Financial Co. Inc. | 3.000% | 9/25/17 | 2,216 | 2,252 | |
General Motors Financial Co. Inc. | 3.250% | 5/15/18 | 5,615 | 5,720 | |
General Motors Financial Co. Inc. | 6.750% | 6/1/18 | 9,000 | 9,754 | |
General Motors Financial Co. Inc. | 3.100% | 1/15/19 | 16,850 | 17,166 | |
General Motors Financial Co. Inc. | 2.400% | 5/9/19 | 10,500 | 10,513 | |
General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 11,434 | 11,791 | |
General Motors Financial Co. Inc. | 3.150% | 1/15/20 | 10,225 | 10,340 | |
General Motors Financial Co. Inc. | 3.200% | 7/13/20 | 36,575 | 36,529 | |
General Motors Financial Co. Inc. | 3.700% | 11/24/20 | 15,120 | 15,536 | |
General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 14,500 | 15,225 | |
General Motors Financial Co. Inc. | 3.200% | 7/6/21 | 13,000 | 13,033 | |
General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 5,600 | 5,901 | |
General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 9,077 | 9,054 | |
General Motors Financial Co. Inc. | 3.700% | 5/9/23 | 10,000 | 10,063 | |
General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 8,407 | 8,617 | |
General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 10,425 | 10,542 | |
General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 9,214 | 9,460 | |
General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 8,300 | 8,964 | |
Harley-Davidson Inc. | 3.500% | 7/28/25 | 5,325 | 5,712 | |
Harley-Davidson Inc. | 4.625% | 7/28/45 | 5,660 | 6,324 | |
Harman International Industries Inc. | 4.150% | 5/15/25 | 4,075 | 4,251 |
64
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Home Depot Inc. | 2.000% | 6/15/19 | 8,050 | 8,277 |
Home Depot Inc. | 3.950% | 9/15/20 | 4,825 | 5,299 |
Home Depot Inc. | 2.000% | 4/1/21 | 8,675 | 8,900 |
Home Depot Inc. | 4.400% | 4/1/21 | 33,523 | 37,767 |
Home Depot Inc. | 2.625% | 6/1/22 | 11,700 | 12,236 |
Home Depot Inc. | 2.700% | 4/1/23 | 3,715 | 3,896 |
Home Depot Inc. | 3.750% | 2/15/24 | 10,033 | 11,233 |
Home Depot Inc. | 3.350% | 9/15/25 | 1,705 | 1,859 |
Home Depot Inc. | 3.000% | 4/1/26 | 8,900 | 9,460 |
Home Depot Inc. | 5.875% | 12/16/36 | 28,586 | 38,936 |
Home Depot Inc. | 5.400% | 9/15/40 | 4,668 | 6,060 |
Home Depot Inc. | 5.950% | 4/1/41 | 14,508 | 19,934 |
Home Depot Inc. | 4.200% | 4/1/43 | 15,800 | 17,790 |
Home Depot Inc. | 4.875% | 2/15/44 | 8,399 | 10,275 |
Home Depot Inc. | 4.400% | 3/15/45 | 5,517 | 6,375 |
Home Depot Inc. | 4.250% | 4/1/46 | 11,758 | 13,468 |
Hyatt Hotels Corp. | 5.375% | 8/15/21 | 1,347 | 1,523 |
Hyatt Hotels Corp. | 3.375% | 7/15/23 | 3,646 | 3,689 |
Hyatt Hotels Corp. | 4.850% | 3/15/26 | 1,700 | 1,850 |
Johnson Controls Inc. | 5.000% | 3/30/20 | 18,687 | 20,431 |
Johnson Controls Inc. | 4.250% | 3/1/21 | 750 | 810 |
Johnson Controls Inc. | 3.750% | 12/1/21 | 50 | 53 |
Johnson Controls Inc. | 6.000% | 1/15/36 | 1,920 | 2,277 |
Johnson Controls Inc. | 5.700% | 3/1/41 | 1,500 | 1,753 |
Johnson Controls Inc. | 5.250% | 12/1/41 | 5,183 | 5,808 |
Johnson Controls Inc. | 4.625% | 7/2/44 | 1,612 | 1,710 |
Johnson Controls Inc. | 4.950% | 7/2/64 | 4,020 | 4,018 |
Kohl's Corp. | 4.000% | 11/1/21 | 7,255 | 7,590 |
Kohl's Corp. | 3.250% | 2/1/23 | 2,518 | 2,503 |
Kohl's Corp. | 4.750% | 12/15/23 | 3,113 | 3,302 |
Kohl's Corp. | 4.250% | 7/17/25 | 2,800 | 2,772 |
Kohl's Corp. | 5.550% | 7/17/45 | 4,000 | 3,686 |
Lowe's Cos. Inc. | 6.100% | 9/15/17 | 3,350 | 3,559 |
Lowe's Cos. Inc. | 1.150% | 4/15/19 | 4,000 | 4,006 |
Lowe's Cos. Inc. | 4.625% | 4/15/20 | 100 | 110 |
Lowe's Cos. Inc. | 3.750% | 4/15/21 | 1,000 | 1,107 |
Lowe's Cos. Inc. | 3.800% | 11/15/21 | 3,350 | 3,679 |
Lowe's Cos. Inc. | 3.120% | 4/15/22 | 5,675 | 6,064 |
Lowe's Cos. Inc. | 3.875% | 9/15/23 | 14,444 | 16,121 |
Lowe's Cos. Inc. | 3.125% | 9/15/24 | 12,569 | 13,421 |
Lowe's Cos. Inc. | 3.375% | 9/15/25 | 6,600 | 7,216 |
Lowe's Cos. Inc. | 2.500% | 4/15/26 | 13,417 | 13,668 |
Lowe's Cos. Inc. | 6.875% | 2/15/28 | 560 | 772 |
Lowe's Cos. Inc. | 6.500% | 3/15/29 | 3,294 | 4,501 |
Lowe's Cos. Inc. | 5.500% | 10/15/35 | 318 | 402 |
Lowe's Cos. Inc. | 5.800% | 10/15/36 | 8,699 | 11,299 |
Lowe's Cos. Inc. | 5.800% | 4/15/40 | 1,775 | 2,330 |
Lowe's Cos. Inc. | 5.125% | 11/15/41 | 5,800 | 7,116 |
Lowe's Cos. Inc. | 4.650% | 4/15/42 | 13,923 | 16,126 |
Lowe's Cos. Inc. | 5.000% | 9/15/43 | 3,000 | 3,681 |
Lowe's Cos. Inc. | 4.250% | 9/15/44 | 3,525 | 3,913 |
Lowe's Cos. Inc. | 4.375% | 9/15/45 | 7,825 | 8,941 |
Lowe's Cos. Inc. | 3.700% | 4/15/46 | 14,246 | 14,656 |
Macy's Retail Holdings Inc. | 7.450% | 7/15/17 | 6,300 | 6,678 |
Macy's Retail Holdings Inc. | 3.450% | 1/15/21 | 4,775 | 4,912 |
Macy's Retail Holdings Inc. | 3.875% | 1/15/22 | 7,618 | 7,833 |
Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 1,280 | 1,217 |
Macy's Retail Holdings Inc. | 4.375% | 9/1/23 | 1,175 | 1,220 |
Macy's Retail Holdings Inc. | 6.650% | 7/15/24 | 105 | 122 |
Macy's Retail Holdings Inc. | 6.900% | 4/1/29 | 15,660 | 17,172 |
Macy's Retail Holdings Inc. | 6.900% | 1/15/32 | 25 | 27 |
Macy's Retail Holdings Inc. | 6.700% | 7/15/34 | 118 | 126 |
Macy's Retail Holdings Inc. | 4.500% | 12/15/34 | 6,250 | 5,477 |
Macy's Retail Holdings Inc. | 6.375% | 3/15/37 | 4,875 | 5,012 |
65
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Macy's Retail Holdings Inc. | 5.125% | 1/15/42 | 2,640 | 2,327 |
Macy's Retail Holdings Inc. | 4.300% | 2/15/43 | 3,143 | 2,489 |
Magna International Inc. | 3.625% | 6/15/24 | 6,350 | 6,737 |
Magna International Inc. | 4.150% | 10/1/25 | 3,500 | 3,848 |
Marriott International Inc. | 3.000% | 3/1/19 | 2,721 | 2,809 |
Marriott International Inc. | 3.375% | 10/15/20 | 9,658 | 10,178 |
Marriott International Inc. | 2.875% | 3/1/21 | 4,600 | 4,757 |
Marriott International Inc. | 3.125% | 10/15/21 | 4,892 | 5,073 |
Marriott International Inc. | 2.300% | 1/15/22 | 3,000 | 3,014 |
Marriott International Inc. | 3.250% | 9/15/22 | 3,000 | 3,116 |
Marriott International Inc. | 3.750% | 10/1/25 | 4,560 | 4,878 |
Marriott International Inc. | 3.125% | 6/15/26 | 7,130 | 7,228 |
MasterCard Inc. | 2.000% | 4/1/19 | 6,875 | 7,040 |
MasterCard Inc. | 3.375% | 4/1/24 | 9,035 | 9,796 |
McDonald's Corp. | 5.300% | 3/15/17 | 3,350 | 3,452 |
McDonald's Corp. | 5.800% | 10/15/17 | 5,798 | 6,144 |
McDonald's Corp. | 5.350% | 3/1/18 | 9,445 | 10,094 |
McDonald's Corp. | 2.100% | 12/7/18 | 2,000 | 2,043 |
McDonald's Corp. | 5.000% | 2/1/19 | 4,165 | 4,568 |
McDonald's Corp. | 1.875% | 5/29/19 | 7,310 | 7,424 |
McDonald's Corp. | 3.500% | 7/15/20 | 115 | 123 |
McDonald's Corp. | 2.750% | 12/9/20 | 5,967 | 6,225 |
McDonald's Corp. | 3.625% | 5/20/21 | 750 | 811 |
McDonald's Corp. | 2.625% | 1/15/22 | 6,105 | 6,309 |
McDonald's Corp. | 3.250% | 6/10/24 | 750 | 801 |
McDonald's Corp. | 3.375% | 5/26/25 | 8,165 | 8,681 |
McDonald's Corp. | 3.700% | 1/30/26 | 19,563 | 21,091 |
McDonald's Corp. | 4.700% | 12/9/35 | 11,925 | 13,444 |
McDonald's Corp. | 6.300% | 10/15/37 | 4,753 | 6,302 |
McDonald's Corp. | 6.300% | 3/1/38 | 11,450 | 15,163 |
McDonald's Corp. | 5.700% | 2/1/39 | 7,602 | 9,447 |
McDonald's Corp. | 3.700% | 2/15/42 | 6,289 | 6,188 |
McDonald's Corp. | 3.625% | 5/1/43 | 4,933 | 4,757 |
McDonald's Corp. | 4.600% | 5/26/45 | 5,084 | 5,680 |
McDonald's Corp. | 4.875% | 12/9/45 | 17,100 | 19,841 |
Metropolitan Museum of Art New York Revenue | 3.400% | 7/1/45 | 3,400 | 3,595 |
NIKE Inc. | 2.250% | 5/1/23 | 730 | 749 |
NIKE Inc. | 3.625% | 5/1/43 | 1,718 | 1,813 |
NIKE Inc. | 3.875% | 11/1/45 | 14,803 | 16,386 |
Nordstrom Inc. | 6.250% | 1/15/18 | 8,125 | 8,690 |
Nordstrom Inc. | 4.750% | 5/1/20 | 4,575 | 4,979 |
Nordstrom Inc. | 4.000% | 10/15/21 | 12,166 | 13,005 |
Nordstrom Inc. | 6.950% | 3/15/28 | 1,425 | 1,756 |
Nordstrom Inc. | 5.000% | 1/15/44 | 6,335 | 6,203 |
NVR Inc. | 3.950% | 9/15/22 | 7,751 | 8,212 |
O'Reilly Automotive Inc. | 4.875% | 1/14/21 | 900 | 1,004 |
O'Reilly Automotive Inc. | 4.625% | 9/15/21 | 5,593 | 6,179 |
O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 3,906 | 4,191 |
O'Reilly Automotive Inc. | 3.850% | 6/15/23 | 6,325 | 6,810 |
O'Reilly Automotive Inc. | 3.550% | 3/15/26 | 1,650 | 1,738 |
PACCAR Financial Corp. | 1.400% | 11/17/17 | 3,795 | 3,824 |
PACCAR Financial Corp. | 1.450% | 3/9/18 | 3,175 | 3,199 |
PACCAR Financial Corp. | 1.400% | 5/18/18 | 3,000 | 3,022 |
PACCAR Financial Corp. | 1.750% | 8/14/18 | 1,100 | 1,116 |
PACCAR Financial Corp. | 1.300% | 5/10/19 | 8,850 | 8,874 |
PACCAR Financial Corp. | 2.200% | 9/15/19 | 2,350 | 2,413 |
PACCAR Financial Corp. | 2.500% | 8/14/20 | 3,200 | 3,304 |
PACCAR Financial Corp. | 2.250% | 2/25/21 | 3,000 | 3,043 |
Priceline Group Inc. | 3.650% | 3/15/25 | 1,325 | 1,403 |
Priceline Group Inc. | 3.600% | 6/1/26 | 20,775 | 21,413 |
QVC Inc. | 3.125% | 4/1/19 | 3,135 | 3,218 |
QVC Inc. | 5.125% | 7/2/22 | 2,260 | 2,410 |
QVC Inc. | 4.375% | 3/15/23 | 1,570 | 1,581 |
QVC Inc. | 4.850% | 4/1/24 | 6,963 | 7,219 |
66
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
QVC Inc. | 5.450% | 8/15/34 | 2,800 | 2,578 |
QVC Inc. | 5.950% | 3/15/43 | 4,478 | 4,166 |
Ralph Lauren Corp. | 2.125% | 9/26/18 | 2,900 | 2,959 |
Ralph Lauren Corp. | 2.625% | 8/18/20 | 3,000 | 3,124 |
Ross Stores Inc. | 3.375% | 9/15/24 | 2,115 | 2,215 |
Signet UK Finance plc | 4.700% | 6/15/24 | 3,665 | 3,580 |
Staples Inc. | 2.750% | 1/12/18 | 10,700 | 10,790 |
Staples Inc. | 4.375% | 1/12/23 | 3,300 | 3,366 |
Starbucks Corp. | 2.000% | 12/5/18 | 4,975 | 5,087 |
Starbucks Corp. | 2.100% | 2/4/21 | 6,700 | 6,885 |
Starbucks Corp. | 2.700% | 6/15/22 | 3,275 | 3,455 |
Starbucks Corp. | 3.850% | 10/1/23 | 5,980 | 6,711 |
Starbucks Corp. | 2.450% | 6/15/26 | 6,100 | 6,167 |
Starbucks Corp. | 4.300% | 6/15/45 | 3,231 | 3,838 |
Starwood Hotels & Resorts Worldwide Inc. | 3.125% | 2/15/23 | 6,416 | 6,492 |
Starwood Hotels & Resorts Worldwide Inc. | 3.750% | 3/15/25 | 4,300 | 4,520 |
Starwood Hotels & Resorts Worldwide Inc. | 4.500% | 10/1/34 | 2,850 | 2,906 |
Target Corp. | 6.000% | 1/15/18 | 6,565 | 7,065 |
Target Corp. | 2.300% | 6/26/19 | 8,060 | 8,327 |
Target Corp. | 3.875% | 7/15/20 | 2,675 | 2,922 |
Target Corp. | 2.900% | 1/15/22 | 10,505 | 11,160 |
Target Corp. | 3.500% | 7/1/24 | 10,990 | 12,137 |
Target Corp. | 2.500% | 4/15/26 | 9,550 | 9,780 |
Target Corp. | 6.350% | 11/1/32 | 6,191 | 8,396 |
Target Corp. | 6.500% | 10/15/37 | 5,137 | 7,278 |
Target Corp. | 7.000% | 1/15/38 | 4,245 | 6,359 |
Target Corp. | 4.000% | 7/1/42 | 14,569 | 15,720 |
Target Corp. | 3.625% | 4/15/46 | 9,600 | 9,816 |
Tiffany & Co. | 4.900% | 10/1/44 | 2,535 | 2,538 |
TJX Cos. Inc. | 6.950% | 4/15/19 | 10,140 | 11,713 |
TJX Cos. Inc. | 2.750% | 6/15/21 | 9,570 | 10,113 |
TJX Cos. Inc. | 2.500% | 5/15/23 | 1,450 | 1,512 |
Toyota Motor Credit Corp. | 1.250% | 10/5/17 | 6,300 | 6,323 |
Toyota Motor Credit Corp. | 1.375% | 1/10/18 | 13,305 | 13,388 |
Toyota Motor Credit Corp. | 1.450% | 1/12/18 | 8,550 | 8,612 |
Toyota Motor Credit Corp. | 1.200% | 4/6/18 | 5,000 | 5,019 |
Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 5,875 | 5,992 |
Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 10,425 | 10,649 |
Toyota Motor Credit Corp. | 1.700% | 2/19/19 | 14,000 | 14,171 |
Toyota Motor Credit Corp. | 1.400% | 5/20/19 | 20,000 | 20,110 |
Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 14,985 | 15,372 |
Toyota Motor Credit Corp. | 2.150% | 3/12/20 | 18,000 | 18,505 |
Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 10,285 | 11,482 |
Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 2,575 | 2,871 |
Toyota Motor Credit Corp. | 1.900% | 4/8/21 | 15,950 | 16,156 |
Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 7,275 | 7,628 |
Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 8,636 | 9,387 |
Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 14,830 | 15,980 |
Toyota Motor Credit Corp. | 2.800% | 7/13/22 | 2,875 | 3,024 |
Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 8,625 | 9,014 |
Under Armour Inc. | 3.250% | 6/15/26 | 5,795 | 5,847 |
VF Corp. | 5.950% | 11/1/17 | 3,955 | 4,208 |
VF Corp. | 3.500% | 9/1/21 | 6,750 | 7,332 |
VF Corp. | 6.450% | 11/1/37 | 5,269 | 7,265 |
Visa Inc. | 1.200% | 12/14/17 | 41,250 | 41,450 |
Visa Inc. | 2.200% | 12/14/20 | 32,625 | 33,607 |
Visa Inc. | 2.800% | 12/14/22 | 30,575 | 32,166 |
Visa Inc. | 3.150% | 12/14/25 | 43,200 | 45,978 |
Visa Inc. | 4.150% | 12/14/35 | 13,029 | 14,744 |
Visa Inc. | 4.300% | 12/14/45 | 34,022 | 39,323 |
Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 20,850 | 22,539 |
Wal-Mart Stores Inc. | 1.125% | 4/11/18 | 1,651 | 1,659 |
Wal-Mart Stores Inc. | 1.950% | 12/15/18 | 1,032 | 1,060 |
Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 38,219 | 41,814 |
67
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 30,025 | 32,451 |
Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 9,608 | 10,886 |
Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 15,560 | 16,214 |
Wal-Mart Stores Inc. | 3.300% | 4/22/24 | 15,673 | 17,178 |
Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 21,730 | 28,760 |
Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 12,890 | 19,637 |
Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 13,955 | 18,338 |
Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 30,873 | 44,678 |
Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 8,394 | 11,893 |
Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 6,650 | 8,904 |
Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 5,475 | 6,753 |
Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 8,700 | 10,858 |
Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 28,996 | 38,920 |
Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 10,151 | 11,217 |
Wal-Mart Stores Inc. | 4.750% | 10/2/43 | 15,240 | 18,785 |
Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 8,232 | 9,608 |
Walgreen Co. | 5.250% | 1/15/19 | 3,862 | 4,187 |
Walgreen Co. | 3.100% | 9/15/22 | 10,622 | 10,941 |
Walgreen Co. | 4.400% | 9/15/42 | 7,750 | 7,860 |
Walgreens Boots Alliance Inc. | 1.750% | 11/17/17 | 5,090 | 5,125 |
Walgreens Boots Alliance Inc. | 1.750% | 5/30/18 | 11,500 | 11,592 |
Walgreens Boots Alliance Inc. | 2.700% | 11/18/19 | 13,455 | 13,905 |
Walgreens Boots Alliance Inc. | 2.600% | 6/1/21 | 10,100 | 10,290 |
Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 12,895 | 13,521 |
Walgreens Boots Alliance Inc. | 3.100% | 6/1/23 | 899 | 914 |
Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 13,839 | 14,668 |
Walgreens Boots Alliance Inc. | 3.450% | 6/1/26 | 19,150 | 19,643 |
Walgreens Boots Alliance Inc. | 4.500% | 11/18/34 | 1,870 | 1,959 |
Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 15,481 | 16,586 |
Walgreens Boots Alliance Inc. | 4.650% | 6/1/46 | 9,325 | 9,971 |
Western Union Co. | 3.650% | 8/22/18 | 400 | 415 |
Western Union Co. | 5.253% | 4/1/20 | 4,126 | 4,578 |
Western Union Co. | 6.200% | 11/17/36 | 5,873 | 6,261 |
Western Union Co. | 6.200% | 6/21/40 | 4,475 | 4,617 |
Wyndham Worldwide Corp. | 2.950% | 3/1/17 | 915 | 923 |
Wyndham Worldwide Corp. | 2.500% | 3/1/18 | 1,950 | 1,974 |
Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 13,798 | 14,605 |
Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 2,725 | 2,801 |
Consumer Noncyclical (4.4%) | ||||
Abbott Laboratories | 5.125% | 4/1/19 | 19,628 | 21,570 |
Abbott Laboratories | 2.000% | 3/15/20 | 6,500 | 6,578 |
Abbott Laboratories | 4.125% | 5/27/20 | 9,493 | 10,333 |
Abbott Laboratories | 2.550% | 3/15/22 | 6,050 | 6,181 |
Abbott Laboratories | 2.950% | 3/15/25 | 2,100 | 2,144 |
Abbott Laboratories | 6.150% | 11/30/37 | 5,221 | 6,871 |
Abbott Laboratories | 6.000% | 4/1/39 | 1,175 | 1,547 |
Abbott Laboratories | 5.300% | 5/27/40 | 1,403 | 1,709 |
AbbVie Inc. | 1.750% | 11/6/17 | 29,532 | 29,721 |
AbbVie Inc. | 1.800% | 5/14/18 | 29,679 | 29,872 |
AbbVie Inc. | 2.000% | 11/6/18 | 14,850 | 14,995 |
AbbVie Inc. | 2.500% | 5/14/20 | 40,313 | 41,219 |
AbbVie Inc. | 2.300% | 5/14/21 | 9,075 | 9,153 |
AbbVie Inc. | 2.900% | 11/6/22 | 24,100 | 24,530 |
AbbVie Inc. | 3.200% | 11/6/22 | 23,597 | 24,401 |
AbbVie Inc. | 2.850% | 5/14/23 | 17,375 | 17,608 |
AbbVie Inc. | 3.600% | 5/14/25 | 34,525 | 36,193 |
AbbVie Inc. | 3.200% | 5/14/26 | 18,825 | 19,071 |
AbbVie Inc. | 4.500% | 5/14/35 | 22,899 | 23,912 |
AbbVie Inc. | 4.300% | 5/14/36 | 7,106 | 7,260 |
AbbVie Inc. | 4.400% | 11/6/42 | 27,983 | 28,514 |
AbbVie Inc. | 4.700% | 5/14/45 | 28,766 | 30,416 |
AbbVie Inc. | 4.450% | 5/14/46 | 14,850 | 15,174 |
Actavis Funding SCS | 1.300% | 6/15/17 | 16,810 | 16,770 |
68
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Actavis Funding SCS | 2.350% | 3/12/18 | 27,815 | 28,177 | |
Actavis Funding SCS | 2.450% | 6/15/19 | 4,100 | 4,157 | |
Actavis Funding SCS | 3.000% | 3/12/20 | 34,320 | 35,346 | |
Actavis Funding SCS | 3.450% | 3/15/22 | 23,254 | 24,162 | |
Actavis Funding SCS | 3.850% | 6/15/24 | 12,501 | 13,125 | |
Actavis Funding SCS | 3.800% | 3/15/25 | 43,077 | 44,765 | |
Actavis Funding SCS | 4.550% | 3/15/35 | 22,553 | 23,348 | |
Actavis Funding SCS | 4.850% | 6/15/44 | 19,707 | 20,791 | |
Actavis Funding SCS | 4.750% | 3/15/45 | 21,197 | 22,119 | |
Actavis Inc. | 1.875% | 10/1/17 | 12,065 | 12,125 | |
Actavis Inc. | 6.125% | 8/15/19 | 5,410 | 6,051 | |
Actavis Inc. | 3.250% | 10/1/22 | 18,763 | 19,143 | |
Actavis Inc. | 4.625% | 10/1/42 | 11,988 | 12,312 | |
Agilent Technologies Inc. | 5.000% | 7/15/20 | 9,905 | 10,959 | |
Agilent Technologies Inc. | 3.200% | 10/1/22 | 6,200 | 6,351 | |
Agilent Technologies Inc. | 3.875% | 7/15/23 | 5,781 | 6,112 | |
Ahold Finance USA LLC | 6.875% | 5/1/29 | 200 | 265 | |
Allergan Inc. | 3.375% | 9/15/20 | 3,335 | 3,483 | |
Allergan Inc. | 2.800% | 3/15/23 | 4,250 | 4,203 | |
4 | Allina Health System | 4.805% | 11/15/45 | 1,700 | 2,053 |
Altria Group Inc. | 9.250% | 8/6/19 | 10,904 | 13,436 | |
Altria Group Inc. | 2.625% | 1/14/20 | 9,735 | 10,112 | |
Altria Group Inc. | 4.750% | 5/5/21 | 14,500 | 16,540 | |
Altria Group Inc. | 2.850% | 8/9/22 | 17,515 | 18,352 | |
Altria Group Inc. | 2.950% | 5/2/23 | 7,860 | 8,259 | |
Altria Group Inc. | 4.000% | 1/31/24 | 10,087 | 11,289 | |
Altria Group Inc. | 9.950% | 11/10/38 | 6,134 | 11,066 | |
Altria Group Inc. | 10.200% | 2/6/39 | 8,000 | 14,887 | |
Altria Group Inc. | 4.250% | 8/9/42 | 9,608 | 10,405 | |
Altria Group Inc. | 4.500% | 5/2/43 | 10,392 | 11,762 | |
Altria Group Inc. | 5.375% | 1/31/44 | 13,323 | 17,133 | |
AmerisourceBergen Corp. | 4.875% | 11/15/19 | 5,395 | 5,945 | |
AmerisourceBergen Corp. | 3.500% | 11/15/21 | 7,419 | 7,942 | |
AmerisourceBergen Corp. | 3.400% | 5/15/24 | 5,725 | 6,055 | |
AmerisourceBergen Corp. | 3.250% | 3/1/25 | 5,990 | 6,278 | |
AmerisourceBergen Corp. | 4.250% | 3/1/45 | 4,784 | 5,081 | |
Amgen Inc. | 5.700% | 2/1/19 | 19,538 | 21,649 | |
Amgen Inc. | 2.200% | 5/22/19 | 13,433 | 13,776 | |
Amgen Inc. | 2.125% | 5/1/20 | 8,585 | 8,734 | |
Amgen Inc. | 3.450% | 10/1/20 | 2,200 | 2,355 | |
Amgen Inc. | 4.100% | 6/15/21 | 12,330 | 13,523 | |
Amgen Inc. | 3.875% | 11/15/21 | 10,955 | 11,951 | |
Amgen Inc. | 2.700% | 5/1/22 | 3,220 | 3,316 | |
Amgen Inc. | 3.625% | 5/15/22 | 17,929 | 19,303 | |
Amgen Inc. | 3.625% | 5/22/24 | 10,080 | 10,823 | |
Amgen Inc. | 3.125% | 5/1/25 | 9,082 | 9,466 | |
Amgen Inc. | 4.950% | 10/1/41 | 6,090 | 6,637 | |
Amgen Inc. | 4.400% | 5/1/45 | 4,598 | 4,799 | |
7 | Amgen Inc. | 4.563% | 6/15/48 | 35,842 | 37,286 |
7 | Amgen Inc. | 4.663% | 6/15/51 | 55,774 | 58,287 |
Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 12,468 | 13,287 | |
Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 2,520 | 2,753 | |
Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 2,275 | 3,014 | |
Anheuser-Busch Cos. LLC | 5.950% | 1/15/33 | 10 | 12 | |
Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 5,995 | 7,418 | |
Anheuser-Busch Cos. LLC | 6.450% | 9/1/37 | 670 | 889 | |
Anheuser-Busch Cos. LLC | 6.500% | 5/1/42 | 2,336 | 3,210 | |
Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 8,450 | 8,471 | |
Anheuser-Busch InBev Finance Inc. | 1.900% | 2/1/19 | 39,385 | 40,047 | |
Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 22,630 | 23,112 | |
Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 71,390 | 73,969 | |
Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 26,396 | 26,761 | |
Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 59,850 | 62,901 | |
Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 11,900 | 12,832 |
69
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 119,040 | 127,223 | |
Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 58,761 | 66,110 | |
Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 11,385 | 11,785 | |
Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 6,680 | 7,556 | |
Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 120,062 | 140,811 | |
Anheuser-Busch InBev Worldwide Inc. | 1.375% | 7/15/17 | 23,633 | 23,705 | |
Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 18,592 | 21,509 | |
Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 6,925 | 8,116 | |
Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 17,822 | 20,144 | |
Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 9,765 | 10,930 | |
Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 2,624 | 2,908 | |
Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 30,869 | 31,367 | |
Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 2,818 | 4,496 | |
Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 10,603 | 14,224 | |
Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 20,255 | 20,326 | |
Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 6,877 | 7,352 | |
Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 3,818 | 4,308 | |
Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 3,505 | 4,440 | |
Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 2,438 | 2,984 | |
Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 3,700 | 4,257 | |
Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 4,094 | 4,400 | |
Ascension Health | 3.945% | 11/15/46 | 800 | 860 | |
4 | Ascension Health | 4.847% | 11/15/53 | 8,450 | 10,604 |
AstraZeneca plc | 5.900% | 9/15/17 | 3,578 | 3,782 | |
AstraZeneca plc | 1.750% | 11/16/18 | 14,825 | 15,030 | |
AstraZeneca plc | 1.950% | 9/18/19 | 4,795 | 4,853 | |
AstraZeneca plc | 2.375% | 11/16/20 | 25,225 | 25,721 | |
AstraZeneca plc | 3.375% | 11/16/25 | 17,700 | 18,510 | |
AstraZeneca plc | 6.450% | 9/15/37 | 24,604 | 33,512 | |
AstraZeneca plc | 4.000% | 9/18/42 | 9,806 | 10,082 | |
AstraZeneca plc | 4.375% | 11/16/45 | 8,379 | 9,150 | |
Baxalta Inc. | 2.000% | 6/22/18 | 2,955 | 2,962 | |
Baxalta Inc. | 2.875% | 6/23/20 | 9,365 | 9,517 | |
Baxalta Inc. | 3.600% | 6/23/22 | 4,765 | 4,927 | |
Baxalta Inc. | 4.000% | 6/23/25 | 16,487 | 17,226 | |
Baxalta Inc. | 5.250% | 6/23/45 | 8,975 | 9,738 | |
Baylor Scott & White Holdings Texas Revenue | 4.185% | 11/15/45 | 3 | 3 | |
Beam Suntory Inc. | 1.875% | 5/15/17 | 1,025 | 1,029 | |
Beam Suntory Inc. | 1.750% | 6/15/18 | 2,775 | 2,790 | |
Beam Suntory Inc. | 3.250% | 5/15/22 | 2,050 | 2,109 | |
Beam Suntory Inc. | 3.250% | 6/15/23 | 550 | 568 | |
Becton Dickinson & Co. | 1.800% | 12/15/17 | 14,816 | 14,940 | |
Becton Dickinson & Co. | 5.000% | 5/15/19 | 1,575 | 1,719 | |
Becton Dickinson & Co. | 6.375% | 8/1/19 | 15,747 | 17,816 | |
Becton Dickinson & Co. | 2.675% | 12/15/19 | 10,868 | 11,172 | |
Becton Dickinson & Co. | 3.250% | 11/12/20 | 6,349 | 6,680 | |
Becton Dickinson & Co. | 3.125% | 11/8/21 | 18,393 | 19,281 | |
Becton Dickinson & Co. | 3.875% | 5/15/24 | 125 | 136 | |
Becton Dickinson & Co. | 3.734% | 12/15/24 | 16,470 | 17,754 | |
Becton Dickinson & Co. | 6.000% | 5/15/39 | 3,095 | 3,963 | |
Becton Dickinson & Co. | 5.000% | 11/12/40 | 675 | 766 | |
Becton Dickinson & Co. | 4.875% | 5/15/44 | 300 | 346 | |
Becton Dickinson & Co. | 4.685% | 12/15/44 | 13,900 | 15,716 | |
Bio-Rad Laboratories Inc. | 4.875% | 12/15/20 | 400 | 439 | |
Biogen Inc. | 6.875% | 3/1/18 | 10,350 | 11,270 | |
Biogen Inc. | 2.900% | 9/15/20 | 17,865 | 18,616 | |
Biogen Inc. | 3.625% | 9/15/22 | 8,825 | 9,374 | |
Biogen Inc. | 4.050% | 9/15/25 | 14,425 | 15,591 | |
Biogen Inc. | 5.200% | 9/15/45 | 21,053 | 23,697 | |
Boston Scientific Corp. | 2.650% | 10/1/18 | 9,650 | 9,873 | |
Boston Scientific Corp. | 6.000% | 1/15/20 | 9,984 | 11,325 | |
Boston Scientific Corp. | 3.375% | 5/15/22 | 3,350 | 3,482 | |
Boston Scientific Corp. | 4.125% | 10/1/23 | 2,650 | 2,883 | |
Boston Scientific Corp. | 3.850% | 5/15/25 | 6,050 | 6,397 |
70
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Boston Scientific Corp. | 7.000% | 11/15/35 | 7,650 | 9,987 | |
Boston Scientific Corp. | 7.375% | 1/15/40 | 4,180 | 5,559 | |
Bottling Group LLC | 5.125% | 1/15/19 | 5,450 | 5,987 | |
Bristol-Myers Squibb Co. | 0.875% | 8/1/17 | 10,008 | 10,020 | |
Bristol-Myers Squibb Co. | 1.750% | 3/1/19 | 1,790 | 1,823 | |
Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 10,965 | 11,146 | |
Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 400 | 528 | |
Bristol-Myers Squibb Co. | 3.250% | 11/1/23 | 1,500 | 1,657 | |
Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 8,602 | 11,575 | |
Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 1,858 | 2,539 | |
Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 5,621 | 5,602 | |
Bristol-Myers Squibb Co. | 6.875% | 8/1/97 | 655 | 1,002 | |
Brown-Forman Corp. | 1.000% | 1/15/18 | 1,300 | 1,300 | |
Brown-Forman Corp. | 2.250% | 1/15/23 | 2,435 | 2,462 | |
Brown-Forman Corp. | 3.750% | 1/15/43 | 2,775 | 2,837 | |
Brown-Forman Corp. | 4.500% | 7/15/45 | 4,350 | 4,973 | |
Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 9,480 | 11,132 | |
Bunge Ltd. Finance Corp. | 3.500% | 11/24/20 | 2,900 | 3,035 | |
Campbell Soup Co. | 3.050% | 7/15/17 | 1,275 | 1,301 | |
Campbell Soup Co. | 4.250% | 4/15/21 | 1,741 | 1,922 | |
Campbell Soup Co. | 2.500% | 8/2/22 | 3,575 | 3,633 | |
Campbell Soup Co. | 3.300% | 3/19/25 | 3,975 | 4,205 | |
Campbell Soup Co. | 3.800% | 8/2/42 | 3,228 | 3,223 | |
Cardinal Health Inc. | 1.700% | 3/15/18 | 3,340 | 3,362 | |
Cardinal Health Inc. | 1.950% | 6/15/18 | 3,000 | 3,030 | |
Cardinal Health Inc. | 4.625% | 12/15/20 | 13,665 | 15,341 | |
Cardinal Health Inc. | 3.200% | 6/15/22 | 2,470 | 2,612 | |
Cardinal Health Inc. | 3.200% | 3/15/23 | 7,533 | 7,892 | |
Cardinal Health Inc. | 3.750% | 9/15/25 | 6,900 | 7,530 | |
Cardinal Health Inc. | 4.600% | 3/15/43 | 1,300 | 1,388 | |
Cardinal Health Inc. | 4.500% | 11/15/44 | 3,525 | 3,700 | |
Cardinal Health Inc. | 4.900% | 9/15/45 | 4,150 | 4,637 | |
Catholic Health Initiatives Colorado GO | 2.950% | 11/1/22 | 3,487 | 3,569 | |
4 | Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 9,350 | 9,437 |
Celgene Corp. | 1.900% | 8/15/17 | 2,625 | 2,645 | |
Celgene Corp. | 2.125% | 8/15/18 | 6,400 | 6,497 | |
Celgene Corp. | 2.300% | 8/15/18 | 3,075 | 3,131 | |
Celgene Corp. | 2.250% | 5/15/19 | 7,775 | 7,921 | |
Celgene Corp. | 2.875% | 8/15/20 | 11,358 | 11,756 | |
Celgene Corp. | 3.950% | 10/15/20 | 16,470 | 17,778 | |
Celgene Corp. | 3.250% | 8/15/22 | 7,225 | 7,483 | |
Celgene Corp. | 3.550% | 8/15/22 | 6,285 | 6,579 | |
Celgene Corp. | 4.000% | 8/15/23 | 5,345 | 5,704 | |
Celgene Corp. | 3.625% | 5/15/24 | 15,875 | 16,593 | |
Celgene Corp. | 3.875% | 8/15/25 | 26,126 | 27,903 | |
Celgene Corp. | 5.700% | 10/15/40 | 3,250 | 3,765 | |
Celgene Corp. | 5.250% | 8/15/43 | 5,425 | 6,059 | |
Celgene Corp. | 4.625% | 5/15/44 | 8,980 | 9,245 | |
Celgene Corp. | 5.000% | 8/15/45 | 17,275 | 19,061 | |
Children's Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 2,100 | 2,346 | |
Church & Dwight Co. Inc. | 2.450% | 12/15/19 | 4,825 | 4,943 | |
Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 4,985 | 5,560 | |
Clorox Co. | 5.950% | 10/15/17 | 15,525 | 16,508 | |
Clorox Co. | 3.800% | 11/15/21 | 450 | 489 | |
Clorox Co. | 3.050% | 9/15/22 | 1,072 | 1,122 | |
Clorox Co. | 3.500% | 12/15/24 | 6,425 | 6,878 | |
Coca-Cola Bottling Co. Consolidated | 3.800% | 11/25/25 | 5,300 | 5,674 | |
Coca-Cola Co. | 1.150% | 4/1/18 | 7,896 | 7,942 | |
Coca-Cola Co. | 1.650% | 11/1/18 | 25,664 | 26,049 | |
Coca-Cola Co. | 1.375% | 5/30/19 | 5,100 | 5,155 | |
Coca-Cola Co. | 1.875% | 10/27/20 | 3,750 | 3,843 | |
Coca-Cola Co. | 2.450% | 11/1/20 | 15,120 | 15,794 | |
Coca-Cola Co. | 3.150% | 11/15/20 | 8,364 | 8,994 | |
Coca-Cola Co. | 3.300% | 9/1/21 | 6,027 | 6,540 |
71
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Coca-Cola Co. | 2.500% | 4/1/23 | 1,600 | 1,659 |
Coca-Cola Co. | 3.200% | 11/1/23 | 14,219 | 15,320 |
Coca-Cola Co. | 2.875% | 10/27/25 | 21,170 | 22,230 |
Coca-Cola Co. | 2.550% | 6/1/26 | 6,000 | 6,172 |
Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 5,600 | 5,945 |
Coca-Cola Enterprises Inc. | 3.250% | 8/19/21 | 1,575 | 1,655 |
Coca-Cola Enterprises Inc. | 4.500% | 9/1/21 | 2,045 | 2,284 |
Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 600 | 610 |
Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 1,300 | 1,403 |
Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 16,500 | 17,693 |
Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 13,150 | 15,603 |
Coca-Cola Refreshments USA Inc. | 8.500% | 2/1/22 | 6,361 | 8,485 |
Colgate-Palmolive Co. | 2.625% | 5/1/17 | 700 | 711 |
Colgate-Palmolive Co. | 1.750% | 3/15/19 | 1,000 | 1,023 |
Colgate-Palmolive Co. | 2.950% | 11/1/20 | 2,370 | 2,548 |
Colgate-Palmolive Co. | 2.450% | 11/15/21 | 3,500 | 3,672 |
Colgate-Palmolive Co. | 2.300% | 5/3/22 | 7,000 | 7,259 |
Colgate-Palmolive Co. | 1.950% | 2/1/23 | 9,575 | 9,726 |
Colgate-Palmolive Co. | 2.100% | 5/1/23 | 5,133 | 5,226 |
Colgate-Palmolive Co. | 3.250% | 3/15/24 | 4,475 | 4,961 |
Colgate-Palmolive Co. | 4.000% | 8/15/45 | 6,000 | 6,906 |
ConAgra Foods Inc. | 1.900% | 1/25/18 | 11,110 | 11,189 |
ConAgra Foods Inc. | 3.250% | 9/15/22 | 10,012 | 10,340 |
ConAgra Foods Inc. | 3.200% | 1/25/23 | 8,041 | 8,298 |
ConAgra Foods Inc. | 7.125% | 10/1/26 | 1,568 | 2,049 |
ConAgra Foods Inc. | 7.000% | 10/1/28 | 1,020 | 1,278 |
ConAgra Foods Inc. | 8.250% | 9/15/30 | 5,799 | 8,050 |
Covidien International Finance SA | 6.000% | 10/15/17 | 7,868 | 8,370 |
Covidien International Finance SA | 4.200% | 6/15/20 | 5,625 | 6,199 |
Covidien International Finance SA | 3.200% | 6/15/22 | 15,875 | 16,978 |
CR Bard Inc. | 1.375% | 1/15/18 | 7,557 | 7,587 |
CR Bard Inc. | 4.400% | 1/15/21 | 3,237 | 3,576 |
CR Bard Inc. | 3.000% | 5/15/26 | 5,550 | 5,681 |
CR Bard Inc. | 6.700% | 12/1/26 | 5,250 | 6,961 |
Danaher Corp. | 5.625% | 1/15/18 | 2,385 | 2,557 |
Danaher Corp. | 1.650% | 9/15/18 | 6,850 | 6,955 |
Danaher Corp. | 5.400% | 3/1/19 | 1,725 | 1,919 |
Danaher Corp. | 2.400% | 9/15/20 | 6,900 | 7,196 |
Danaher Corp. | 3.900% | 6/23/21 | 12,185 | 13,436 |
Danaher Corp. | 3.350% | 9/15/25 | 5,100 | 5,624 |
Danaher Corp. | 4.375% | 9/15/45 | 18,525 | 21,613 |
Delhaize America LLC | 9.000% | 4/15/31 | 4,705 | 6,571 |
Delhaize Group SA | 5.700% | 10/1/40 | 2,400 | 2,831 |
Diageo Capital plc | 5.750% | 10/23/17 | 4,597 | 4,872 |
Diageo Capital plc | 1.125% | 4/29/18 | 3,312 | 3,318 |
Diageo Capital plc | 4.828% | 7/15/20 | 5,795 | 6,518 |
Diageo Capital plc | 2.625% | 4/29/23 | 18,171 | 18,746 |
Diageo Capital plc | 5.875% | 9/30/36 | 2,622 | 3,412 |
Diageo Capital plc | 3.875% | 4/29/43 | 5,676 | 5,974 |
Diageo Investment Corp. | 2.875% | 5/11/22 | 19,525 | 20,438 |
Diageo Investment Corp. | 7.450% | 4/15/35 | 1,250 | 1,841 |
Diageo Investment Corp. | 4.250% | 5/11/42 | 4,097 | 4,478 |
Dignity Health California GO | 2.637% | 11/1/19 | 3,000 | 3,085 |
Dignity Health California GO | 3.125% | 11/1/22 | 2,100 | 2,161 |
Dignity Health California GO | 3.812% | 11/1/24 | 2,175 | 2,341 |
Dignity Health California GO | 4.500% | 11/1/42 | 8,325 | 8,943 |
Dignity Health California GO | 5.267% | 11/1/64 | 2,100 | 2,502 |
Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 5,847 | 6,438 |
Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 7,050 | 7,225 |
Dr Pepper Snapple Group Inc. | 2.000% | 1/15/20 | 2,185 | 2,209 |
Dr Pepper Snapple Group Inc. | 3.200% | 11/15/21 | 10,839 | 11,484 |
Dr Pepper Snapple Group Inc. | 2.700% | 11/15/22 | 2,697 | 2,749 |
Dr Pepper Snapple Group Inc. | 3.400% | 11/15/25 | 500 | 531 |
Dr Pepper Snapple Group Inc. | 7.450% | 5/1/38 | 2,070 | 3,025 |
72
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Dr Pepper Snapple Group Inc. | 4.500% | 11/15/45 | 2,150 | 2,374 |
Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 5,400 | 5,550 |
Eli Lilly & Co. | 1.250% | 3/1/18 | 6,700 | 6,751 |
Eli Lilly & Co. | 1.950% | 3/15/19 | 9,424 | 9,607 |
Eli Lilly & Co. | 2.750% | 6/1/25 | 10,095 | 10,705 |
Eli Lilly & Co. | 5.550% | 3/15/37 | 1,734 | 2,285 |
Eli Lilly & Co. | 3.700% | 3/1/45 | 9,540 | 10,172 |
Estee Lauder Cos. Inc. | 1.700% | 5/10/21 | 5,350 | 5,414 |
Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 8,000 | 8,224 |
Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 2,767 | 3,648 |
Estee Lauder Cos. Inc. | 3.700% | 8/15/42 | 7,790 | 8,111 |
Estee Lauder Cos. Inc. | 4.375% | 6/15/45 | 5,200 | 5,953 |
Express Scripts Holding Co. | 2.250% | 6/15/19 | 2,000 | 2,032 |
Express Scripts Holding Co. | 7.250% | 6/15/19 | 1,950 | 2,248 |
Express Scripts Holding Co. | 3.300% | 2/25/21 | 24,000 | 25,284 |
Express Scripts Holding Co. | 4.750% | 11/15/21 | 12,886 | 14,446 |
Express Scripts Holding Co. | 3.900% | 2/15/22 | 17,032 | 18,032 |
Express Scripts Holding Co. | 3.000% | 7/15/23 | 2,500 | 2,504 |
Express Scripts Holding Co. | 4.500% | 2/25/26 | 14,505 | 15,950 |
Express Scripts Holding Co. | 3.400% | 3/1/27 | 12,275 | 12,303 |
Express Scripts Holding Co. | 6.125% | 11/15/41 | 12,138 | 14,464 |
Express Scripts Holding Co. | 4.800% | 7/15/46 | 13,000 | 12,982 |
Flowers Foods Inc. | 4.375% | 4/1/22 | 3,650 | 3,972 |
Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 1,000 | 991 |
Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 4,215 | 4,382 |
General Mills Inc. | 1.400% | 10/20/17 | 2,509 | 2,525 |
General Mills Inc. | 5.650% | 2/15/19 | 21,143 | 23,503 |
General Mills Inc. | 2.200% | 10/21/19 | 14,000 | 14,344 |
General Mills Inc. | 3.150% | 12/15/21 | 10,078 | 10,725 |
General Mills Inc. | 5.400% | 6/15/40 | 2,850 | 3,532 |
General Mills Inc. | 4.150% | 2/15/43 | 2,875 | 3,088 |
Gilead Sciences Inc. | 1.850% | 9/4/18 | 11,100 | 11,298 |
Gilead Sciences Inc. | 2.050% | 4/1/19 | 5,505 | 5,633 |
Gilead Sciences Inc. | 2.550% | 9/1/20 | 17,558 | 18,181 |
Gilead Sciences Inc. | 4.500% | 4/1/21 | 10,031 | 11,205 |
Gilead Sciences Inc. | 4.400% | 12/1/21 | 14,634 | 16,518 |
Gilead Sciences Inc. | 3.250% | 9/1/22 | 8,400 | 8,958 |
Gilead Sciences Inc. | 3.700% | 4/1/24 | 26,100 | 28,280 |
Gilead Sciences Inc. | 3.500% | 2/1/25 | 5,940 | 6,346 |
Gilead Sciences Inc. | 3.650% | 3/1/26 | 25,655 | 27,907 |
Gilead Sciences Inc. | 4.600% | 9/1/35 | 7,875 | 8,785 |
Gilead Sciences Inc. | 5.650% | 12/1/41 | 8,585 | 10,769 |
Gilead Sciences Inc. | 4.800% | 4/1/44 | 19,290 | 21,518 |
Gilead Sciences Inc. | 4.500% | 2/1/45 | 19,057 | 20,708 |
Gilead Sciences Inc. | 4.750% | 3/1/46 | 23,984 | 27,277 |
GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 22,538 | 24,419 |
GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 9,175 | 9,630 |
GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 4,023 | 5,081 |
GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 27,549 | 39,244 |
GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 4,500 | 5,050 |
GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 8,506 | 8,928 |
Hasbro Inc. | 6.300% | 9/15/17 | 3,800 | 4,020 |
Hasbro Inc. | 6.350% | 3/15/40 | 7,026 | 8,547 |
Hasbro Inc. | 5.100% | 5/15/44 | 5,245 | 5,604 |
Hershey Co. | 1.600% | 8/21/18 | 3,160 | 3,206 |
Hershey Co. | 4.125% | 12/1/20 | 7,295 | 8,180 |
Hershey Co. | 2.625% | 5/1/23 | 7,400 | 7,506 |
Hershey Co. | 3.200% | 8/21/25 | 3,620 | 3,913 |
Hershey Co. | 7.200% | 8/15/27 | 14 | 20 |
Hillshire Brands Co. | 4.100% | 9/15/20 | 2,002 | 2,089 |
Hormel Foods Corp. | 4.125% | 4/15/21 | 1,275 | 1,418 |
Ingredion Inc. | 4.625% | 11/1/20 | 935 | 1,023 |
Ingredion Inc. | 6.625% | 4/15/37 | 1,475 | 1,865 |
JM Smucker Co. | 1.750% | 3/15/18 | 2,900 | 2,925 |
73
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
JM Smucker Co. | 2.500% | 3/15/20 | 12,180 | 12,548 | |
JM Smucker Co. | 3.500% | 10/15/21 | 7,525 | 8,094 | |
JM Smucker Co. | 3.000% | 3/15/22 | 3,500 | 3,675 | |
JM Smucker Co. | 3.500% | 3/15/25 | 7,080 | 7,627 | |
JM Smucker Co. | 4.250% | 3/15/35 | 5,800 | 6,302 | |
JM Smucker Co. | 4.375% | 3/15/45 | 6,200 | 6,752 | |
Johnson & Johnson | 5.550% | 8/15/17 | 7,731 | 8,136 | |
Johnson & Johnson | 1.125% | 11/21/17 | 6,100 | 6,131 | |
Johnson & Johnson | 5.150% | 7/15/18 | 7,209 | 7,831 | |
Johnson & Johnson | 1.650% | 12/5/18 | 13,556 | 13,810 | |
Johnson & Johnson | 1.125% | 3/1/19 | 6,050 | 6,087 | |
Johnson & Johnson | 1.875% | 12/5/19 | 6,500 | 6,694 | |
Johnson & Johnson | 2.950% | 9/1/20 | 4,125 | 4,409 | |
Johnson & Johnson | 1.650% | 3/1/21 | 10,930 | 11,101 | |
Johnson & Johnson | 2.450% | 12/5/21 | 2,800 | 2,945 | |
Johnson & Johnson | 2.050% | 3/1/23 | 8,975 | 9,186 | |
Johnson & Johnson | 3.375% | 12/5/23 | 8,050 | 9,096 | |
Johnson & Johnson | 2.450% | 3/1/26 | 17,700 | 18,278 | |
Johnson & Johnson | 6.950% | 9/1/29 | 3,920 | 5,913 | |
Johnson & Johnson | 4.950% | 5/15/33 | 5,025 | 6,438 | |
Johnson & Johnson | 4.375% | 12/5/33 | 13,599 | 16,391 | |
Johnson & Johnson | 3.550% | 3/1/36 | 9,925 | 10,935 | |
Johnson & Johnson | 5.950% | 8/15/37 | 9,053 | 13,428 | |
Johnson & Johnson | 5.850% | 7/15/38 | 4,067 | 5,918 | |
Johnson & Johnson | 4.500% | 9/1/40 | 8,683 | 10,774 | |
Johnson & Johnson | 4.850% | 5/15/41 | 210 | 273 | |
Johnson & Johnson | 4.500% | 12/5/43 | 100 | 124 | |
Johnson & Johnson | 3.700% | 3/1/46 | 19,215 | 21,605 | |
Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 3,365 | 3,622 | |
Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 8,775 | 10,577 | |
Kellogg Co. | 3.250% | 5/21/18 | 7,600 | 7,875 | |
Kellogg Co. | 4.150% | 11/15/19 | 1,300 | 1,410 | |
Kellogg Co. | 4.000% | 12/15/20 | 8,125 | 8,898 | |
Kellogg Co. | 3.250% | 4/1/26 | 7,000 | 7,185 | |
Kellogg Co. | 7.450% | 4/1/31 | 1,000 | 1,383 | |
Kellogg Co. | 4.500% | 4/1/46 | 13,325 | 14,286 | |
Kimberly-Clark Corp. | 6.125% | 8/1/17 | 14,518 | 15,337 | |
Kimberly-Clark Corp. | 6.250% | 7/15/18 | 185 | 205 | |
Kimberly-Clark Corp. | 1.400% | 2/15/19 | 6,125 | 6,197 | |
Kimberly-Clark Corp. | 1.850% | 3/1/20 | 1,250 | 1,278 | |
Kimberly-Clark Corp. | 3.625% | 8/1/20 | 8,424 | 9,204 | |
Kimberly-Clark Corp. | 2.150% | 8/15/20 | 2,175 | 2,250 | |
Kimberly-Clark Corp. | 3.875% | 3/1/21 | 575 | 633 | |
Kimberly-Clark Corp. | 2.400% | 3/1/22 | 5,925 | 6,127 | |
Kimberly-Clark Corp. | 2.400% | 6/1/23 | 4,372 | 4,563 | |
Kimberly-Clark Corp. | 2.650% | 3/1/25 | 2,000 | 2,097 | |
Kimberly-Clark Corp. | 3.050% | 8/15/25 | 4,025 | 4,339 | |
Kimberly-Clark Corp. | 2.750% | 2/15/26 | 6,075 | 6,355 | |
Kimberly-Clark Corp. | 6.625% | 8/1/37 | 2,010 | 2,996 | |
Kimberly-Clark Corp. | 5.300% | 3/1/41 | 8,468 | 11,329 | |
Kimberly-Clark Corp. | 3.700% | 6/1/43 | 2,485 | 2,694 | |
Koninklijke Philips NV | 5.750% | 3/11/18 | 11,875 | 12,721 | |
Koninklijke Philips NV | 3.750% | 3/15/22 | 10,250 | 11,031 | |
Koninklijke Philips NV | 6.875% | 3/11/38 | 2,623 | 3,450 | |
Koninklijke Philips NV | 5.000% | 3/15/42 | 4,709 | 5,119 | |
Kraft Foods Group Inc. | 2.250% | 6/5/17 | 9,000 | 9,085 | |
Kraft Foods Group Inc. | 6.125% | 8/23/18 | 18,266 | 20,070 | |
Kraft Foods Group Inc. | 5.375% | 2/10/20 | 8,138 | 9,170 | |
Kraft Foods Group Inc. | 3.500% | 6/6/22 | 16,556 | 17,618 | |
Kraft Foods Group Inc. | 6.875% | 1/26/39 | 14,751 | 20,151 | |
Kraft Foods Group Inc. | 6.500% | 2/9/40 | 5,155 | 6,799 | |
Kraft Foods Group Inc. | 5.000% | 6/4/42 | 17,667 | 20,379 | |
7 | Kraft Heinz Foods Co. | 1.600% | 6/30/17 | 11,725 | 11,768 |
7 | Kraft Heinz Foods Co. | 2.000% | 7/2/18 | 14,555 | 14,753 |
74
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | Kraft Heinz Foods Co. | 2.800% | 7/2/20 | 15,355 | 15,924 |
7 | Kraft Heinz Foods Co. | 3.500% | 7/15/22 | 8,250 | 8,765 |
7 | Kraft Heinz Foods Co. | 3.950% | 7/15/25 | 17,730 | 19,280 |
7 | Kraft Heinz Foods Co. | 3.000% | 6/1/26 | 19,750 | 19,978 |
7 | Kraft Heinz Foods Co. | 5.000% | 7/15/35 | 9,115 | 10,441 |
7 | Kraft Heinz Foods Co. | 5.200% | 7/15/45 | 15,255 | 17,946 |
7 | Kraft Heinz Foods Co. | 4.375% | 6/1/46 | 35,800 | 37,620 |
Kroger Co. | 6.400% | 8/15/17 | 9,710 | 10,274 | |
Kroger Co. | 6.800% | 12/15/18 | 2,185 | 2,453 | |
Kroger Co. | 2.000% | 1/15/19 | 1,350 | 1,369 | |
Kroger Co. | 2.300% | 1/15/19 | 10,790 | 11,005 | |
Kroger Co. | 6.150% | 1/15/20 | 11,449 | 13,158 | |
Kroger Co. | 3.300% | 1/15/21 | 3,776 | 4,014 | |
Kroger Co. | 2.600% | 2/1/21 | 3,584 | 3,723 | |
Kroger Co. | 2.950% | 11/1/21 | 5,034 | 5,260 | |
Kroger Co. | 3.400% | 4/15/22 | 3,890 | 4,141 | |
Kroger Co. | 3.850% | 8/1/23 | 2,525 | 2,775 | |
Kroger Co. | 4.000% | 2/1/24 | 5,250 | 5,830 | |
Kroger Co. | 3.500% | 2/1/26 | 4,650 | 5,017 | |
Kroger Co. | 7.700% | 6/1/29 | 8,550 | 11,963 | |
Kroger Co. | 8.000% | 9/15/29 | 4,185 | 6,020 | |
Kroger Co. | 7.500% | 4/1/31 | 7,570 | 10,597 | |
Kroger Co. | 6.900% | 4/15/38 | 4,689 | 6,481 | |
Kroger Co. | 5.400% | 7/15/40 | 1,468 | 1,745 | |
Kroger Co. | 5.000% | 4/15/42 | 925 | 1,061 | |
Kroger Co. | 5.150% | 8/1/43 | 700 | 826 | |
Laboratory Corp. of America Holdings | 2.200% | 8/23/17 | 2,421 | 2,440 | |
Laboratory Corp. of America Holdings | 2.500% | 11/1/18 | 2,025 | 2,057 | |
Laboratory Corp. of America Holdings | 2.625% | 2/1/20 | 2,825 | 2,886 | |
Laboratory Corp. of America Holdings | 3.200% | 2/1/22 | 5,775 | 5,974 | |
Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 860 | 906 | |
Laboratory Corp. of America Holdings | 4.000% | 11/1/23 | 1,800 | 1,924 | |
Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 9,150 | 9,516 | |
Laboratory Corp. of America Holdings | 4.700% | 2/1/45 | 7,303 | 7,832 | |
Life Technologies Corp. | 6.000% | 3/1/20 | 1,700 | 1,917 | |
Life Technologies Corp. | 5.000% | 1/15/21 | 3,725 | 4,116 | |
Mattel Inc. | 1.700% | 3/15/18 | 2,710 | 2,715 | |
Mattel Inc. | 2.350% | 5/6/19 | 3,150 | 3,200 | |
Mattel Inc. | 3.150% | 3/15/23 | 4,000 | 4,030 | |
Mattel Inc. | 5.450% | 11/1/41 | 4,943 | 5,305 | |
4 | Mayo Clinic | 3.774% | 11/15/43 | 6,502 | 6,758 |
4 | Mayo Clinic | 4.000% | 11/15/47 | 4,025 | 4,430 |
4 | Mayo Clinic | 4.128% | 11/15/52 | 2,150 | 2,438 |
McCormick & Co. Inc. | 3.900% | 7/15/21 | 3,025 | 3,322 | |
McCormick & Co. Inc. | 3.500% | 9/1/23 | 3,741 | 4,050 | |
McCormick & Co. Inc. | 3.250% | 11/15/25 | 2,100 | 2,257 | |
McKesson Corp. | 7.500% | 2/15/19 | 3,484 | 4,000 | |
McKesson Corp. | 2.284% | 3/15/19 | 12,175 | 12,447 | |
McKesson Corp. | 4.750% | 3/1/21 | 15,320 | 16,915 | |
McKesson Corp. | 2.700% | 12/15/22 | 4,550 | 4,609 | |
McKesson Corp. | 3.796% | 3/15/24 | 11,158 | 12,087 | |
McKesson Corp. | 6.000% | 3/1/41 | 4,439 | 5,611 | |
McKesson Corp. | 4.883% | 3/15/44 | 6,411 | 7,319 | |
Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 5,460 | 5,998 | |
Mead Johnson Nutrition Co. | 3.000% | 11/15/20 | 5,044 | 5,268 | |
Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 9,675 | 10,553 | |
Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 7,150 | 8,717 | |
Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 1,000 | 1,069 | |
Medco Health Solutions Inc. | 7.125% | 3/15/18 | 15,437 | 16,848 | |
Medtronic Inc. | 1.500% | 3/15/18 | 8,000 | 8,068 | |
Medtronic Inc. | 1.375% | 4/1/18 | 17,960 | 18,068 | |
Medtronic Inc. | 5.600% | 3/15/19 | 1,450 | 1,618 | |
Medtronic Inc. | 2.500% | 3/15/20 | 30,714 | 31,855 | |
Medtronic Inc. | 3.125% | 3/15/22 | 3,000 | 3,194 |
75
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Medtronic Inc. | 3.150% | 3/15/22 | 26,604 | 28,356 | |
Medtronic Inc. | 2.750% | 4/1/23 | 1,000 | 1,029 | |
Medtronic Inc. | 3.625% | 3/15/24 | 8,750 | 9,618 | |
Medtronic Inc. | 3.500% | 3/15/25 | 36,795 | 40,240 | |
Medtronic Inc. | 4.375% | 3/15/35 | 35,053 | 39,600 | |
Medtronic Inc. | 6.500% | 3/15/39 | 2,445 | 3,425 | |
Medtronic Inc. | 5.550% | 3/15/40 | 4,350 | 5,509 | |
Medtronic Inc. | 4.500% | 3/15/42 | 7,125 | 8,079 | |
Medtronic Inc. | 4.625% | 3/15/44 | 5,068 | 5,935 | |
Medtronic Inc. | 4.625% | 3/15/45 | 38,000 | 44,487 | |
Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 1,500 | 1,702 | |
Memorial Sloan-Kettering Cancer Center New York GO | 5.000% | 7/1/42 | 1,250 | 1,569 | |
Memorial Sloan-Kettering Cancer Center New York GO | 4.125% | 7/1/52 | 8,100 | 9,026 | |
Merck & Co. Inc. | 1.100% | 1/31/18 | 6,419 | 6,445 | |
Merck & Co. Inc. | 1.300% | 5/18/18 | 12,820 | 12,945 | |
Merck & Co. Inc. | 1.850% | 2/10/20 | 10,210 | 10,442 | |
Merck & Co. Inc. | 3.875% | 1/15/21 | 13,995 | 15,352 | |
Merck & Co. Inc. | 2.350% | 2/10/22 | 11,828 | 12,190 | |
Merck & Co. Inc. | 2.400% | 9/15/22 | 5,900 | 6,071 | |
Merck & Co. Inc. | 2.800% | 5/18/23 | 21,800 | 22,821 | |
Merck & Co. Inc. | 2.750% | 2/10/25 | 23,325 | 24,408 | |
Merck & Co. Inc. | 6.500% | 12/1/33 | 3,793 | 5,316 | |
Merck & Co. Inc. | 6.550% | 9/15/37 | 6,063 | 8,745 | |
Merck & Co. Inc. | 3.600% | 9/15/42 | 4,997 | 5,118 | |
Merck & Co. Inc. | 4.150% | 5/18/43 | 19,212 | 21,522 | |
Merck & Co. Inc. | 3.700% | 2/10/45 | 22,404 | 23,547 | |
Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 13,815 | 15,360 | |
Merck Sharp & Dohme Corp. | 5.750% | 11/15/36 | 2,000 | 2,576 | |
Merck Sharp & Dohme Corp. | 5.850% | 6/30/39 | 1,410 | 1,864 | |
Molson Coors Brewing Co. | 1.450% | 7/15/19 | 2,000 | 2,005 | |
Molson Coors Brewing Co. | 2.100% | 7/15/21 | 4,000 | 4,019 | |
Molson Coors Brewing Co. | 3.500% | 5/1/22 | 1,450 | 1,539 | |
Molson Coors Brewing Co. | 3.000% | 7/15/26 | 11,625 | 11,630 | |
Molson Coors Brewing Co. | 5.000% | 5/1/42 | 11,540 | 12,910 | |
Molson Coors Brewing Co. | 4.200% | 7/15/46 | 9,075 | 9,139 | |
Mondelez International Inc. | 6.500% | 8/11/17 | 2,805 | 2,968 | |
Mondelez International Inc. | 6.125% | 2/1/18 | 5,335 | 5,742 | |
Mondelez International Inc. | 6.125% | 8/23/18 | 5,000 | 5,493 | |
Mondelez International Inc. | 2.250% | 2/1/19 | 8,175 | 8,374 | |
Mondelez International Inc. | 5.375% | 2/10/20 | 11,431 | 12,987 | |
Mondelez International Inc. | 4.000% | 2/1/24 | 19,850 | 21,713 | |
Mondelez International Inc. | 6.500% | 11/1/31 | 7,290 | 9,655 | |
Mondelez International Inc. | 6.500% | 2/9/40 | 6,860 | 9,438 | |
Mylan Inc. | 2.600% | 6/24/18 | 1,106 | 1,120 | |
Mylan Inc. | 2.550% | 3/28/19 | 11,211 | 11,349 | |
Mylan Inc. | 4.200% | 11/29/23 | 14,508 | 15,295 | |
Mylan Inc. | 5.400% | 11/29/43 | 4,475 | 4,769 | |
7 | Mylan NV | 2.500% | 6/7/19 | 6,275 | 6,327 |
7 | Mylan NV | 3.150% | 6/15/21 | 13,250 | 13,381 |
7 | Mylan NV | 3.950% | 6/15/26 | 15,700 | 15,783 |
New York & Presbyterian Hospital | 3.563% | 8/1/36 | 2,475 | 2,604 | |
New York & Presbyterian Hospital | 4.024% | 8/1/45 | 7,000 | 7,627 | |
New York & Presbyterian Hospital | 4.063% | 8/1/56 | 3,250 | 3,503 | |
New York & Presbyterian Hospital | 4.763% | 8/1/16 | 3,120 | 3,294 | |
Newell Brands Inc. | 2.050% | 12/1/17 | 2,525 | 2,545 | |
Newell Brands Inc. | 2.150% | 10/15/18 | 2,700 | 2,738 | |
Newell Brands Inc. | 2.600% | 3/29/19 | 6,790 | 6,968 | |
Newell Brands Inc. | 2.875% | 12/1/19 | 7,025 | 7,237 | |
Newell Brands Inc. | 3.150% | 4/1/21 | 9,840 | 10,252 | |
Newell Brands Inc. | 4.000% | 6/15/22 | 1,400 | 1,473 | |
Newell Brands Inc. | 3.850% | 4/1/23 | 16,668 | 17,688 | |
Newell Brands Inc. | 4.000% | 12/1/24 | 7,025 | 7,344 | |
Newell Brands Inc. | 3.900% | 11/1/25 | 4,625 | 4,829 | |
Newell Brands Inc. | 4.200% | 4/1/26 | 20,625 | 22,329 |
76
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Newell Brands Inc. | 5.375% | 4/1/36 | 5,975 | 6,885 |
Newell Brands Inc. | 5.500% | 4/1/46 | 20,535 | 24,448 |
Novant Health Inc. | 5.850% | 11/1/19 | 6,125 | 6,967 |
Novant Health Inc. | 4.371% | 11/1/43 | 6,600 | 7,544 |
Novartis Capital Corp. | 4.400% | 4/24/20 | 2,101 | 2,341 |
Novartis Capital Corp. | 2.400% | 9/21/22 | 23,379 | 24,302 |
Novartis Capital Corp. | 3.400% | 5/6/24 | 15,520 | 16,976 |
Novartis Capital Corp. | 3.000% | 11/20/25 | 15,100 | 16,032 |
Novartis Capital Corp. | 3.700% | 9/21/42 | 3,875 | 4,151 |
Novartis Capital Corp. | 4.400% | 5/6/44 | 21,221 | 25,656 |
Novartis Capital Corp. | 4.000% | 11/20/45 | 11,000 | 12,502 |
Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 14,245 | 15,717 |
NYU Hospitals Center | 4.784% | 7/1/44 | 4,425 | 5,064 |
Owens & Minor Inc. | 4.375% | 12/15/24 | 2,250 | 2,290 |
Partners Healthcare System Inc. | 4.117% | 7/1/55 | 1,950 | 2,183 |
Partners Healthcare System Massachusetts GO | 3.443% | 7/1/21 | 2,450 | 2,609 |
PepsiCo Inc. | 1.125% | 7/17/17 | 12,825 | 12,859 |
PepsiCo Inc. | 1.250% | 8/13/17 | 12,275 | 12,330 |
PepsiCo Inc. | 1.000% | 10/13/17 | 6,200 | 6,222 |
PepsiCo Inc. | 1.250% | 4/30/18 | 6,303 | 6,338 |
PepsiCo Inc. | 5.000% | 6/1/18 | 19,560 | 21,045 |
PepsiCo Inc. | 7.900% | 11/1/18 | 4,974 | 5,748 |
PepsiCo Inc. | 2.250% | 1/7/19 | 14,450 | 14,879 |
PepsiCo Inc. | 4.500% | 1/15/20 | 8,155 | 9,030 |
PepsiCo Inc. | 1.850% | 4/30/20 | 14,746 | 14,963 |
PepsiCo Inc. | 2.150% | 10/14/20 | 19,315 | 19,838 |
PepsiCo Inc. | 3.125% | 11/1/20 | 5,800 | 6,205 |
PepsiCo Inc. | 3.000% | 8/25/21 | 8,037 | 8,564 |
PepsiCo Inc. | 2.750% | 3/5/22 | 11,590 | 12,147 |
PepsiCo Inc. | 3.100% | 7/17/22 | 5,375 | 5,727 |
PepsiCo Inc. | 2.750% | 3/1/23 | 1,600 | 1,675 |
PepsiCo Inc. | 3.600% | 3/1/24 | 7,450 | 8,189 |
PepsiCo Inc. | 2.750% | 4/30/25 | 17,199 | 17,765 |
PepsiCo Inc. | 3.500% | 7/17/25 | 11,650 | 12,719 |
PepsiCo Inc. | 5.500% | 1/15/40 | 11,585 | 14,844 |
PepsiCo Inc. | 4.875% | 11/1/40 | 4,676 | 5,586 |
PepsiCo Inc. | 4.000% | 3/5/42 | 11,975 | 12,817 |
PepsiCo Inc. | 3.600% | 8/13/42 | 4,571 | 4,603 |
PepsiCo Inc. | 4.250% | 10/22/44 | 6,325 | 7,040 |
PepsiCo Inc. | 4.600% | 7/17/45 | 8,195 | 9,731 |
PepsiCo Inc. | 4.450% | 4/14/46 | 7,076 | 8,213 |
PerkinElmer Inc. | 5.000% | 11/15/21 | 4,725 | 5,241 |
Perrigo Co. plc | 2.300% | 11/8/18 | 6,160 | 6,217 |
Perrigo Co. plc | 4.000% | 11/15/23 | 15,385 | 15,897 |
Perrigo Co. plc | 5.300% | 11/15/43 | 1,918 | 2,021 |
Perrigo Finance Unlimited Co. | 3.500% | 3/15/21 | 4,800 | 4,989 |
Perrigo Finance Unlimited Co. | 3.500% | 12/15/21 | 3,800 | 3,943 |
Perrigo Finance Unlimited Co. | 3.900% | 12/15/24 | 4,650 | 4,742 |
Perrigo Finance Unlimited Co. | 4.375% | 3/15/26 | 10,575 | 11,049 |
Perrigo Finance Unlimited Co. | 4.900% | 12/15/44 | 4,800 | 4,779 |
Pfizer Inc. | 1.200% | 6/1/18 | 11,500 | 11,555 |
Pfizer Inc. | 1.500% | 6/15/18 | 6,450 | 6,515 |
Pfizer Inc. | 6.200% | 3/15/19 | 24,902 | 28,130 |
Pfizer Inc. | 2.100% | 5/15/19 | 14,000 | 14,324 |
Pfizer Inc. | 1.450% | 6/3/19 | 16,825 | 16,967 |
Pfizer Inc. | 1.950% | 6/3/21 | 20,400 | 20,685 |
Pfizer Inc. | 3.000% | 6/15/23 | 9,585 | 10,219 |
Pfizer Inc. | 3.400% | 5/15/24 | 4,759 | 5,196 |
Pfizer Inc. | 2.750% | 6/3/26 | 13,360 | 13,740 |
Pfizer Inc. | 7.200% | 3/15/39 | 10,010 | 15,237 |
Pfizer Inc. | 4.300% | 6/15/43 | 6,993 | 7,847 |
Pfizer Inc. | 4.400% | 5/15/44 | 9,600 | 10,982 |
Pharmacia Corp. | 6.600% | 12/1/28 | 7,000 | 9,633 |
Philip Morris International Inc. | 1.250% | 8/11/17 | 3,125 | 3,138 |
77
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Philip Morris International Inc. | 1.125% | 8/21/17 | 275 | 276 | |
Philip Morris International Inc. | 1.250% | 11/9/17 | 7,350 | 7,379 | |
Philip Morris International Inc. | 5.650% | 5/16/18 | 18,756 | 20,362 | |
Philip Morris International Inc. | 1.875% | 1/15/19 | 13,650 | 13,905 | |
Philip Morris International Inc. | 1.875% | 2/25/21 | 4,375 | 4,424 | |
Philip Morris International Inc. | 4.125% | 5/17/21 | 3,050 | 3,396 | |
Philip Morris International Inc. | 2.900% | 11/15/21 | 1,840 | 1,943 | |
Philip Morris International Inc. | 2.500% | 8/22/22 | 600 | 617 | |
Philip Morris International Inc. | 2.625% | 3/6/23 | 5,340 | 5,525 | |
Philip Morris International Inc. | 2.125% | 5/10/23 | 7,000 | 7,010 | |
Philip Morris International Inc. | 3.600% | 11/15/23 | 11,000 | 12,076 | |
Philip Morris International Inc. | 3.250% | 11/10/24 | 10,750 | 11,509 | |
Philip Morris International Inc. | 3.375% | 8/11/25 | 5,964 | 6,465 | |
Philip Morris International Inc. | 2.750% | 2/25/26 | 9,950 | 10,261 | |
Philip Morris International Inc. | 6.375% | 5/16/38 | 17,967 | 24,819 | |
Philip Morris International Inc. | 4.375% | 11/15/41 | 9,150 | 10,028 | |
Philip Morris International Inc. | 4.500% | 3/20/42 | 5,438 | 6,104 | |
Philip Morris International Inc. | 3.875% | 8/21/42 | 5,785 | 5,951 | |
Philip Morris International Inc. | 4.125% | 3/4/43 | 5,045 | 5,386 | |
Philip Morris International Inc. | 4.875% | 11/15/43 | 13,874 | 16,496 | |
Philip Morris International Inc. | 4.250% | 11/10/44 | 8,500 | 9,344 | |
4 | Procter & Gamble - Esop | 9.360% | 1/1/21 | 3,075 | 3,717 |
Procter & Gamble Co. | 1.600% | 11/15/18 | 6,700 | 6,843 | |
Procter & Gamble Co. | 4.700% | 2/15/19 | 4,105 | 4,496 | |
Procter & Gamble Co. | 1.900% | 11/1/19 | 8,800 | 9,060 | |
Procter & Gamble Co. | 1.850% | 2/2/21 | 6,250 | 6,401 | |
Procter & Gamble Co. | 2.300% | 2/6/22 | 14,125 | 14,672 | |
Procter & Gamble Co. | 3.100% | 8/15/23 | 8,167 | 8,858 | |
Procter & Gamble Co. | 6.450% | 1/15/26 | 5,186 | 7,041 | |
Procter & Gamble Co. | 2.700% | 2/2/26 | 5,950 | 6,287 | |
Procter & Gamble Co. | 5.500% | 2/1/34 | 5,788 | 7,763 | |
Procter & Gamble Co. | 5.800% | 8/15/34 | 95 | 132 | |
Procter & Gamble Co. | 5.550% | 3/5/37 | 17,835 | 24,771 | |
Quest Diagnostics Inc. | 2.700% | 4/1/19 | 6,950 | 7,146 | |
Quest Diagnostics Inc. | 4.750% | 1/30/20 | 2,700 | 2,962 | |
Quest Diagnostics Inc. | 2.500% | 3/30/20 | 3,000 | 3,024 | |
Quest Diagnostics Inc. | 4.700% | 4/1/21 | 2,000 | 2,205 | |
Quest Diagnostics Inc. | 4.250% | 4/1/24 | 4,587 | 4,965 | |
Quest Diagnostics Inc. | 3.500% | 3/30/25 | 4,900 | 5,062 | |
Quest Diagnostics Inc. | 3.450% | 6/1/26 | 5,035 | 5,195 | |
Quest Diagnostics Inc. | 5.750% | 1/30/40 | 1,055 | 1,229 | |
Quest Diagnostics Inc. | 4.700% | 3/30/45 | 2,149 | 2,257 | |
Reynolds American Inc. | 2.300% | 8/21/17 | 175 | 177 | |
Reynolds American Inc. | 2.300% | 6/12/18 | 11,610 | 11,797 | |
Reynolds American Inc. | 8.125% | 6/23/19 | 7,728 | 9,169 | |
Reynolds American Inc. | 6.875% | 5/1/20 | 1,400 | 1,652 | |
Reynolds American Inc. | 3.250% | 6/12/20 | 11,335 | 11,982 | |
Reynolds American Inc. | 4.000% | 6/12/22 | 8,250 | 8,956 | |
Reynolds American Inc. | 4.850% | 9/15/23 | 3,425 | 3,912 | |
Reynolds American Inc. | 4.450% | 6/12/25 | 31,950 | 35,703 | |
Reynolds American Inc. | 5.700% | 8/15/35 | 10,500 | 12,785 | |
Reynolds American Inc. | 7.250% | 6/15/37 | 3,008 | 4,091 | |
Reynolds American Inc. | 8.125% | 5/1/40 | 2,569 | 3,569 | |
Reynolds American Inc. | 7.000% | 8/4/41 | 3,375 | 4,253 | |
Reynolds American Inc. | 5.850% | 8/15/45 | 19,300 | 24,648 | |
Sanofi | 1.250% | 4/10/18 | 13,285 | 13,370 | |
Sanofi | 4.000% | 3/29/21 | 17,973 | 19,842 | |
Southern Baptist Hospital of Florida Inc. | 4.857% | 7/15/45 | 1,900 | 2,324 | |
St. Jude Medical Inc. | 2.000% | 9/15/18 | 4,650 | 4,715 | |
St. Jude Medical Inc. | 2.800% | 9/15/20 | 4,650 | 4,804 | |
St. Jude Medical Inc. | 3.250% | 4/15/23 | 9,575 | 9,878 | |
St. Jude Medical Inc. | 3.875% | 9/15/25 | 3,400 | 3,628 | |
St. Jude Medical Inc. | 4.750% | 4/15/43 | 9,950 | 10,593 | |
Stryker Corp. | 2.000% | 3/8/19 | 6,425 | 6,520 |
78
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Stryker Corp. | 4.375% | 1/15/20 | 811 | 884 | |
Stryker Corp. | 2.625% | 3/15/21 | 22,325 | 23,086 | |
Stryker Corp. | 3.375% | 5/15/24 | 11,300 | 11,939 | |
Stryker Corp. | 3.375% | 11/1/25 | 14,725 | 15,471 | |
Stryker Corp. | 3.500% | 3/15/26 | 10,365 | 10,981 | |
Stryker Corp. | 4.375% | 5/15/44 | 3,400 | 3,614 | |
Stryker Corp. | 4.625% | 3/15/46 | 15,435 | 17,308 | |
Sysco Corp. | 5.250% | 2/12/18 | 3,045 | 3,232 | |
Sysco Corp. | 1.900% | 4/1/19 | 4,700 | 4,756 | |
Sysco Corp. | 2.600% | 10/1/20 | 5,575 | 5,735 | |
Sysco Corp. | 2.500% | 7/15/21 | 4,950 | 5,055 | |
Sysco Corp. | 3.750% | 10/1/25 | 4,075 | 4,390 | |
Sysco Corp. | 3.300% | 7/15/26 | 10,250 | 10,636 | |
Sysco Corp. | 5.375% | 9/21/35 | 6,655 | 7,924 | |
Sysco Corp. | 4.850% | 10/1/45 | 2,100 | 2,344 | |
Sysco Corp. | 4.500% | 4/1/46 | 3,275 | 3,494 | |
Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 7,342 | 7,790 | |
Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 15,225 | 15,452 | |
Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 1,670 | 2,001 | |
Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 5,270 | 5,613 | |
Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 12,567 | 12,680 | |
4 | Texas Health Resources | 4.330% | 11/15/55 | 1,575 | 1,774 |
The Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 12,455 | 17,872 | |
Thermo Fisher Scientific Inc. | 1.850% | 1/15/18 | 4,360 | 4,390 | |
Thermo Fisher Scientific Inc. | 2.150% | 12/14/18 | 3,525 | 3,566 | |
Thermo Fisher Scientific Inc. | 2.400% | 2/1/19 | 9,012 | 9,183 | |
Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 750 | 824 | |
Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 8,800 | 9,697 | |
Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 1,609 | 1,708 | |
Thermo Fisher Scientific Inc. | 3.300% | 2/15/22 | 11,420 | 11,851 | |
Thermo Fisher Scientific Inc. | 3.150% | 1/15/23 | 6,750 | 6,904 | |
Thermo Fisher Scientific Inc. | 3.000% | 4/15/23 | 10,000 | 10,188 | |
Thermo Fisher Scientific Inc. | 4.150% | 2/1/24 | 6,749 | 7,403 | |
Thermo Fisher Scientific Inc. | 3.650% | 12/15/25 | 8,775 | 9,215 | |
Thermo Fisher Scientific Inc. | 5.300% | 2/1/44 | 5,197 | 5,996 | |
Trinity Health Corp. | 4.125% | 12/1/45 | 2,940 | 3,263 | |
Tupperware Brands Corp. | 4.750% | 6/1/21 | 5,460 | 5,876 | |
Tyson Foods Inc. | 2.650% | 8/15/19 | 10,181 | 10,474 | |
Tyson Foods Inc. | 4.500% | 6/15/22 | 19,493 | 21,721 | |
Tyson Foods Inc. | 3.950% | 8/15/24 | 11,730 | 12,662 | |
Tyson Foods Inc. | 4.875% | 8/15/34 | 8,549 | 9,472 | |
Tyson Foods Inc. | 5.150% | 8/15/44 | 3,725 | 4,299 | |
Unilever Capital Corp. | 0.850% | 8/2/17 | 5,500 | 5,498 | |
Unilever Capital Corp. | 4.800% | 2/15/19 | 6,986 | 7,650 | |
Unilever Capital Corp. | 2.200% | 3/6/19 | 6,600 | 6,793 | |
Unilever Capital Corp. | 2.100% | 7/30/20 | 7,600 | 7,820 | |
Unilever Capital Corp. | 4.250% | 2/10/21 | 12,820 | 14,317 | |
Unilever Capital Corp. | 3.100% | 7/30/25 | 6,200 | 6,771 | |
Unilever Capital Corp. | 5.900% | 11/15/32 | 4,250 | 5,902 | |
Whirlpool Corp. | 1.650% | 11/1/17 | 3,300 | 3,321 | |
Whirlpool Corp. | 2.400% | 3/1/19 | 2,000 | 2,045 | |
Whirlpool Corp. | 4.850% | 6/15/21 | 2,763 | 3,102 | |
Whirlpool Corp. | 4.700% | 6/1/22 | 2,655 | 2,962 | |
Whirlpool Corp. | 3.700% | 3/1/23 | 1,450 | 1,545 | |
Whirlpool Corp. | 4.000% | 3/1/24 | 5,234 | 5,681 | |
Whirlpool Corp. | 3.700% | 5/1/25 | 3,305 | 3,513 | |
Whirlpool Corp. | 5.150% | 3/1/43 | 3,320 | 3,752 | |
Whirlpool Corp. | 4.500% | 6/1/46 | 7,450 | 7,773 | |
7 | Whole Foods Market Inc. | 5.200% | 12/3/25 | 15,200 | 16,158 |
Wyeth LLC | 7.250% | 3/1/23 | 2,400 | 3,147 | |
Wyeth LLC | 6.450% | 2/1/24 | 1,925 | 2,472 | |
Wyeth LLC | 6.500% | 2/1/34 | 6,675 | 9,127 | |
Wyeth LLC | 6.000% | 2/15/36 | 5,940 | 7,924 | |
Wyeth LLC | 5.950% | 4/1/37 | 34,778 | 46,346 |
79
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 3,175 | 4,114 |
Zimmer Biomet Holdings Inc. | 2.000% | 4/1/18 | 9,000 | 9,075 |
Zimmer Biomet Holdings Inc. | 4.625% | 11/30/19 | 1,850 | 2,011 |
Zimmer Biomet Holdings Inc. | 2.700% | 4/1/20 | 10,400 | 10,506 |
Zimmer Biomet Holdings Inc. | 3.375% | 11/30/21 | 5,675 | 5,926 |
Zimmer Biomet Holdings Inc. | 3.150% | 4/1/22 | 8,480 | 8,689 |
Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 23,200 | 23,894 |
Zimmer Biomet Holdings Inc. | 4.250% | 8/15/35 | 7,460 | 7,490 |
Zimmer Biomet Holdings Inc. | 5.750% | 11/30/39 | 4,058 | 4,794 |
Zimmer Biomet Holdings Inc. | 4.450% | 8/15/45 | 9,000 | 9,149 |
Zoetis Inc. | 1.875% | 2/1/18 | 2,550 | 2,558 |
Zoetis Inc. | 3.450% | 11/13/20 | 5,000 | 5,209 |
Zoetis Inc. | 3.250% | 2/1/23 | 13,385 | 13,627 |
Zoetis Inc. | 4.500% | 11/13/25 | 5,025 | 5,526 |
Zoetis Inc. | 4.700% | 2/1/43 | 8,703 | 8,613 |
Energy (2.7%) | ||||
Alberta Energy Co. Ltd. | 7.375% | 11/1/31 | 1,375 | 1,370 |
Anadarko Finance Co. | 7.500% | 5/1/31 | 9,851 | 11,768 |
Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 3,039 | 3,199 |
Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 700 | 798 |
Anadarko Petroleum Corp. | 4.850% | 3/15/21 | 2,500 | 2,653 |
Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 6,739 | 6,584 |
Anadarko Petroleum Corp. | 5.550% | 3/15/26 | 41,714 | 46,175 |
Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 14,146 | 16,180 |
Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 3,475 | 4,312 |
Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 13,865 | 15,531 |
Anadarko Petroleum Corp. | 4.500% | 7/15/44 | 300 | 274 |
Anadarko Petroleum Corp. | 6.600% | 3/15/46 | 3,300 | 3,982 |
Apache Corp. | 6.900% | 9/15/18 | 7,110 | 7,822 |
Apache Corp. | 3.625% | 2/1/21 | 5,800 | 6,051 |
Apache Corp. | 3.250% | 4/15/22 | 6,163 | 6,355 |
Apache Corp. | 2.625% | 1/15/23 | 575 | 569 |
Apache Corp. | 6.000% | 1/15/37 | 19,005 | 21,684 |
Apache Corp. | 5.100% | 9/1/40 | 12,718 | 13,310 |
Apache Corp. | 5.250% | 2/1/42 | 11,300 | 11,988 |
Apache Corp. | 4.750% | 4/15/43 | 5,676 | 5,804 |
Apache Finance Canada Corp. | 7.750% | 12/15/29 | 5,215 | 6,627 |
Baker Hughes Inc. | 3.200% | 8/15/21 | 10,502 | 11,026 |
Baker Hughes Inc. | 5.125% | 9/15/40 | 9,730 | 10,878 |
Boardwalk Pipelines LP | 5.750% | 9/15/19 | 50 | 53 |
Boardwalk Pipelines LP | 3.375% | 2/1/23 | 3,525 | 3,233 |
Boardwalk Pipelines LP | 4.950% | 12/15/24 | 8,250 | 8,119 |
Boardwalk Pipelines LP | 5.950% | 6/1/26 | 11,005 | 11,562 |
BP Capital Markets plc | 1.375% | 11/6/17 | 3,840 | 3,852 |
BP Capital Markets plc | 1.375% | 5/10/18 | 35,565 | 35,627 |
BP Capital Markets plc | 2.241% | 9/26/18 | 6,375 | 6,503 |
BP Capital Markets plc | 4.750% | 3/10/19 | 12,310 | 13,338 |
BP Capital Markets plc | 1.676% | 5/3/19 | 1,000 | 1,008 |
BP Capital Markets plc | 2.237% | 5/10/19 | 23,986 | 24,588 |
BP Capital Markets plc | 2.315% | 2/13/20 | 6,550 | 6,703 |
BP Capital Markets plc | 4.742% | 3/11/21 | 15,503 | 17,428 |
BP Capital Markets plc | 3.561% | 11/1/21 | 14,445 | 15,527 |
BP Capital Markets plc | 3.062% | 3/17/22 | 3,425 | 3,570 |
BP Capital Markets plc | 3.245% | 5/6/22 | 18,766 | 19,732 |
BP Capital Markets plc | 2.500% | 11/6/22 | 13,082 | 13,192 |
BP Capital Markets plc | 2.750% | 5/10/23 | 24,420 | 24,594 |
BP Capital Markets plc | 3.994% | 9/26/23 | 5,800 | 6,275 |
BP Capital Markets plc | 3.814% | 2/10/24 | 5,722 | 6,135 |
BP Capital Markets plc | 3.535% | 11/4/24 | 23,119 | 24,382 |
BP Capital Markets plc | 3.506% | 3/17/25 | 14,373 | 15,202 |
BP Capital Markets plc | 3.119% | 5/4/26 | 2,200 | 2,240 |
Buckeye Partners LP | 6.050% | 1/15/18 | 370 | 390 |
Buckeye Partners LP | 2.650% | 11/15/18 | 7,000 | 7,049 |
80
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Buckeye Partners LP | 4.150% | 7/1/23 | 2,975 | 2,960 |
Buckeye Partners LP | 4.350% | 10/15/24 | 400 | 398 |
Buckeye Partners LP | 5.850% | 11/15/43 | 5,775 | 5,619 |
Buckeye Partners LP | 5.600% | 10/15/44 | 1,425 | 1,338 |
Burlington Resources Finance Co. | 7.200% | 8/15/31 | 750 | 949 |
Burlington Resources Finance Co. | 7.400% | 12/1/31 | 4,150 | 5,452 |
Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 4,125 | 4,130 |
Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 4,573 | 4,481 |
Canadian Natural Resources Ltd. | 3.900% | 2/1/25 | 200 | 197 |
Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 5,318 | 5,917 |
Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 5,865 | 6,387 |
Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 4,145 | 4,226 |
Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 6,997 | 7,617 |
Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 5,439 | 5,916 |
Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 2,470 | 2,730 |
Chevron Corp. | 1.344% | 11/9/17 | 11,100 | 11,146 |
Chevron Corp. | 1.345% | 11/15/17 | 1,910 | 1,920 |
Chevron Corp. | 1.104% | 12/5/17 | 7,750 | 7,763 |
Chevron Corp. | 1.365% | 3/2/18 | 30,350 | 30,514 |
Chevron Corp. | 1.718% | 6/24/18 | 17,465 | 17,629 |
Chevron Corp. | 1.790% | 11/16/18 | 11,300 | 11,451 |
Chevron Corp. | 4.950% | 3/3/19 | 28,300 | 31,003 |
Chevron Corp. | 1.561% | 5/16/19 | 15,800 | 15,963 |
Chevron Corp. | 2.193% | 11/15/19 | 12,650 | 12,993 |
Chevron Corp. | 1.961% | 3/3/20 | 19,390 | 19,643 |
Chevron Corp. | 2.427% | 6/24/20 | 6,700 | 6,922 |
Chevron Corp. | 2.419% | 11/17/20 | 11,000 | 11,339 |
Chevron Corp. | 2.100% | 5/16/21 | 13,990 | 14,248 |
Chevron Corp. | 2.411% | 3/3/22 | 7,760 | 7,908 |
Chevron Corp. | 2.355% | 12/5/22 | 10,471 | 10,635 |
Chevron Corp. | 3.191% | 6/24/23 | 11,205 | 11,878 |
Chevron Corp. | 3.326% | 11/17/25 | 800 | 854 |
Chevron Corp. | 2.954% | 5/16/26 | 20,250 | 20,914 |
Cimarex Energy Co. | 5.875% | 5/1/22 | 3,500 | 3,665 |
Cimarex Energy Co. | 4.375% | 6/1/24 | 11,950 | 12,544 |
Columbia Pipeline Group Inc. | 2.450% | 6/1/18 | 3,475 | 3,490 |
Columbia Pipeline Group Inc. | 3.300% | 6/1/20 | 1,485 | 1,537 |
Columbia Pipeline Group Inc. | 4.500% | 6/1/25 | 9,050 | 9,690 |
Columbia Pipeline Group Inc. | 5.800% | 6/1/45 | 5,015 | 5,792 |
ConocoPhillips | 6.650% | 7/15/18 | 45 | 49 |
ConocoPhillips | 5.750% | 2/1/19 | 17,530 | 19,264 |
ConocoPhillips | 6.000% | 1/15/20 | 400 | 454 |
ConocoPhillips | 5.900% | 10/15/32 | 13,226 | 15,509 |
ConocoPhillips | 5.900% | 5/15/38 | 4,312 | 5,158 |
ConocoPhillips | 6.500% | 2/1/39 | 17,607 | 22,646 |
ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 4,720 | 5,587 |
ConocoPhillips Co. | 1.050% | 12/15/17 | 1,952 | 1,942 |
ConocoPhillips Co. | 2.200% | 5/15/20 | 1,150 | 1,160 |
ConocoPhillips Co. | 4.200% | 3/15/21 | 9,800 | 10,590 |
ConocoPhillips Co. | 2.875% | 11/15/21 | 13,300 | 13,560 |
ConocoPhillips Co. | 2.400% | 12/15/22 | 11,475 | 11,345 |
ConocoPhillips Co. | 3.350% | 11/15/24 | 4,313 | 4,441 |
ConocoPhillips Co. | 3.350% | 5/15/25 | 250 | 256 |
ConocoPhillips Co. | 4.950% | 3/15/26 | 19,861 | 22,515 |
ConocoPhillips Co. | 4.150% | 11/15/34 | 6,366 | 6,364 |
ConocoPhillips Co. | 4.300% | 11/15/44 | 18,362 | 18,564 |
ConocoPhillips Co. | 5.950% | 3/15/46 | 6,724 | 8,373 |
ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 8,718 | 10,877 |
Devon Energy Corp. | 2.250% | 12/15/18 | 5,755 | 5,705 |
Devon Energy Corp. | 6.300% | 1/15/19 | 35 | 38 |
Devon Energy Corp. | 4.000% | 7/15/21 | 5,965 | 6,040 |
Devon Energy Corp. | 3.250% | 5/15/22 | 18,285 | 17,730 |
Devon Energy Corp. | 5.850% | 12/15/25 | 6,150 | 6,790 |
Devon Energy Corp. | 7.950% | 4/15/32 | 8,755 | 10,260 |
81
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Devon Energy Corp. | 5.600% | 7/15/41 | 9,399 | 9,065 |
Devon Energy Corp. | 4.750% | 5/15/42 | 9,672 | 8,612 |
Devon Energy Corp. | 5.000% | 6/15/45 | 4,703 | 4,375 |
Devon Financing Co. LLC | 7.875% | 9/30/31 | 16,736 | 19,408 |
Dominion Gas Holdings LLC | 2.800% | 11/15/20 | 4,800 | 4,967 |
Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 14,025 | 14,807 |
Dominion Gas Holdings LLC | 3.600% | 12/15/24 | 7,825 | 8,296 |
Dominion Gas Holdings LLC | 4.800% | 11/1/43 | 5,400 | 5,856 |
Dominion Gas Holdings LLC | 4.600% | 12/15/44 | 4,925 | 5,206 |
El Paso Natural Gas Co. LLC | 8.625% | 1/15/22 | 6,694 | 7,894 |
El Paso Natural Gas Co. LLC | 8.375% | 6/15/32 | 1,408 | 1,647 |
Enable Midstream Partners LP | 2.400% | 5/15/19 | 4,000 | 3,750 |
Enable Midstream Partners LP | 3.900% | 5/15/24 | 10,994 | 9,798 |
Enable Midstream Partners LP | 5.000% | 5/15/44 | 1,275 | 1,001 |
Enbridge Energy Partners LP | 6.500% | 4/15/18 | 6,305 | 6,693 |
Enbridge Energy Partners LP | 9.875% | 3/1/19 | 8,235 | 9,469 |
Enbridge Energy Partners LP | 4.375% | 10/15/20 | 1,400 | 1,444 |
Enbridge Energy Partners LP | 4.200% | 9/15/21 | 500 | 513 |
Enbridge Energy Partners LP | 5.875% | 10/15/25 | 3,500 | 3,857 |
Enbridge Energy Partners LP | 7.500% | 4/15/38 | 11,035 | 12,988 |
Enbridge Energy Partners LP | 5.500% | 9/15/40 | 8,520 | 8,316 |
Enbridge Energy Partners LP | 7.375% | 10/15/45 | 2,231 | 2,722 |
Enbridge Inc. | 4.500% | 6/10/44 | 4,100 | 3,587 |
Encana Corp. | 6.500% | 5/15/19 | 6,500 | 6,922 |
Encana Corp. | 3.900% | 11/15/21 | 6,992 | 6,808 |
Encana Corp. | 6.500% | 8/15/34 | 18,415 | 18,254 |
Encana Corp. | 6.625% | 8/15/37 | 348 | 349 |
Encana Corp. | 6.500% | 2/1/38 | 5,000 | 4,969 |
Energy Transfer Partners LP | 2.500% | 6/15/18 | 3,530 | 3,517 |
Energy Transfer Partners LP | 6.700% | 7/1/18 | 8,372 | 8,908 |
Energy Transfer Partners LP | 9.000% | 4/15/19 | 22,188 | 24,915 |
Energy Transfer Partners LP | 4.150% | 10/1/20 | 7,251 | 7,360 |
Energy Transfer Partners LP | 4.650% | 6/1/21 | 4,500 | 4,657 |
Energy Transfer Partners LP | 5.200% | 2/1/22 | 6,966 | 7,357 |
Energy Transfer Partners LP | 3.600% | 2/1/23 | 18,833 | 18,038 |
Energy Transfer Partners LP | 4.900% | 2/1/24 | 1,620 | 1,663 |
Energy Transfer Partners LP | 7.600% | 2/1/24 | 4,822 | 5,399 |
Energy Transfer Partners LP | 4.050% | 3/15/25 | 6,175 | 6,084 |
Energy Transfer Partners LP | 4.750% | 1/15/26 | 13,685 | 14,113 |
Energy Transfer Partners LP | 8.250% | 11/15/29 | 10 | 12 |
Energy Transfer Partners LP | 4.900% | 3/15/35 | 4,150 | 3,734 |
Energy Transfer Partners LP | 6.625% | 10/15/36 | 3,495 | 3,664 |
Energy Transfer Partners LP | 7.500% | 7/1/38 | 7,457 | 8,218 |
Energy Transfer Partners LP | 6.050% | 6/1/41 | 4,300 | 4,217 |
Energy Transfer Partners LP | 6.500% | 2/1/42 | 17,710 | 18,496 |
Energy Transfer Partners LP | 5.150% | 2/1/43 | 1,524 | 1,364 |
Energy Transfer Partners LP | 5.950% | 10/1/43 | 3,935 | 3,881 |
Energy Transfer Partners LP | 5.150% | 3/15/45 | 503 | 467 |
Energy Transfer Partners LP | 6.125% | 12/15/45 | 8,100 | 8,408 |
EnLink Midstream Partners LP | 2.700% | 4/1/19 | 750 | 724 |
EnLink Midstream Partners LP | 4.400% | 4/1/24 | 5,975 | 5,602 |
EnLink Midstream Partners LP | 4.150% | 6/1/25 | 5,599 | 5,207 |
EnLink Midstream Partners LP | 5.600% | 4/1/44 | 6,545 | 5,498 |
Enterprise Products Operating LLC | 6.300% | 9/15/17 | 13,515 | 14,277 |
Enterprise Products Operating LLC | 6.650% | 4/15/18 | 5,950 | 6,463 |
Enterprise Products Operating LLC | 1.650% | 5/7/18 | 8,040 | 8,067 |
Enterprise Products Operating LLC | 6.500% | 1/31/19 | 9,444 | 10,558 |
Enterprise Products Operating LLC | 2.550% | 10/15/19 | 11,185 | 11,489 |
Enterprise Products Operating LLC | 5.250% | 1/31/20 | 845 | 939 |
Enterprise Products Operating LLC | 5.200% | 9/1/20 | 3,143 | 3,533 |
Enterprise Products Operating LLC | 2.850% | 4/15/21 | 1,000 | 1,031 |
Enterprise Products Operating LLC | 4.050% | 2/15/22 | 225 | 243 |
Enterprise Products Operating LLC | 3.350% | 3/15/23 | 10,686 | 10,973 |
Enterprise Products Operating LLC | 3.900% | 2/15/24 | 18,570 | 19,654 |
82
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Enterprise Products Operating LLC | 3.750% | 2/15/25 | 16,150 | 16,956 |
Enterprise Products Operating LLC | 3.700% | 2/15/26 | 7,165 | 7,498 |
Enterprise Products Operating LLC | 3.950% | 2/15/27 | 5,400 | 5,739 |
Enterprise Products Operating LLC | 6.875% | 3/1/33 | 7,343 | 8,978 |
Enterprise Products Operating LLC | 6.650% | 10/15/34 | 1,485 | 1,796 |
Enterprise Products Operating LLC | 5.750% | 3/1/35 | 5,200 | 5,802 |
Enterprise Products Operating LLC | 7.550% | 4/15/38 | 2,969 | 3,866 |
Enterprise Products Operating LLC | 6.125% | 10/15/39 | 5,335 | 6,317 |
Enterprise Products Operating LLC | 6.450% | 9/1/40 | 743 | 911 |
Enterprise Products Operating LLC | 5.950% | 2/1/41 | 5,419 | 6,362 |
Enterprise Products Operating LLC | 5.700% | 2/15/42 | 7,145 | 8,377 |
Enterprise Products Operating LLC | 4.850% | 8/15/42 | 7,775 | 8,274 |
Enterprise Products Operating LLC | 4.450% | 2/15/43 | 19,042 | 19,122 |
Enterprise Products Operating LLC | 4.850% | 3/15/44 | 18,087 | 19,223 |
Enterprise Products Operating LLC | 5.100% | 2/15/45 | 6,340 | 6,978 |
Enterprise Products Operating LLC | 4.900% | 5/15/46 | 18,045 | 19,464 |
Enterprise Products Operating LLC | 4.950% | 10/15/54 | 4,320 | 4,431 |
EOG Resources Inc. | 5.875% | 9/15/17 | 5,440 | 5,728 |
EOG Resources Inc. | 5.625% | 6/1/19 | 1,006 | 1,111 |
EOG Resources Inc. | 4.400% | 6/1/20 | 9,175 | 9,943 |
EOG Resources Inc. | 4.100% | 2/1/21 | 9,735 | 10,565 |
EOG Resources Inc. | 2.625% | 3/15/23 | 15,403 | 15,346 |
EOG Resources Inc. | 3.150% | 4/1/25 | 7,500 | 7,641 |
EOG Resources Inc. | 4.150% | 1/15/26 | 4,500 | 4,928 |
EOG Resources Inc. | 3.900% | 4/1/35 | 5,076 | 5,081 |
EQT Corp. | 6.500% | 4/1/18 | 16,650 | 17,350 |
EQT Corp. | 8.125% | 6/1/19 | 4,400 | 4,848 |
EQT Corp. | 4.875% | 11/15/21 | 6,600 | 7,022 |
EQT Midstream Partners LP | 4.000% | 8/1/24 | 3,210 | 3,095 |
Exxon Mobil Corp. | 1.439% | 3/1/18 | 38,100 | 38,446 |
Exxon Mobil Corp. | 1.305% | 3/6/18 | 25,000 | 25,174 |
Exxon Mobil Corp. | 1.819% | 3/15/19 | 2,078 | 2,117 |
Exxon Mobil Corp. | 1.912% | 3/6/20 | 8,041 | 8,198 |
Exxon Mobil Corp. | 2.222% | 3/1/21 | 21,000 | 21,648 |
Exxon Mobil Corp. | 2.397% | 3/6/22 | 29,350 | 30,158 |
Exxon Mobil Corp. | 2.726% | 3/1/23 | 29,000 | 30,244 |
Exxon Mobil Corp. | 2.709% | 3/6/25 | 19,700 | 20,543 |
Exxon Mobil Corp. | 3.043% | 3/1/26 | 12,300 | 13,027 |
Exxon Mobil Corp. | 3.567% | 3/6/45 | 9,225 | 9,552 |
Exxon Mobil Corp. | 4.114% | 3/1/46 | 21,925 | 24,690 |
FMC Technologies Inc. | 2.000% | 10/1/17 | 5,075 | 5,026 |
FMC Technologies Inc. | 3.450% | 10/1/22 | 1,292 | 1,233 |
Gulf South Pipeline Co. LP | 4.000% | 6/15/22 | 750 | 719 |
Halliburton Co. | 1.000% | 8/1/16 | 5,125 | 5,125 |
Halliburton Co. | 2.000% | 8/1/18 | 5,375 | 5,414 |
Halliburton Co. | 5.900% | 9/15/18 | 2,970 | 3,225 |
Halliburton Co. | 6.150% | 9/15/19 | 2,145 | 2,435 |
Halliburton Co. | 3.500% | 8/1/23 | 4,942 | 5,125 |
Halliburton Co. | 3.800% | 11/15/25 | 44,100 | 45,988 |
Halliburton Co. | 4.850% | 11/15/35 | 5,085 | 5,504 |
Halliburton Co. | 6.700% | 9/15/38 | 10,240 | 13,005 |
Halliburton Co. | 7.450% | 9/15/39 | 5,484 | 7,578 |
Halliburton Co. | 4.500% | 11/15/41 | 5,196 | 5,194 |
Halliburton Co. | 4.750% | 8/1/43 | 9,150 | 9,575 |
Halliburton Co. | 5.000% | 11/15/45 | 14,975 | 16,388 |
Hess Corp. | 8.125% | 2/15/19 | 13,174 | 14,713 |
Hess Corp. | 3.500% | 7/15/24 | 5,250 | 5,077 |
Hess Corp. | 7.875% | 10/1/29 | 5,933 | 7,068 |
Hess Corp. | 7.300% | 8/15/31 | 4,628 | 5,312 |
Hess Corp. | 7.125% | 3/15/33 | 4,642 | 5,134 |
Hess Corp. | 6.000% | 1/15/40 | 14,268 | 14,738 |
Hess Corp. | 5.600% | 2/15/41 | 8,231 | 8,228 |
Husky Energy Inc. | 6.150% | 6/15/19 | 800 | 862 |
Husky Energy Inc. | 7.250% | 12/15/19 | 6,616 | 7,443 |
83
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Husky Energy Inc. | 3.950% | 4/15/22 | 2,921 | 2,973 |
Husky Energy Inc. | 4.000% | 4/15/24 | 13,590 | 13,851 |
Husky Energy Inc. | 6.800% | 9/15/37 | 2,601 | 2,986 |
Kerr-McGee Corp. | 6.950% | 7/1/24 | 9,270 | 10,722 |
Kerr-McGee Corp. | 7.875% | 9/15/31 | 1,724 | 2,046 |
Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 11,440 | 12,076 |
Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 13,765 | 13,760 |
Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 4,960 | 5,554 |
Kinder Morgan Energy Partners LP | 6.500% | 4/1/20 | 2,200 | 2,427 |
Kinder Morgan Energy Partners LP | 3.500% | 3/1/21 | 5,625 | 5,646 |
Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 5,415 | 5,945 |
Kinder Morgan Energy Partners LP | 5.000% | 10/1/21 | 10,450 | 11,074 |
Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 4,000 | 4,058 |
Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 8,000 | 8,103 |
Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 6,880 | 6,691 |
Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 10,699 | 10,483 |
Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 9,300 | 9,401 |
Kinder Morgan Energy Partners LP | 4.250% | 9/1/24 | 7,970 | 8,071 |
Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 85 | 93 |
Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 2,465 | 2,685 |
Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 5,699 | 5,857 |
Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 20,691 | 21,720 |
Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 3,668 | 4,056 |
Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 5,695 | 5,958 |
Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 5,000 | 5,248 |
Kinder Morgan Energy Partners LP | 7.500% | 11/15/40 | 6,331 | 7,168 |
Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 10,601 | 10,284 |
Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 1,645 | 1,551 |
Kinder Morgan Energy Partners LP | 4.700% | 11/1/42 | 10,974 | 9,897 |
Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 2,091 | 1,973 |
Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 10,845 | 10,855 |
Kinder Morgan Energy Partners LP | 5.400% | 9/1/44 | 1,009 | 998 |
Kinder Morgan Inc. | 2.000% | 12/1/17 | 5,000 | 4,974 |
Kinder Morgan Inc. | 3.050% | 12/1/19 | 9,925 | 10,029 |
Kinder Morgan Inc. | 4.300% | 6/1/25 | 7,250 | 7,420 |
Kinder Morgan Inc. | 7.800% | 8/1/31 | 4,550 | 5,124 |
Kinder Morgan Inc. | 7.750% | 1/15/32 | 9,453 | 10,698 |
Kinder Morgan Inc. | 5.300% | 12/1/34 | 10,517 | 10,331 |
Kinder Morgan Inc. | 5.550% | 6/1/45 | 18,968 | 19,289 |
Magellan Midstream Partners LP | 6.400% | 7/15/18 | 9,010 | 9,796 |
Magellan Midstream Partners LP | 6.550% | 7/15/19 | 9,640 | 10,884 |
Magellan Midstream Partners LP | 4.250% | 2/1/21 | 3,945 | 4,266 |
Magellan Midstream Partners LP | 3.200% | 3/15/25 | 925 | 923 |
Magellan Midstream Partners LP | 5.000% | 3/1/26 | 1,500 | 1,698 |
Magellan Midstream Partners LP | 6.400% | 5/1/37 | 2,900 | 3,420 |
Magellan Midstream Partners LP | 4.200% | 12/1/42 | 2,400 | 2,288 |
Magellan Midstream Partners LP | 5.150% | 10/15/43 | 176 | 189 |
Magellan Midstream Partners LP | 4.200% | 3/15/45 | 2,201 | 2,077 |
Marathon Oil Corp. | 6.000% | 10/1/17 | 13,905 | 14,434 |
Marathon Oil Corp. | 5.900% | 3/15/18 | 4,057 | 4,219 |
Marathon Oil Corp. | 2.700% | 6/1/20 | 4,515 | 4,244 |
Marathon Oil Corp. | 2.800% | 11/1/22 | 17,596 | 15,924 |
Marathon Oil Corp. | 3.850% | 6/1/25 | 115 | 105 |
Marathon Oil Corp. | 6.800% | 3/15/32 | 7,117 | 7,259 |
Marathon Oil Corp. | 6.600% | 10/1/37 | 4,938 | 4,975 |
Marathon Oil Corp. | 5.200% | 6/1/45 | 6,275 | 5,491 |
Marathon Petroleum Corp. | 2.700% | 12/14/18 | 4,500 | 4,599 |
Marathon Petroleum Corp. | 3.400% | 12/15/20 | 5,950 | 6,150 |
Marathon Petroleum Corp. | 5.125% | 3/1/21 | 12,865 | 14,148 |
Marathon Petroleum Corp. | 3.625% | 9/15/24 | 6,325 | 6,215 |
Marathon Petroleum Corp. | 6.500% | 3/1/41 | 14,484 | 15,442 |
Marathon Petroleum Corp. | 4.750% | 9/15/44 | 1,802 | 1,536 |
Marathon Petroleum Corp. | 5.850% | 12/15/45 | 1,459 | 1,418 |
Marathon Petroleum Corp. | 5.000% | 9/15/54 | 3,052 | 2,552 |
84
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
7 | MPLX LP | 4.500% | 7/15/23 | 22,032 | 21,426 |
7 | MPLX LP | 4.875% | 12/1/24 | 18,210 | 17,755 |
7 | MPLX LP | 4.875% | 6/1/25 | 3,400 | 3,315 |
Nabors Industries Inc. | 6.150% | 2/15/18 | 20,435 | 20,844 | |
Nabors Industries Inc. | 9.250% | 1/15/19 | 1,725 | 1,833 | |
Nabors Industries Inc. | 5.000% | 9/15/20 | 2,325 | 2,188 | |
Nabors Industries Inc. | 4.625% | 9/15/21 | 4,650 | 4,255 | |
Nabors Industries Inc. | 5.100% | 9/15/23 | 4,825 | 4,294 | |
National Fuel Gas Co. | 6.500% | 4/15/18 | 6,000 | 6,375 | |
National Fuel Gas Co. | 8.750% | 5/1/19 | 1,600 | 1,814 | |
National Fuel Gas Co. | 4.900% | 12/1/21 | 550 | 579 | |
National Fuel Gas Co. | 3.750% | 3/1/23 | 3,660 | 3,556 | |
National Fuel Gas Co. | 5.200% | 7/15/25 | 1,900 | 1,971 | |
National Oilwell Varco Inc. | 1.350% | 12/1/17 | 12,150 | 12,066 | |
National Oilwell Varco Inc. | 2.600% | 12/1/22 | 25,491 | 23,777 | |
National Oilwell Varco Inc. | 3.950% | 12/1/42 | 8,598 | 6,801 | |
Noble Energy Inc. | 8.250% | 3/1/19 | 9,799 | 11,221 | |
Noble Energy Inc. | 4.150% | 12/15/21 | 8,965 | 9,441 | |
Noble Energy Inc. | 3.900% | 11/15/24 | 1,400 | 1,428 | |
Noble Energy Inc. | 8.000% | 4/1/27 | 725 | 858 | |
Noble Energy Inc. | 6.000% | 3/1/41 | 15,651 | 17,028 | |
Noble Energy Inc. | 5.250% | 11/15/43 | 8,327 | 8,457 | |
Noble Energy Inc. | 5.050% | 11/15/44 | 3,025 | 3,046 | |
Occidental Petroleum Corp. | 1.500% | 2/15/18 | 2,350 | 2,359 | |
Occidental Petroleum Corp. | 4.100% | 2/1/21 | 20,135 | 22,081 | |
Occidental Petroleum Corp. | 3.125% | 2/15/22 | 5,895 | 6,171 | |
Occidental Petroleum Corp. | 2.700% | 2/15/23 | 10,968 | 11,178 | |
Occidental Petroleum Corp. | 3.500% | 6/15/25 | 4,300 | 4,577 | |
Occidental Petroleum Corp. | 3.400% | 4/15/26 | 7,254 | 7,652 | |
Occidental Petroleum Corp. | 4.625% | 6/15/45 | 7,756 | 8,795 | |
Occidental Petroleum Corp. | 4.400% | 4/15/46 | 13,928 | 15,323 | |
Oceaneering International Inc. | 4.650% | 11/15/24 | 4,331 | 4,161 | |
ONEOK Partners LP | 2.000% | 10/1/17 | 200 | 200 | |
ONEOK Partners LP | 3.200% | 9/15/18 | 100 | 101 | |
ONEOK Partners LP | 8.625% | 3/1/19 | 10,150 | 11,513 | |
ONEOK Partners LP | 3.375% | 10/1/22 | 14,527 | 14,272 | |
ONEOK Partners LP | 4.900% | 3/15/25 | 5,700 | 6,003 | |
ONEOK Partners LP | 6.650% | 10/1/36 | 14,219 | 14,978 | |
ONEOK Partners LP | 6.850% | 10/15/37 | 1,825 | 1,977 | |
ONEOK Partners LP | 6.125% | 2/1/41 | 5,165 | 5,416 | |
Panhandle Eastern Pipe Line Co. LP | 6.200% | 11/1/17 | 13,357 | 13,896 | |
Panhandle Eastern Pipe Line Co. LP | 7.000% | 6/15/18 | 300 | 322 | |
Petro-Canada | 6.050% | 5/15/18 | 13,010 | 13,992 | |
Petro-Canada | 7.875% | 6/15/26 | 2,800 | 3,620 | |
Petro-Canada | 5.350% | 7/15/33 | 4,825 | 5,304 | |
Petro-Canada | 5.950% | 5/15/35 | 8,410 | 9,962 | |
Petro-Canada | 6.800% | 5/15/38 | 8,559 | 10,999 | |
Phillips 66 | 4.300% | 4/1/22 | 17,440 | 19,056 | |
Phillips 66 | 4.650% | 11/15/34 | 4,990 | 5,241 | |
Phillips 66 | 5.875% | 5/1/42 | 13,806 | 16,584 | |
Phillips 66 | 4.875% | 11/15/44 | 26,131 | 28,521 | |
Phillips 66 Partners LP | 2.646% | 2/15/20 | 1,850 | 1,860 | |
Phillips 66 Partners LP | 3.605% | 2/15/25 | 7,618 | 7,360 | |
Phillips 66 Partners LP | 4.680% | 2/15/45 | 2,050 | 1,906 | |
Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 9,800 | 10,599 | |
Pioneer Natural Resources Co. | 3.450% | 1/15/21 | 3,100 | 3,197 | |
Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 10,310 | 10,810 | |
Pioneer Natural Resources Co. | 4.450% | 1/15/26 | 17,750 | 19,369 | |
Pioneer Natural Resources Co. | 7.200% | 1/15/28 | 2,400 | 2,957 | |
Plains All American Pipeline LP / PAA Finance Corp. | 6.500% | 5/1/18 | 4,210 | 4,465 | |
Plains All American Pipeline LP / PAA Finance Corp. | 8.750% | 5/1/19 | 2,986 | 3,409 | |
Plains All American Pipeline LP / PAA Finance Corp. | 2.600% | 12/15/19 | 100 | 97 | |
Plains All American Pipeline LP / PAA Finance Corp. | 5.750% | 1/15/20 | 9,856 | 10,544 | |
Plains All American Pipeline LP / PAA Finance Corp. | 5.000% | 2/1/21 | 6,512 | 6,858 |
85
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 4,154 | 4,075 |
Plains All American Pipeline LP / PAA Finance Corp. | 2.850% | 1/31/23 | 12,470 | 11,481 |
Plains All American Pipeline LP / PAA Finance Corp. | 3.850% | 10/15/23 | 3,834 | 3,717 |
Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 22,615 | 21,237 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.650% | 10/15/25 | 3,458 | 3,493 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.700% | 5/15/36 | 400 | 418 |
Plains All American Pipeline LP / PAA Finance Corp. | 6.650% | 1/15/37 | 2,075 | 2,145 |
Plains All American Pipeline LP / PAA Finance Corp. | 5.150% | 6/1/42 | 7,525 | 6,660 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.300% | 1/31/43 | 13,297 | 10,559 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.700% | 6/15/44 | 4,310 | 3,683 |
Plains All American Pipeline LP / PAA Finance Corp. | 4.900% | 2/15/45 | 200 | 179 |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 5.750% | 9/1/20 | 50 | 53 |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 6.500% | 7/15/21 | 11,989 | 12,394 |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 5.875% | 3/1/22 | 7,565 | 8,095 |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 5.000% | 10/1/22 | 20,550 | 21,064 |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 5.500% | 4/15/23 | 9,100 | 9,168 |
Regency Energy Partners LP / Regency Energy Finance | ||||
Corp. | 4.500% | 11/1/23 | 13,800 | 13,524 |
Repsol Oil & Gas Canada Inc. | 7.750% | 6/1/19 | 9,497 | 10,280 |
Repsol Oil & Gas Canada Inc. | 3.750% | 2/1/21 | 5,579 | 5,084 |
Schlumberger Investment SA | 3.650% | 12/1/23 | 10,525 | 11,290 |
Shell International Finance BV | 1.125% | 8/21/17 | 9,185 | 9,199 |
Shell International Finance BV | 1.250% | 11/10/17 | 4,000 | 4,012 |
Shell International Finance BV | 1.900% | 8/10/18 | 31,340 | 31,829 |
Shell International Finance BV | 1.625% | 11/10/18 | 7,200 | 7,268 |
Shell International Finance BV | 2.000% | 11/15/18 | 10,450 | 10,626 |
Shell International Finance BV | 1.375% | 5/10/19 | 24,750 | 24,833 |
Shell International Finance BV | 4.300% | 9/22/19 | 28,250 | 30,717 |
Shell International Finance BV | 4.375% | 3/25/20 | 7,950 | 8,715 |
Shell International Finance BV | 2.125% | 5/11/20 | 12,375 | 12,606 |
Shell International Finance BV | 2.250% | 11/10/20 | 1,450 | 1,484 |
Shell International Finance BV | 1.875% | 5/10/21 | 24,700 | 24,794 |
Shell International Finance BV | 2.375% | 8/21/22 | 7,015 | 7,135 |
Shell International Finance BV | 2.250% | 1/6/23 | 11,653 | 11,649 |
Shell International Finance BV | 3.400% | 8/12/23 | 9,520 | 10,135 |
Shell International Finance BV | 3.250% | 5/11/25 | 19,850 | 20,760 |
Shell International Finance BV | 2.875% | 5/10/26 | 29,100 | 29,550 |
Shell International Finance BV | 4.125% | 5/11/35 | 20,650 | 22,098 |
Shell International Finance BV | 6.375% | 12/15/38 | 30,542 | 41,504 |
Shell International Finance BV | 5.500% | 3/25/40 | 6,908 | 8,572 |
Shell International Finance BV | 4.550% | 8/12/43 | 12,691 | 13,886 |
Shell International Finance BV | 4.375% | 5/11/45 | 22,925 | 24,930 |
Shell International Finance BV | 4.000% | 5/10/46 | 21,600 | 22,137 |
Southern Natural Gas Co. LLC | 8.000% | 3/1/32 | 8,150 | 9,041 |
Southern Natural Gas Co. LLC / Southern Natural | ||||
Issuing Corp. | 4.400% | 6/15/21 | 6,443 | 6,745 |
Spectra Energy Capital LLC | 6.200% | 4/15/18 | 14,500 | 15,411 |
Spectra Energy Capital LLC | 6.750% | 2/15/32 | 3,050 | 3,238 |
Spectra Energy Capital LLC | 7.500% | 9/15/38 | 995 | 1,139 |
Spectra Energy Partners LP | 2.950% | 9/25/18 | 575 | 587 |
Spectra Energy Partners LP | 4.750% | 3/15/24 | 2,600 | 2,896 |
Spectra Energy Partners LP | 3.500% | 3/15/25 | 13,570 | 13,944 |
Spectra Energy Partners LP | 5.950% | 9/25/43 | 500 | 592 |
Spectra Energy Partners LP | 4.500% | 3/15/45 | 9,550 | 9,747 |
Suncor Energy Inc. | 6.100% | 6/1/18 | 1,775 | 1,907 |
Suncor Energy Inc. | 3.600% | 12/1/24 | 1,265 | 1,320 |
Suncor Energy Inc. | 7.150% | 2/1/32 | 4,903 | 6,132 |
Suncor Energy Inc. | 5.950% | 12/1/34 | 260 | 308 |
Suncor Energy Inc. | 6.500% | 6/15/38 | 18,602 | 24,223 |
86
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Suncor Energy Inc. | 6.850% | 6/1/39 | 2,859 | 3,799 | |
Sunoco Logistics Partners Operations LP | 5.500% | 2/15/20 | 3,305 | 3,548 | |
Sunoco Logistics Partners Operations LP | 4.400% | 4/1/21 | 23,900 | 25,051 | |
Sunoco Logistics Partners Operations LP | 3.450% | 1/15/23 | 1,164 | 1,138 | |
Sunoco Logistics Partners Operations LP | 4.250% | 4/1/24 | 2,250 | 2,252 | |
Sunoco Logistics Partners Operations LP | 5.950% | 12/1/25 | 6,400 | 7,139 | |
Sunoco Logistics Partners Operations LP | 6.850% | 2/15/40 | 750 | 795 | |
Sunoco Logistics Partners Operations LP | 6.100% | 2/15/42 | 10,440 | 10,738 | |
Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 225 | 206 | |
Sunoco Logistics Partners Operations LP | 5.300% | 4/1/44 | 6,878 | 6,786 | |
Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 5,725 | 5,664 | |
Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 1,720 | 1,886 | |
Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 1,342 | 1,583 | |
7 | Texas Eastern Transmission LP | 2.800% | 10/15/22 | 165 | 163 |
Texas Eastern Transmission LP | 7.000% | 7/15/32 | 5,900 | 7,240 | |
Tosco Corp. | 7.800% | 1/1/27 | 875 | 1,116 | |
Tosco Corp. | 8.125% | 2/15/30 | 17,805 | 23,744 | |
Total Capital Canada Ltd. | 1.450% | 1/15/18 | 8,014 | 8,068 | |
Total Capital Canada Ltd. | 2.750% | 7/15/23 | 22,865 | 23,491 | |
Total Capital International SA | 2.125% | 1/10/19 | 13,560 | 13,824 | |
Total Capital International SA | 2.100% | 6/19/19 | 8,400 | 8,605 | |
Total Capital International SA | 2.750% | 6/19/21 | 27,098 | 28,178 | |
Total Capital International SA | 2.875% | 2/17/22 | 6,465 | 6,714 | |
Total Capital International SA | 2.700% | 1/25/23 | 8,800 | 9,021 | |
Total Capital International SA | 3.700% | 1/15/24 | 15,200 | 16,580 | |
Total Capital International SA | 3.750% | 4/10/24 | 9,080 | 9,953 | |
Total Capital SA | 2.125% | 8/10/18 | 11,460 | 11,697 | |
Total Capital SA | 4.450% | 6/24/20 | 13,365 | 14,800 | |
Total Capital SA | 4.125% | 1/28/21 | 9,002 | 9,889 | |
TransCanada PipeLines Ltd. | 1.625% | 11/9/17 | 24,500 | 24,591 | |
TransCanada PipeLines Ltd. | 6.500% | 8/15/18 | 16,655 | 18,237 | |
TransCanada PipeLines Ltd. | 7.125% | 1/15/19 | 925 | 1,043 | |
TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 17,050 | 18,202 | |
TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 11,655 | 11,579 | |
TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 25,800 | 29,495 | |
TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 5,100 | 5,441 | |
TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 3,055 | 3,479 | |
TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 14,410 | 16,955 | |
TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 7,835 | 9,597 | |
TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 5,436 | 7,460 | |
TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 7,774 | 10,942 | |
TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 6,400 | 7,172 | |
Transcontinental Gas Pipe Line Co. LLC | 5.400% | 8/15/41 | 368 | 370 | |
Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 650 | 594 | |
Valero Energy Corp. | 9.375% | 3/15/19 | 9,926 | 11,833 | |
Valero Energy Corp. | 6.125% | 2/1/20 | 13,770 | 15,428 | |
Valero Energy Corp. | 3.650% | 3/15/25 | 6,809 | 6,821 | |
Valero Energy Corp. | 7.500% | 4/15/32 | 10,671 | 12,709 | |
Valero Energy Corp. | 6.625% | 6/15/37 | 9,803 | 10,772 | |
Valero Energy Corp. | 10.500% | 3/15/39 | 323 | 470 | |
Valero Energy Corp. | 4.900% | 3/15/45 | 12,735 | 11,788 | |
Western Gas Partners LP | 2.600% | 8/15/18 | 5,700 | 5,671 | |
Western Gas Partners LP | 5.375% | 6/1/21 | 5,075 | 5,367 | |
Western Gas Partners LP | 3.950% | 6/1/25 | 4,755 | 4,529 | |
Western Gas Partners LP | 5.450% | 4/1/44 | 8,150 | 7,793 | |
Williams Partners LP | 5.250% | 3/15/20 | 7,375 | 7,569 | |
Williams Partners LP | 4.000% | 11/15/21 | 4,425 | 4,314 | |
Williams Partners LP | 3.600% | 3/15/22 | 30,260 | 28,596 | |
Williams Partners LP | 3.350% | 8/15/22 | 9,500 | 8,669 | |
Williams Partners LP | 4.500% | 11/15/23 | 3,800 | 3,629 | |
Williams Partners LP | 4.300% | 3/4/24 | 13,325 | 12,625 | |
Williams Partners LP | 3.900% | 1/15/25 | 13,391 | 12,236 | |
Williams Partners LP | 4.000% | 9/15/25 | 6,605 | 6,052 | |
Williams Partners LP | 6.300% | 4/15/40 | 2,840 | 2,702 |
87
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Williams Partners LP | 5.800% | 11/15/43 | 14,705 | 13,712 | |
Williams Partners LP | 5.400% | 3/4/44 | 4,000 | 3,560 | |
Williams Partners LP | 4.900% | 1/15/45 | 1,085 | 922 | |
Williams Partners LP | 5.100% | 9/15/45 | 16,440 | 14,097 | |
Williams Partners LP / ACMP Finance Corp. | 6.125% | 7/15/22 | 200 | 204 | |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 5/15/23 | 6,305 | 6,084 | |
Williams Partners LP / ACMP Finance Corp. | 4.875% | 3/15/24 | 16,218 | 15,569 | |
XTO Energy Inc. | 6.250% | 8/1/17 | 9,075 | 9,593 | |
XTO Energy Inc. | 5.500% | 6/15/18 | 500 | 541 | |
XTO Energy Inc. | 6.750% | 8/1/37 | 600 | 883 | |
Other Industrial (0.1%) | |||||
California Institute of Technology GO | 4.321% | 8/1/45 | 700 | 836 | |
California Institute of Technology GO | 4.700% | 11/1/11 | 11,700 | 12,830 | |
CBRE Services Inc. | 5.250% | 3/15/25 | 5,425 | 5,676 | |
CBRE Services Inc. | 4.875% | 3/1/26 | 13,435 | 13,872 | |
Cintas Corp. No 2 | 6.125% | 12/1/17 | 1,625 | 1,738 | |
Cintas Corp. No 2 | 3.250% | 6/1/22 | 4,015 | 4,297 | |
Fluor Corp. | 3.375% | 9/15/21 | 2,025 | 2,146 | |
Fluor Corp. | 3.500% | 12/15/24 | 10,459 | 11,172 | |
Howard Hughes Medical Institute Revenue | 3.500% | 9/1/23 | 5,141 | 5,676 | |
4 | Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 4,125 | 4,582 |
4 | Massachusetts Institute of Technology GO | 3.959% | 7/1/38 | 7,975 | 9,108 |
Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 9,585 | 13,694 | |
Massachusetts Institute of Technology GO | 4.678% | 7/1/14 | 4,450 | 5,306 | |
4 | Northwestern University Illinois GO | 3.688% | 12/1/38 | 6,150 | 6,696 |
4 | Northwestern University Illinois GO | 4.643% | 12/1/44 | 4,550 | 5,743 |
4 | Northwestern University Illinois GO | 3.868% | 12/1/48 | 100 | 114 |
President & Fellows of Harvard College Massachusetts | |||||
GO | 3.619% | 10/1/37 | 2,500 | 2,738 | |
Trustees of Dartmouth College | 3.474% | 6/1/46 | 10,402 | 11,095 | |
4 | University of Notre Dame DU LAC Indiana GO | 3.438% | 2/15/45 | 4,600 | 4,804 |
University of Pennsylvania GO | 4.674% | 9/1/12 | 10,350 | 11,857 | |
Wesleyan University Connecticut GO | 4.781% | 7/1/16 | 2,250 | 2,430 | |
Yale University Connecticut GO | 2.086% | 4/15/19 | 7,865 | 8,117 | |
Technology (2.0%) | |||||
Adobe Systems Inc. | 4.750% | 2/1/20 | 6,150 | 6,808 | |
Adobe Systems Inc. | 3.250% | 2/1/25 | 9,633 | 10,153 | |
Alphabet Inc. | 3.625% | 5/19/21 | 12,755 | 14,078 | |
Altera Corp. | 1.750% | 5/15/17 | 10,210 | 10,292 | |
Altera Corp. | 2.500% | 11/15/18 | 16,365 | 16,896 | |
Altera Corp. | 4.100% | 11/15/23 | 7,030 | 7,997 | |
Amphenol Corp. | 1.550% | 9/15/17 | 1,650 | 1,650 | |
Amphenol Corp. | 2.550% | 1/30/19 | 14,893 | 15,174 | |
Amphenol Corp. | 4.000% | 2/1/22 | 440 | 468 | |
Analog Devices Inc. | 2.875% | 6/1/23 | 12,425 | 12,963 | |
Analog Devices Inc. | 5.300% | 12/15/45 | 400 | 485 | |
Apple Inc. | 1.300% | 2/23/18 | 6,000 | 6,042 | |
Apple Inc. | 1.000% | 5/3/18 | 31,718 | 31,785 | |
Apple Inc. | 2.100% | 5/6/19 | 17,550 | 18,056 | |
Apple Inc. | 1.550% | 2/7/20 | 9,620 | 9,659 | |
Apple Inc. | 2.000% | 5/6/20 | 7,300 | 7,481 | |
Apple Inc. | 2.250% | 2/23/21 | 30,400 | 31,289 | |
Apple Inc. | 2.850% | 5/6/21 | 61,485 | 64,979 | |
Apple Inc. | 2.150% | 2/9/22 | 14,595 | 14,879 | |
Apple Inc. | 2.700% | 5/13/22 | 24,175 | 25,347 | |
Apple Inc. | 2.850% | 2/23/23 | 14,400 | 15,088 | |
Apple Inc. | 2.400% | 5/3/23 | 53,334 | 54,363 | |
Apple Inc. | 3.450% | 5/6/24 | 16,412 | 17,776 | |
Apple Inc. | 2.500% | 2/9/25 | 15,120 | 15,372 | |
Apple Inc. | 3.200% | 5/13/25 | 13,800 | 14,613 | |
Apple Inc. | 3.250% | 2/23/26 | 49,850 | 52,835 | |
Apple Inc. | 4.500% | 2/23/36 | 3,050 | 3,439 | |
Apple Inc. | 3.850% | 5/4/43 | 35,420 | 35,544 |
88
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Apple Inc. | 4.450% | 5/6/44 | 9,975 | 10,867 | |
Apple Inc. | 3.450% | 2/9/45 | 11,949 | 11,226 | |
Apple Inc. | 4.375% | 5/13/45 | 11,427 | 12,364 | |
Apple Inc. | 4.650% | 2/23/46 | 55,117 | 62,213 | |
Applied Materials Inc. | 2.625% | 10/1/20 | 8,025 | 8,340 | |
Applied Materials Inc. | 4.300% | 6/15/21 | 8,105 | 9,038 | |
Applied Materials Inc. | 3.900% | 10/1/25 | 12,650 | 14,042 | |
Applied Materials Inc. | 5.100% | 10/1/35 | 4,575 | 5,244 | |
Applied Materials Inc. | 5.850% | 6/15/41 | 7,061 | 8,599 | |
Arrow Electronics Inc. | 3.000% | 3/1/18 | 2,500 | 2,525 | |
Arrow Electronics Inc. | 5.125% | 3/1/21 | 1,288 | 1,402 | |
Arrow Electronics Inc. | 3.500% | 4/1/22 | 4,350 | 4,458 | |
Arrow Electronics Inc. | 4.500% | 3/1/23 | 2,154 | 2,289 | |
Arrow Electronics Inc. | 4.000% | 4/1/25 | 6,400 | 6,506 | |
Autodesk Inc. | 1.950% | 12/15/17 | 9,014 | 9,038 | |
Autodesk Inc. | 3.125% | 6/15/20 | 2,500 | 2,568 | |
Autodesk Inc. | 3.600% | 12/15/22 | 1,675 | 1,710 | |
Autodesk Inc. | 4.375% | 6/15/25 | 2,900 | 3,051 | |
Avnet Inc. | 5.875% | 6/15/20 | 120 | 133 | |
Avnet Inc. | 4.875% | 12/1/22 | 4,725 | 5,125 | |
Avnet Inc. | 4.625% | 4/15/26 | 5,600 | 5,818 | |
Baidu Inc. | 2.250% | 11/28/17 | 5,250 | 5,299 | |
Baidu Inc. | 3.250% | 8/6/18 | 2,800 | 2,871 | |
Baidu Inc. | 2.750% | 6/9/19 | 14,475 | 14,702 | |
Baidu Inc. | 3.500% | 11/28/22 | 14,925 | 15,380 | |
Broadridge Financial Solutions Inc. | 3.950% | 9/1/20 | 2,425 | 2,578 | |
Broadridge Financial Solutions Inc. | 3.400% | 6/27/26 | 4,400 | 4,454 | |
CA Inc. | 2.875% | 8/15/18 | 3,000 | 3,058 | |
CA Inc. | 5.375% | 12/1/19 | 3,525 | 3,878 | |
CA Inc. | 3.600% | 8/1/20 | 6,525 | 6,808 | |
CA Inc. | 4.500% | 8/15/23 | 4,950 | 5,417 | |
Cadence Design Systems Inc. | 4.375% | 10/15/24 | 725 | 751 | |
Cisco Systems Inc. | 1.400% | 2/28/18 | 10,000 | 10,091 | |
Cisco Systems Inc. | 4.950% | 2/15/19 | 33,050 | 36,300 | |
Cisco Systems Inc. | 1.600% | 2/28/19 | 21,000 | 21,320 | |
Cisco Systems Inc. | 2.125% | 3/1/19 | 20,885 | 21,457 | |
Cisco Systems Inc. | 4.450% | 1/15/20 | 31,860 | 35,176 | |
Cisco Systems Inc. | 2.450% | 6/15/20 | 25,350 | 26,394 | |
Cisco Systems Inc. | 2.200% | 2/28/21 | 48,148 | 49,627 | |
Cisco Systems Inc. | 2.900% | 3/4/21 | 1,650 | 1,753 | |
Cisco Systems Inc. | 3.625% | 3/4/24 | 5,625 | 6,312 | |
Cisco Systems Inc. | 2.950% | 2/28/26 | 500 | 532 | |
Cisco Systems Inc. | 5.900% | 2/15/39 | 29,658 | 40,266 | |
Cisco Systems Inc. | 5.500% | 1/15/40 | 2,941 | 3,857 | |
Corning Inc. | 1.450% | 11/15/17 | 1,350 | 1,350 | |
Corning Inc. | 1.500% | 5/8/18 | 6,900 | 6,900 | |
Corning Inc. | 6.625% | 5/15/19 | 3,860 | 4,348 | |
Corning Inc. | 4.250% | 8/15/20 | 7,474 | 8,081 | |
Corning Inc. | 2.900% | 5/15/22 | 6,000 | 6,146 | |
Corning Inc. | 3.700% | 11/15/23 | 4,925 | 5,280 | |
Corning Inc. | 7.250% | 8/15/36 | 75 | 91 | |
Corning Inc. | 4.700% | 3/15/37 | 7,168 | 7,535 | |
Corning Inc. | 5.750% | 8/15/40 | 5,156 | 6,121 | |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 3.480% | 6/1/19 | 37,750 | 38,614 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 4.420% | 6/15/21 | 45,025 | 46,278 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 5.450% | 6/15/23 | 46,525 | 48,080 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 6.020% | 6/15/26 | 43,375 | 44,997 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.100% | 7/15/36 | 5,600 | 6,021 |
7 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. | 8.350% | 7/15/46 | 9,200 | 9,890 |
Dun & Bradstreet Corp. | 3.250% | 12/1/17 | 800 | 806 | |
Dun & Bradstreet Corp. | 4.375% | 12/1/22 | 1,955 | 2,015 | |
EMC Corp. | 1.875% | 6/1/18 | 21,929 | 21,578 | |
EMC Corp. | 2.650% | 6/1/20 | 10,925 | 10,430 | |
EMC Corp. | 3.375% | 6/1/23 | 12,098 | 11,018 |
89
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Equifax Inc. | 6.300% | 7/1/17 | 1,075 | 1,127 | |
Equifax Inc. | 2.300% | 6/1/21 | 4,750 | 4,804 | |
Equifax Inc. | 3.250% | 6/1/26 | 5,000 | 5,160 | |
Fidelity National Information Services Inc. | 1.450% | 6/5/17 | 150 | 150 | |
Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 1,917 | 1,935 | |
Fidelity National Information Services Inc. | 2.850% | 10/15/18 | 5,475 | 5,619 | |
Fidelity National Information Services Inc. | 3.625% | 10/15/20 | 33,950 | 35,895 | |
Fidelity National Information Services Inc. | 5.000% | 3/15/22 | 7,294 | 7,595 | |
Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 9,000 | 9,288 | |
Fidelity National Information Services Inc. | 3.875% | 6/5/24 | 3,350 | 3,544 | |
Fidelity National Information Services Inc. | 5.000% | 10/15/25 | 14,582 | 16,556 | |
Fiserv Inc. | 2.700% | 6/1/20 | 6,015 | 6,252 | |
Fiserv Inc. | 4.750% | 6/15/21 | 175 | 195 | |
Fiserv Inc. | 3.500% | 10/1/22 | 8,431 | 8,974 | |
Fiserv Inc. | 3.850% | 6/1/25 | 11,519 | 12,330 | |
Flextronics International Ltd. | 4.625% | 2/15/20 | 3,740 | 3,871 | |
Flextronics International Ltd. | 4.750% | 6/15/25 | 4,720 | 4,767 | |
7 | Hewlett Packard Enterprise Co. | 2.450% | 10/5/17 | 27,800 | 28,148 |
7 | Hewlett Packard Enterprise Co. | 2.850% | 10/5/18 | 18,300 | 18,716 |
7 | Hewlett Packard Enterprise Co. | 3.600% | 10/15/20 | 42,525 | 44,405 |
7 | Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 20,925 | 22,387 |
7 | Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 27,460 | 28,697 |
7 | Hewlett Packard Enterprise Co. | 6.200% | 10/15/35 | 4,875 | 4,924 |
7 | Hewlett Packard Enterprise Co. | 6.350% | 10/15/45 | 22,850 | 22,700 |
HP Enterprise Services LLC | 7.450% | 10/15/29 | 1,950 | 2,370 | |
HP Inc. | 3.750% | 12/1/20 | 1,149 | 1,216 | |
HP Inc. | 4.300% | 6/1/21 | 14,555 | 15,464 | |
HP Inc. | 4.375% | 9/15/21 | 16,420 | 17,618 | |
HP Inc. | 4.650% | 12/9/21 | 27,100 | 29,277 | |
HP Inc. | 6.000% | 9/15/41 | 8,543 | 8,253 | |
Ingram Micro Inc. | 4.950% | 12/15/24 | 12,750 | 12,728 | |
Intel Corp. | 1.350% | 12/15/17 | 16,646 | 16,745 | |
Intel Corp. | 2.450% | 7/29/20 | 22,000 | 22,854 | |
Intel Corp. | 1.700% | 5/19/21 | 5,400 | 5,455 | |
Intel Corp. | 3.300% | 10/1/21 | 15,644 | 16,931 | |
Intel Corp. | 3.100% | 7/29/22 | 12,000 | 12,919 | |
Intel Corp. | 2.700% | 12/15/22 | 12,770 | 13,400 | |
Intel Corp. | 3.700% | 7/29/25 | 15,600 | 17,357 | |
Intel Corp. | 2.600% | 5/19/26 | 5,725 | 5,802 | |
Intel Corp. | 4.000% | 12/15/32 | 5,550 | 5,979 | |
Intel Corp. | 4.800% | 10/1/41 | 24,679 | 28,041 | |
Intel Corp. | 4.250% | 12/15/42 | 14,091 | 15,136 | |
Intel Corp. | 4.900% | 7/29/45 | 7,225 | 8,415 | |
Intel Corp. | 4.100% | 5/19/46 | 8,000 | 8,320 | |
International Business Machines Corp. | 1.250% | 2/6/17 | 7,100 | 7,125 | |
International Business Machines Corp. | 5.700% | 9/14/17 | 18,911 | 19,974 | |
International Business Machines Corp. | 1.125% | 2/6/18 | 22,925 | 23,019 | |
International Business Machines Corp. | 1.250% | 2/8/18 | 1,300 | 1,308 | |
International Business Machines Corp. | 7.625% | 10/15/18 | 10,506 | 11,990 | |
International Business Machines Corp. | 1.950% | 2/12/19 | 15,600 | 15,994 | |
International Business Machines Corp. | 1.875% | 5/15/19 | 1,000 | 1,019 | |
International Business Machines Corp. | 1.800% | 5/17/19 | 2,750 | 2,799 | |
International Business Machines Corp. | 8.375% | 11/1/19 | 4,691 | 5,768 | |
International Business Machines Corp. | 2.250% | 2/19/21 | 15,400 | 15,870 | |
International Business Machines Corp. | 2.900% | 11/1/21 | 800 | 849 | |
International Business Machines Corp. | 1.875% | 8/1/22 | 3,300 | 3,308 | |
International Business Machines Corp. | 2.875% | 11/9/22 | 22,600 | 23,949 | |
International Business Machines Corp. | 3.375% | 8/1/23 | 14,100 | 15,299 | |
International Business Machines Corp. | 3.625% | 2/12/24 | 18,800 | 20,521 | |
International Business Machines Corp. | 7.000% | 10/30/25 | 3,315 | 4,497 | |
International Business Machines Corp. | 6.220% | 8/1/27 | 10,050 | 13,218 | |
International Business Machines Corp. | 6.500% | 1/15/28 | 620 | 846 | |
International Business Machines Corp. | 5.600% | 11/30/39 | 10,380 | 13,130 | |
International Business Machines Corp. | 4.000% | 6/20/42 | 10,042 | 10,630 |
90
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
International Business Machines Corp. | 4.700% | 2/19/46 | 6,793 | 7,822 |
Jabil Circuit Inc. | 5.625% | 12/15/20 | 2,200 | 2,346 |
Jabil Circuit Inc. | 4.700% | 9/15/22 | 150 | 152 |
Juniper Networks Inc. | 3.125% | 2/26/19 | 6,350 | 6,532 |
Juniper Networks Inc. | 3.300% | 6/15/20 | 4,000 | 4,139 |
Juniper Networks Inc. | 4.600% | 3/15/21 | 3,830 | 4,113 |
Juniper Networks Inc. | 4.500% | 3/15/24 | 2,150 | 2,271 |
Juniper Networks Inc. | 4.350% | 6/15/25 | 1,550 | 1,603 |
Juniper Networks Inc. | 5.950% | 3/15/41 | 3,125 | 3,124 |
Keysight Technologies Inc. | 3.300% | 10/30/19 | 4,540 | 4,598 |
Keysight Technologies Inc. | 4.550% | 10/30/24 | 5,325 | 5,453 |
KLA-Tencor Corp. | 2.375% | 11/1/17 | 3,975 | 4,011 |
KLA-Tencor Corp. | 3.375% | 11/1/19 | 2,615 | 2,712 |
KLA-Tencor Corp. | 4.125% | 11/1/21 | 10,250 | 10,900 |
KLA-Tencor Corp. | 4.650% | 11/1/24 | 5,024 | 5,481 |
KLA-Tencor Corp. | 5.650% | 11/1/34 | 625 | 672 |
Lam Research Corp. | 2.750% | 3/15/20 | 4,465 | 4,570 |
Lam Research Corp. | 2.800% | 6/15/21 | 7,025 | 7,230 |
Lam Research Corp. | 3.450% | 6/15/23 | 5,500 | 5,677 |
Lam Research Corp. | 3.800% | 3/15/25 | 5,500 | 5,687 |
Lam Research Corp. | 3.900% | 6/15/26 | 14,500 | 15,251 |
Lexmark International Inc. | 6.650% | 6/1/18 | 5,310 | 5,577 |
Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 6,050 | 6,233 |
Microsoft Corp. | 0.875% | 11/15/17 | 1,350 | 1,352 |
Microsoft Corp. | 1.000% | 5/1/18 | 4,300 | 4,305 |
Microsoft Corp. | 1.300% | 11/3/18 | 31,425 | 31,711 |
Microsoft Corp. | 4.200% | 6/1/19 | 9,120 | 9,966 |
Microsoft Corp. | 1.850% | 2/12/20 | 4,650 | 4,736 |
Microsoft Corp. | 3.000% | 10/1/20 | 8,005 | 8,539 |
Microsoft Corp. | 2.000% | 11/3/20 | 40,375 | 41,418 |
Microsoft Corp. | 4.000% | 2/8/21 | 4,775 | 5,315 |
Microsoft Corp. | 2.375% | 2/12/22 | 11,850 | 12,235 |
Microsoft Corp. | 2.650% | 11/3/22 | 13,000 | 13,553 |
Microsoft Corp. | 2.125% | 11/15/22 | 3,168 | 3,223 |
Microsoft Corp. | 2.375% | 5/1/23 | 2,460 | 2,518 |
Microsoft Corp. | 3.625% | 12/15/23 | 3,090 | 3,423 |
Microsoft Corp. | 2.700% | 2/12/25 | 9,554 | 9,862 |
Microsoft Corp. | 3.125% | 11/3/25 | 46,850 | 50,097 |
Microsoft Corp. | 3.500% | 2/12/35 | 13,025 | 13,405 |
Microsoft Corp. | 4.200% | 11/3/35 | 9,965 | 11,195 |
Microsoft Corp. | 5.200% | 6/1/39 | 1,988 | 2,478 |
Microsoft Corp. | 4.500% | 10/1/40 | 5,893 | 6,705 |
Microsoft Corp. | 5.300% | 2/8/41 | 5,985 | 7,546 |
Microsoft Corp. | 3.500% | 11/15/42 | 12,875 | 12,638 |
Microsoft Corp. | 3.750% | 5/1/43 | 1,981 | 1,988 |
Microsoft Corp. | 4.875% | 12/15/43 | 1,575 | 1,877 |
Microsoft Corp. | 3.750% | 2/12/45 | 20,075 | 20,397 |
Microsoft Corp. | 4.450% | 11/3/45 | 40,735 | 46,024 |
Microsoft Corp. | 4.000% | 2/12/55 | 24,980 | 24,790 |
Microsoft Corp. | 4.750% | 11/3/55 | 9,050 | 10,254 |
Motorola Solutions Inc. | 3.750% | 5/15/22 | 5,975 | 5,965 |
Motorola Solutions Inc. | 3.500% | 3/1/23 | 750 | 723 |
Motorola Solutions Inc. | 4.000% | 9/1/24 | 4,181 | 4,100 |
Motorola Solutions Inc. | 7.500% | 5/15/25 | 410 | 486 |
Motorola Solutions Inc. | 5.500% | 9/1/44 | 6,050 | 5,377 |
NetApp Inc. | 2.000% | 12/15/17 | 5,905 | 5,935 |
NetApp Inc. | 3.250% | 12/15/22 | 1,025 | 1,029 |
Oracle Corp. | 1.200% | 10/15/17 | 20,575 | 20,642 |
Oracle Corp. | 5.750% | 4/15/18 | 20,052 | 21,707 |
Oracle Corp. | 2.375% | 1/15/19 | 20,525 | 21,131 |
Oracle Corp. | 5.000% | 7/8/19 | 17,712 | 19,646 |
Oracle Corp. | 2.250% | 10/8/19 | 15,973 | 16,469 |
Oracle Corp. | 3.875% | 7/15/20 | 13,690 | 14,976 |
Oracle Corp. | 2.800% | 7/8/21 | 11,655 | 12,238 |
91
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Oracle Corp. | 1.900% | 9/15/21 | 57,495 | 57,685 | |
Oracle Corp. | 2.500% | 5/15/22 | 15,390 | 15,751 | |
Oracle Corp. | 2.500% | 10/15/22 | 11,663 | 11,927 | |
Oracle Corp. | 3.625% | 7/15/23 | 450 | 493 | |
Oracle Corp. | 2.400% | 9/15/23 | 21,000 | 21,050 | |
Oracle Corp. | 3.400% | 7/8/24 | 37,035 | 39,593 | |
Oracle Corp. | 2.950% | 5/15/25 | 28,580 | 29,631 | |
Oracle Corp. | 2.650% | 7/15/26 | 35,375 | 35,422 | |
Oracle Corp. | 3.250% | 5/15/30 | 12,345 | 13,118 | |
Oracle Corp. | 4.300% | 7/8/34 | 11,870 | 12,625 | |
Oracle Corp. | 3.900% | 5/15/35 | 11,247 | 11,444 | |
Oracle Corp. | 3.850% | 7/15/36 | 19,800 | 19,913 | |
Oracle Corp. | 6.500% | 4/15/38 | 5,740 | 7,824 | |
Oracle Corp. | 6.125% | 7/8/39 | 7,878 | 10,339 | |
Oracle Corp. | 5.375% | 7/15/40 | 33,888 | 40,809 | |
Oracle Corp. | 4.500% | 7/8/44 | 9,800 | 11,051 | |
Oracle Corp. | 4.125% | 5/15/45 | 10,750 | 11,112 | |
Oracle Corp. | 4.000% | 7/15/46 | 20,370 | 20,481 | |
Oracle Corp. | 4.375% | 5/15/55 | 16,177 | 16,879 | |
Pitney Bowes Inc. | 5.750% | 9/15/17 | 6,980 | 7,290 | |
Pitney Bowes Inc. | 6.250% | 3/15/19 | 200 | 221 | |
Pitney Bowes Inc. | 4.625% | 3/15/24 | 12,525 | 13,204 | |
QUALCOMM Inc. | 1.400% | 5/18/18 | 12,000 | 12,108 | |
QUALCOMM Inc. | 2.250% | 5/20/20 | 9,435 | 9,703 | |
QUALCOMM Inc. | 3.000% | 5/20/22 | 18,675 | 19,607 | |
QUALCOMM Inc. | 3.450% | 5/20/25 | 23,815 | 25,283 | |
QUALCOMM Inc. | 4.650% | 5/20/35 | 5,700 | 6,157 | |
QUALCOMM Inc. | 4.800% | 5/20/45 | 17,160 | 17,990 | |
Seagate HDD Cayman | 3.750% | 11/15/18 | 10,550 | 10,550 | |
Seagate HDD Cayman | 4.750% | 6/1/23 | 11,675 | 9,865 | |
Seagate HDD Cayman | 4.750% | 1/1/25 | 10,275 | 8,117 | |
Seagate HDD Cayman | 4.875% | 6/1/27 | 8,275 | 5,979 | |
Seagate HDD Cayman | 5.750% | 12/1/34 | 6,000 | 4,215 | |
Symantec Corp. | 4.200% | 9/15/20 | 7,125 | 7,430 | |
Symantec Corp. | 3.950% | 6/15/22 | 4,925 | 4,987 | |
Telefonaktiebolaget LM Ericsson | 4.125% | 5/15/22 | 6,294 | 6,790 | |
Texas Instruments Inc. | 1.650% | 8/3/19 | 9,540 | 9,671 | |
Total System Services Inc. | 2.375% | 6/1/18 | 3,045 | 3,068 | |
Total System Services Inc. | 3.800% | 4/1/21 | 7,395 | 7,830 | |
Total System Services Inc. | 4.800% | 4/1/26 | 18,475 | 20,068 | |
Trimble Navigation Ltd. | 4.750% | 12/1/24 | 4,800 | 5,035 | |
Tyco Electronics Group SA | 6.550% | 10/1/17 | 3,743 | 3,981 | |
Tyco Electronics Group SA | 2.350% | 8/1/19 | 3,906 | 3,968 | |
Tyco Electronics Group SA | 3.500% | 2/3/22 | 2,225 | 2,350 | |
Tyco Electronics Group SA | 3.450% | 8/1/24 | 4,400 | 4,643 | |
Tyco Electronics Group SA | 3.700% | 2/15/26 | 1,000 | 1,058 | |
Tyco Electronics Group SA | 7.125% | 10/1/37 | 9,950 | 13,816 | |
Verisk Analytics Inc. | 5.800% | 5/1/21 | 2,125 | 2,435 | |
Verisk Analytics Inc. | 4.125% | 9/12/22 | 5,414 | 5,754 | |
Verisk Analytics Inc. | 4.000% | 6/15/25 | 14,050 | 14,734 | |
Verisk Analytics Inc. | 5.500% | 6/15/45 | 8,525 | 8,764 | |
Xerox Corp. | 6.350% | 5/15/18 | 17,155 | 18,242 | |
Xerox Corp. | 2.750% | 3/15/19 | 7,646 | 7,602 | |
Xerox Corp. | 5.625% | 12/15/19 | 5,700 | 6,098 | |
Xerox Corp. | 2.800% | 5/15/20 | 4,300 | 4,142 | |
Xerox Corp. | 2.750% | 9/1/20 | 2,700 | 2,598 | |
Xerox Corp. | 4.500% | 5/15/21 | 5,865 | 5,915 | |
Xilinx Inc. | 2.125% | 3/15/19 | 600 | 608 | |
Xilinx Inc. | 3.000% | 3/15/21 | 13,675 | 14,326 | |
Transportation (0.7%) | |||||
4 | American Airlines 2011-1 Class A Pass Through Trust | 5.250% | 7/31/22 | 988 | 1,064 |
4 | American Airlines 2013-1 Class A Pass Through Trust | 4.000% | 1/15/27 | 2,377 | 2,508 |
4 | American Airlines 2013-2 Class A Pass Through Trust | 4.950% | 7/15/24 | 10,796 | 11,714 |
92
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | American Airlines 2014-1 Class A Pass Through Trust | 3.700% | 4/1/28 | 6,120 | 6,349 |
4 | American Airlines 2015-1 Class A Pass Through Trust | 3.375% | 11/1/28 | 13,292 | 13,591 |
4 | American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 11/1/24 | 2,361 | 2,314 |
4 | American Airlines 2015-2 Class AA Pass Through Trust | 3.600% | 9/22/27 | 2,070 | 2,176 |
4 | American Airlines 2016-1 Class A Pass Through Trust | 4.100% | 1/15/28 | 3,375 | 3,577 |
4 | American Airlines 2016-1 Class AA Pass Through Trust | 3.575% | 1/15/28 | 8,500 | 8,904 |
4 | American Airlines 2016-2 Class A Pass Through Trust | 3.650% | 6/15/28 | 9,400 | 9,729 |
4 | American Airlines 2016-2 Class AA Pass Through Trust | 3.200% | 6/15/28 | 15,300 | 15,835 |
Burlington Northern Santa Fe LLC | 5.750% | 3/15/18 | 7,047 | 7,598 | |
Burlington Northern Santa Fe LLC | 4.700% | 10/1/19 | 50 | 55 | |
Burlington Northern Santa Fe LLC | 3.600% | 9/1/20 | 5,800 | 6,235 | |
Burlington Northern Santa Fe LLC | 4.100% | 6/1/21 | 700 | 774 | |
Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 8,375 | 9,077 | |
Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 2,890 | 3,078 | |
Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 4,537 | 4,830 | |
Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 7,566 | 7,982 | |
Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 250 | 278 | |
Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 5,812 | 6,443 | |
Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 5,290 | 5,759 | |
Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 15,000 | 15,857 | |
Burlington Northern Santa Fe LLC | 3.650% | 9/1/25 | 5,850 | 6,491 | |
Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 986 | 1,340 | |
Burlington Northern Santa Fe LLC | 7.950% | 8/15/30 | 2,830 | 4,270 | |
Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 3,200 | 4,244 | |
Burlington Northern Santa Fe LLC | 6.150% | 5/1/37 | 2,877 | 3,793 | |
Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 7,805 | 10,099 | |
Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 6,255 | 7,530 | |
Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 7,175 | 8,863 | |
Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 2,050 | 2,448 | |
Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 5,623 | 6,239 | |
Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 4,300 | 4,743 | |
Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 9,995 | 11,163 | |
Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 7,075 | 8,680 | |
Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 6,795 | 8,105 | |
Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 7,485 | 8,545 | |
Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 4,084 | 4,436 | |
Burlington Northern Santa Fe LLC | 4.700% | 9/1/45 | 6,750 | 7,930 | |
Burlington Northern Santa Fe LLC | 3.900% | 8/1/46 | 12,628 | 13,336 | |
Canadian National Railway Co. | 5.550% | 3/1/19 | 2,410 | 2,677 | |
Canadian National Railway Co. | 2.850% | 12/15/21 | 2,085 | 2,201 | |
Canadian National Railway Co. | 2.250% | 11/15/22 | 2,765 | 2,812 | |
Canadian National Railway Co. | 2.950% | 11/21/24 | 1,150 | 1,237 | |
Canadian National Railway Co. | 2.750% | 3/1/26 | 9,000 | 9,432 | |
Canadian National Railway Co. | 6.900% | 7/15/28 | 2,875 | 4,132 | |
Canadian National Railway Co. | 6.250% | 8/1/34 | 1,225 | 1,700 | |
Canadian National Railway Co. | 6.200% | 6/1/36 | 2,468 | 3,400 | |
Canadian National Railway Co. | 6.375% | 11/15/37 | 2,068 | 2,918 | |
Canadian National Railway Co. | 3.500% | 11/15/42 | 9,925 | 10,029 | |
Canadian Pacific Railway Co. | 6.500% | 5/15/18 | 250 | 270 | |
Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 5,764 | 6,666 | |
Canadian Pacific Railway Co. | 9.450% | 8/1/21 | 1,000 | 1,303 | |
Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 6,303 | 7,000 | |
Canadian Pacific Railway Co. | 2.900% | 2/1/25 | 6,764 | 6,906 | |
Canadian Pacific Railway Co. | 3.700% | 2/1/26 | 1,375 | 1,482 | |
Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 2,535 | 3,446 | |
Canadian Pacific Railway Co. | 5.750% | 3/15/33 | 375 | 442 | |
Canadian Pacific Railway Co. | 4.800% | 9/15/35 | 725 | 829 | |
Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 14,754 | 18,462 | |
Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 1,600 | 1,837 | |
Canadian Pacific Railway Co. | 6.125% | 9/15/15 | 3,860 | 4,847 | |
Canadian Pacific Railway Ltd. | 4.500% | 1/15/22 | 8,500 | 9,394 | |
Canadian Pacific Railway Ltd. | 5.750% | 1/15/42 | 13,430 | 16,432 | |
4 | Continental Airlines 2007-1 Class A Pass Through Trust | 5.983% | 10/19/23 | 2,907 | 3,256 |
4 | Continental Airlines 2009-2 Class A Pass Through Trust | 7.250% | 5/10/21 | 3,289 | 3,745 |
93
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
4 | Continental Airlines 2010-1 Class A Pass Through Trust | 4.750% | 7/12/22 | 1,727 | 1,835 |
4 | Continental Airlines 2012-1 Class A Pass Through Trust | 4.150% | 10/11/25 | 12,522 | 13,210 |
4 | Continental Airlines 2012-2 Class A Pass Through Trust | 4.000% | 4/29/26 | 3,770 | 3,987 |
CSX Corp. | 6.250% | 3/15/18 | 2,870 | 3,107 | |
CSX Corp. | 7.375% | 2/1/19 | 35,610 | 40,977 | |
CSX Corp. | 3.700% | 10/30/20 | 1,155 | 1,240 | |
CSX Corp. | 4.250% | 6/1/21 | 4,690 | 5,145 | |
CSX Corp. | 3.700% | 11/1/23 | 2,500 | 2,728 | |
CSX Corp. | 3.350% | 11/1/25 | 10,365 | 11,009 | |
CSX Corp. | 6.000% | 10/1/36 | 6,119 | 7,823 | |
CSX Corp. | 6.150% | 5/1/37 | 2,997 | 3,900 | |
CSX Corp. | 6.220% | 4/30/40 | 9,085 | 12,210 | |
CSX Corp. | 5.500% | 4/15/41 | 8,800 | 11,035 | |
CSX Corp. | 4.750% | 5/30/42 | 4,290 | 4,879 | |
CSX Corp. | 4.100% | 3/15/44 | 9,800 | 10,453 | |
CSX Corp. | 3.950% | 5/1/50 | 4,400 | 4,414 | |
CSX Corp. | 4.500% | 8/1/54 | 25 | 27 | |
4 | Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 4,020 | 4,673 |
4 | Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 3,488 | 3,941 |
4 | Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 11/23/20 | 1,839 | 1,936 |
4 | Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 714 | 759 |
4 | Delta Air Lines 2015-1 Class AA Pass Through Trust | 3.625% | 7/30/27 | 3,872 | 4,085 |
FedEx Corp. | 8.000% | 1/15/19 | 5,680 | 6,608 | |
FedEx Corp. | 2.300% | 2/1/20 | 4,200 | 4,298 | |
FedEx Corp. | 2.625% | 8/1/22 | 4,565 | 4,682 | |
FedEx Corp. | 4.000% | 1/15/24 | 500 | 555 | |
FedEx Corp. | 3.200% | 2/1/25 | 5,000 | 5,208 | |
FedEx Corp. | 3.250% | 4/1/26 | 7,245 | 7,549 | |
FedEx Corp. | 4.900% | 1/15/34 | 100 | 114 | |
FedEx Corp. | 3.900% | 2/1/35 | 2,400 | 2,444 | |
FedEx Corp. | 3.875% | 8/1/42 | 1,775 | 1,736 | |
FedEx Corp. | 4.100% | 4/15/43 | 4,260 | 4,306 | |
FedEx Corp. | 5.100% | 1/15/44 | 4,500 | 5,228 | |
FedEx Corp. | 4.100% | 2/1/45 | 1,050 | 1,069 | |
FedEx Corp. | 4.750% | 11/15/45 | 14,675 | 16,341 | |
FedEx Corp. | 4.550% | 4/1/46 | 15,950 | 17,284 | |
FedEx Corp. | 4.500% | 2/1/65 | 740 | 756 | |
4 | Hawaiian Airlines 2013-1 Class A Pass Through | ||||
Certificates | 3.900% | 1/15/26 | 10,337 | 10,259 | |
JB Hunt Transport Services Inc. | 2.400% | 3/15/19 | 1,270 | 1,287 | |
JB Hunt Transport Services Inc. | 3.300% | 8/15/22 | 4,650 | 4,817 | |
7 | Kansas City Southern | 2.350% | 5/15/20 | 3,800 | 3,635 |
7 | Kansas City Southern | 3.000% | 5/15/23 | 5,955 | 6,068 |
Kansas City Southern | 3.125% | 6/1/26 | 6,775 | 6,914 | |
7 | Kansas City Southern | 4.300% | 5/15/43 | 5,050 | 5,161 |
7 | Kansas City Southern | 4.950% | 8/15/45 | 4,750 | 5,317 |
4,7 | Latam Airlines 2015-1 Pass Through Trust A | 4.200% | 11/15/27 | 5,533 | 4,924 |
Norfolk Southern Corp. | 5.750% | 4/1/18 | 2,595 | 2,795 | |
Norfolk Southern Corp. | 5.900% | 6/15/19 | 9,350 | 10,497 | |
Norfolk Southern Corp. | 3.250% | 12/1/21 | 4,759 | 5,039 | |
Norfolk Southern Corp. | 3.000% | 4/1/22 | 6,048 | 6,313 | |
Norfolk Southern Corp. | 2.903% | 2/15/23 | 3,468 | 3,581 | |
Norfolk Southern Corp. | 3.850% | 1/15/24 | 1,750 | 1,913 | |
Norfolk Southern Corp. | 5.590% | 5/17/25 | 2,302 | 2,826 | |
Norfolk Southern Corp. | 7.800% | 5/15/27 | 4,550 | 6,444 | |
Norfolk Southern Corp. | 7.250% | 2/15/31 | 3,912 | 5,604 | |
Norfolk Southern Corp. | 7.050% | 5/1/37 | 2,000 | 2,806 | |
Norfolk Southern Corp. | 4.837% | 10/1/41 | 19,881 | 22,845 | |
Norfolk Southern Corp. | 3.950% | 10/1/42 | 100 | 103 | |
Norfolk Southern Corp. | 4.800% | 8/15/43 | 250 | 291 | |
Norfolk Southern Corp. | 4.450% | 6/15/45 | 3,750 | 4,153 | |
Norfolk Southern Corp. | 4.650% | 1/15/46 | 6,185 | 7,158 | |
Norfolk Southern Corp. | 7.900% | 5/15/97 | 205 | 311 | |
Norfolk Southern Corp. | 6.000% | 3/15/05 | 2,350 | 2,829 |
94
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Norfolk Southern Corp. | 6.000% | 5/23/11 | 12,425 | 15,362 | |
4 | Northwest Airlines 2007-1 Class A Pass Through Trust | 7.027% | 5/1/21 | 640 | 722 |
Ryder System Inc. | 2.500% | 3/1/18 | 4,107 | 4,171 | |
Ryder System Inc. | 2.450% | 11/15/18 | 13,240 | 13,464 | |
Ryder System Inc. | 2.350% | 2/26/19 | 13,637 | 13,782 | |
Ryder System Inc. | 2.550% | 6/1/19 | 10,195 | 10,377 | |
Ryder System Inc. | 2.450% | 9/3/19 | 120 | 122 | |
Ryder System Inc. | 2.500% | 5/11/20 | 3,050 | 3,108 | |
Ryder System Inc. | 2.875% | 9/1/20 | 3,125 | 3,190 | |
Southern Railway Co. | 9.750% | 6/15/20 | 1,559 | 2,008 | |
Southwest Airlines Co. | 2.750% | 11/6/19 | 3,650 | 3,777 | |
Southwest Airlines Co. | 2.650% | 11/5/20 | 6,680 | 6,889 | |
4 | Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 1,261 | 1,425 |
4 | Spirit Airlines Class A Pass Through Certificates Series | ||||
2015-1 | 4.100% | 10/1/29 | 4,500 | 4,545 | |
Trinity Industries Inc. | 4.550% | 10/1/24 | 2,930 | 2,704 | |
Union Pacific Corp. | 5.750% | 11/15/17 | 155 | 165 | |
Union Pacific Corp. | 5.700% | 8/15/18 | 931 | 1,020 | |
Union Pacific Corp. | 1.800% | 2/1/20 | 2,525 | 2,564 | |
Union Pacific Corp. | 2.250% | 6/19/20 | 11,775 | 12,112 | |
Union Pacific Corp. | 4.000% | 2/1/21 | 4,475 | 4,935 | |
Union Pacific Corp. | 4.163% | 7/15/22 | 24,264 | 27,328 | |
Union Pacific Corp. | 2.750% | 4/15/23 | 1,475 | 1,544 | |
Union Pacific Corp. | 3.646% | 2/15/24 | 5,270 | 5,819 | |
Union Pacific Corp. | 3.750% | 3/15/24 | 1,063 | 1,181 | |
Union Pacific Corp. | 3.250% | 1/15/25 | 2,600 | 2,816 | |
Union Pacific Corp. | 3.250% | 8/15/25 | 17,850 | 19,397 | |
Union Pacific Corp. | 2.750% | 3/1/26 | 2,975 | 3,099 | |
Union Pacific Corp. | 6.625% | 2/1/29 | 2,311 | 3,235 | |
Union Pacific Corp. | 3.375% | 2/1/35 | 7,000 | 7,050 | |
Union Pacific Corp. | 4.750% | 9/15/41 | 9,687 | 11,427 | |
Union Pacific Corp. | 4.250% | 4/15/43 | 1,156 | 1,280 | |
Union Pacific Corp. | 4.750% | 12/15/43 | 3,909 | 4,618 | |
Union Pacific Corp. | 4.821% | 2/1/44 | 4,169 | 5,011 | |
Union Pacific Corp. | 4.850% | 6/15/44 | 645 | 773 | |
Union Pacific Corp. | 4.150% | 1/15/45 | 1,000 | 1,099 | |
Union Pacific Corp. | 4.050% | 11/15/45 | 1,882 | 2,041 | |
Union Pacific Corp. | 4.050% | 3/1/46 | 8,000 | 8,772 | |
Union Pacific Corp. | 3.875% | 2/1/55 | 8,800 | 8,928 | |
Union Pacific Corp. | 4.375% | 11/15/65 | 10,886 | 11,681 | |
4 | Union Pacific Railroad Co. 2007-3 Pass Through Trust | 6.176% | 1/2/31 | 1,032 | 1,256 |
4 | United Airlines 2013-1 Class A Pass Through Trust | 4.300% | 2/15/27 | 5,331 | 5,757 |
4 | United Airlines 2014-1 Class A Pass Through Trust | 4.000% | 10/11/27 | 6,793 | 7,167 |
4 | United Airlines 2014-2 Class A Pass Through Trust | 3.750% | 3/3/28 | 7,355 | 7,741 |
United Airlines 2015-1 Class A Pass Through Trust | 3.700% | 6/1/24 | 2,880 | 2,981 | |
4 | United Airlines 2015-1 Class AA Pass Through Trust | 3.450% | 12/1/27 | 11,625 | 11,974 |
4 | United Airlines 2016-1 Class AA Pass Through Trust | 3.100% | 7/7/28 | 37,515 | 38,547 |
United Parcel Service Inc. | 1.125% | 10/1/17 | 2,525 | 2,536 | |
United Parcel Service Inc. | 5.500% | 1/15/18 | 2,565 | 2,742 | |
United Parcel Service Inc. | 5.125% | 4/1/19 | 7,208 | 7,975 | |
United Parcel Service Inc. | 3.125% | 1/15/21 | 8,574 | 9,188 | |
United Parcel Service Inc. | 2.450% | 10/1/22 | 13,015 | 13,471 | |
United Parcel Service Inc. | 6.200% | 1/15/38 | 17,791 | 25,514 | |
United Parcel Service Inc. | 4.875% | 11/15/40 | 3,992 | 5,029 | |
United Parcel Service Inc. | 3.625% | 10/1/42 | 4,180 | 4,453 | |
United Parcel Service of America Inc. | 8.375% | 4/1/20 | 10 | 13 | |
United Parcel Service of America Inc. | 8.375% | 4/1/30 | 1,413 | 2,099 | |
4 | US Airways 2012-1 Class A Pass Through Trust | 5.900% | 4/1/26 | 1,199 | 1,370 |
4 | US Airways 2013-1 Class A Pass Through Trust | 3.950% | 5/15/27 | 719 | 756 |
4 | US Airways Inc. 2012-2 Class A Pass Through Trust | 4.625% | 12/3/26 | 856 | 929 |
28,574,404 |
95
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Utilities (2.2%) | |||||
Electric (2.1%) | |||||
AEP Texas Central Co. | 6.650% | 2/15/33 | 4,550 | 5,865 | |
Alabama Power Co. | 3.550% | 12/1/23 | 1,000 | 1,107 | |
Alabama Power Co. | 2.800% | 4/1/25 | 3,600 | 3,743 | |
Alabama Power Co. | 6.125% | 5/15/38 | 275 | 367 | |
Alabama Power Co. | 6.000% | 3/1/39 | 145 | 192 | |
Alabama Power Co. | 5.500% | 3/15/41 | 475 | 606 | |
Alabama Power Co. | 5.200% | 6/1/41 | 3,100 | 3,828 | |
Alabama Power Co. | 4.100% | 1/15/42 | 8,425 | 9,135 | |
Alabama Power Co. | 3.850% | 12/1/42 | 1,050 | 1,101 | |
Alabama Power Co. | 4.150% | 8/15/44 | 3,575 | 3,919 | |
Alabama Power Co. | 3.750% | 3/1/45 | 3,750 | 3,903 | |
Alabama Power Co. | 4.300% | 1/2/46 | 14,854 | 16,872 | |
Ameren Corp. | 2.700% | 11/15/20 | 10,275 | 10,577 | |
Ameren Corp. | 3.650% | 2/15/26 | 4,690 | 5,059 | |
Ameren Illinois Co. | 6.125% | 11/15/17 | 1,424 | 1,522 | |
Ameren Illinois Co. | 2.700% | 9/1/22 | 12,931 | 13,512 | |
Ameren Illinois Co. | 3.250% | 3/1/25 | 1,335 | 1,438 | |
Ameren Illinois Co. | 4.800% | 12/15/43 | 3,515 | 4,265 | |
Ameren Illinois Co. | 4.300% | 7/1/44 | 3,324 | 3,788 | |
Ameren Illinois Co. | 4.150% | 3/15/46 | 2,700 | 3,026 | |
American Electric Power Co. Inc. | 1.650% | 12/15/17 | 5,325 | 5,335 | |
American Electric Power Co. Inc. | 2.950% | 12/15/22 | 4,850 | 5,052 | |
Appalachian Power Co. | 4.600% | 3/30/21 | 5,372 | 5,925 | |
Appalachian Power Co. | 3.400% | 6/1/25 | 2,825 | 3,000 | |
Appalachian Power Co. | 5.800% | 10/1/35 | 2,693 | 3,242 | |
Appalachian Power Co. | 6.375% | 4/1/36 | 3,400 | 4,275 | |
Appalachian Power Co. | 4.450% | 6/1/45 | 6,700 | 7,247 | |
Arizona Public Service Co. | 8.750% | 3/1/19 | 1,355 | 1,607 | |
Arizona Public Service Co. | 3.350% | 6/15/24 | 2,625 | 2,843 | |
Arizona Public Service Co. | 3.150% | 5/15/25 | 4,350 | 4,643 | |
Arizona Public Service Co. | 5.500% | 9/1/35 | 3,580 | 4,459 | |
Arizona Public Service Co. | 4.500% | 4/1/42 | 8,888 | 10,284 | |
Arizona Public Service Co. | 4.700% | 1/15/44 | 4,651 | 5,574 | |
Arizona Public Service Co. | 4.350% | 11/15/45 | 725 | 833 | |
Arizona Public Service Co. | 3.750% | 5/15/46 | 10,525 | 11,012 | |
Atlantic City Electric Co. | 7.750% | 11/15/18 | 2,430 | 2,788 | |
Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 1,738 | 1,872 | |
Baltimore Gas & Electric Co. | 2.800% | 8/15/22 | 175 | 182 | |
Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 7,650 | 8,107 | |
Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 643 | 879 | |
Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 19,458 | 20,987 | |
Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 2,750 | 2,796 | |
Berkshire Hathaway Energy Co. | 2.400% | 2/1/20 | 5,500 | 5,652 | |
Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 7,699 | 8,415 | |
Berkshire Hathaway Energy Co. | 3.500% | 2/1/25 | 6,450 | 6,958 | |
Berkshire Hathaway Energy Co. | 8.480% | 9/15/28 | 555 | 858 | |
Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 6,201 | 8,208 | |
Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 8,250 | 10,728 | |
Berkshire Hathaway Energy Co. | 6.500% | 9/15/37 | 1,305 | 1,795 | |
Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 7,199 | 8,719 | |
Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 6,575 | 7,337 | |
Black Hills Corp. | 2.500% | 1/11/19 | 6,625 | 6,762 | |
Black Hills Corp. | 3.950% | 1/15/26 | 2,700 | 2,871 | |
CenterPoint Energy Houston Electric LLC | 1.850% | 6/1/21 | 2,625 | 2,653 | |
CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 5,300 | 5,375 | |
CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 100 | 141 | |
CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 10,922 | 11,198 | |
CenterPoint Energy Houston Electric LLC | 4.500% | 4/1/44 | 1,200 | 1,414 | |
CenterPoint Energy Inc. | 6.500% | 5/1/18 | 470 | 509 | |
7 | Cleco Corporate Holdings LLC | 3.743% | 5/1/26 | 7,400 | 7,620 |
7 | Cleco Corporate Holdings LLC | 4.973% | 5/1/46 | 3,500 | 3,680 |
Cleco Power LLC | 6.500% | 12/1/35 | 4,300 | 5,521 |
96
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Cleco Power LLC | 6.000% | 12/1/40 | 4,075 | 5,099 |
Cleveland Electric Illuminating Co. | 7.880% | 11/1/17 | 2,767 | 2,995 |
Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 5,690 | 6,772 |
CMS Energy Corp. | 8.750% | 6/15/19 | 9,710 | 11,705 |
CMS Energy Corp. | 6.250% | 2/1/20 | 3,476 | 4,003 |
CMS Energy Corp. | 5.050% | 3/15/22 | 1,275 | 1,459 |
CMS Energy Corp. | 3.875% | 3/1/24 | 3,749 | 4,080 |
CMS Energy Corp. | 3.600% | 11/15/25 | 1,750 | 1,864 |
CMS Energy Corp. | 3.000% | 5/15/26 | 3,000 | 3,066 |
CMS Energy Corp. | 4.700% | 3/31/43 | 6,300 | 7,144 |
CMS Energy Corp. | 4.875% | 3/1/44 | 2,400 | 2,812 |
Commonwealth Edison Co. | 6.150% | 9/15/17 | 13,675 | 14,515 |
Commonwealth Edison Co. | 5.800% | 3/15/18 | 10,705 | 11,564 |
Commonwealth Edison Co. | 4.000% | 8/1/20 | 3,795 | 4,141 |
Commonwealth Edison Co. | 3.400% | 9/1/21 | 4,650 | 5,028 |
Commonwealth Edison Co. | 3.100% | 11/1/24 | 625 | 665 |
Commonwealth Edison Co. | 2.550% | 6/15/26 | 9,600 | 9,740 |
Commonwealth Edison Co. | 5.875% | 2/1/33 | 590 | 754 |
Commonwealth Edison Co. | 5.900% | 3/15/36 | 3,086 | 4,111 |
Commonwealth Edison Co. | 6.450% | 1/15/38 | 9,223 | 13,080 |
Commonwealth Edison Co. | 3.800% | 10/1/42 | 2,314 | 2,411 |
Commonwealth Edison Co. | 4.600% | 8/15/43 | 3,315 | 3,909 |
Commonwealth Edison Co. | 4.700% | 1/15/44 | 5,263 | 6,339 |
Commonwealth Edison Co. | 3.700% | 3/1/45 | 8,550 | 8,885 |
Commonwealth Edison Co. | 4.350% | 11/15/45 | 12,150 | 13,858 |
Commonwealth Edison Co. | 3.650% | 6/15/46 | 12,875 | 13,201 |
Connecticut Light & Power Co. | 5.500% | 2/1/19 | 11,695 | 12,953 |
Connecticut Light & Power Co. | 2.500% | 1/15/23 | 6,940 | 7,094 |
Connecticut Light & Power Co. | 6.350% | 6/1/36 | 5,100 | 6,984 |
Connecticut Light & Power Co. | 4.300% | 4/15/44 | 7,075 | 8,071 |
Consolidated Edison Co. of New York Inc. | 5.850% | 4/1/18 | 465 | 503 |
Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 1,050 | 1,198 |
Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 13,090 | 14,946 |
Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 2,250 | 2,497 |
Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 6,475 | 7,912 |
Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 4,894 | 6,314 |
Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 3,020 | 4,026 |
Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 500 | 679 |
Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 1,080 | 1,538 |
Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 428 | 544 |
Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 6,650 | 8,659 |
Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 22,535 | 25,226 |
Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 10,950 | 12,493 |
Consolidated Edison Co. of New York Inc. | 3.850% | 6/15/46 | 9,415 | 9,804 |
Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 4,762 | 5,464 |
Consolidated Edison Inc. | 2.000% | 5/15/21 | 5,000 | 5,055 |
Constellation Energy Group Inc. | 5.150% | 12/1/20 | 9,038 | 10,109 |
Consumers Energy Co. | 6.125% | 3/15/19 | 19,856 | 22,515 |
Consumers Energy Co. | 6.700% | 9/15/19 | 12,212 | 14,248 |
Consumers Energy Co. | 2.850% | 5/15/22 | 10,850 | 11,350 |
Consumers Energy Co. | 3.375% | 8/15/23 | 3,185 | 3,435 |
Consumers Energy Co. | 3.950% | 5/15/43 | 3,493 | 3,804 |
Consumers Energy Co. | 4.100% | 11/15/45 | 925 | 1,039 |
Consumers Energy Co. | 4.350% | 8/31/64 | 2,625 | 2,860 |
Delmarva Power & Light Co. | 3.500% | 11/15/23 | 3,525 | 3,811 |
Delmarva Power & Light Co. | 4.000% | 6/1/42 | 1,985 | 2,118 |
Dominion Resources Inc. | 1.400% | 9/15/17 | 540 | 540 |
Dominion Resources Inc. | 1.900% | 6/15/18 | 1,100 | 1,107 |
Dominion Resources Inc. | 6.400% | 6/15/18 | 8 | 9 |
Dominion Resources Inc. | 2.500% | 12/1/19 | 4,688 | 4,791 |
Dominion Resources Inc. | 4.450% | 3/15/21 | 9,704 | 10,726 |
Dominion Resources Inc. | 3.625% | 12/1/24 | 5,500 | 5,789 |
Dominion Resources Inc. | 3.900% | 10/1/25 | 8,570 | 9,184 |
Dominion Resources Inc. | 6.300% | 3/15/33 | 7,775 | 9,547 |
97
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Dominion Resources Inc. | 5.250% | 8/1/33 | 1,695 | 1,881 | |
Dominion Resources Inc. | 5.950% | 6/15/35 | 10,385 | 12,662 | |
Dominion Resources Inc. | 4.900% | 8/1/41 | 3,845 | 4,220 | |
Dominion Resources Inc. | 4.050% | 9/15/42 | 6,725 | 6,679 | |
Dominion Resources Inc. | 4.700% | 12/1/44 | 7,532 | 8,176 | |
4 | Dominion Resources Inc. | 5.750% | 10/1/54 | 4,200 | 4,169 |
DTE Electric Co. | 3.450% | 10/1/20 | 2,800 | 3,012 | |
DTE Electric Co. | 3.900% | 6/1/21 | 600 | 660 | |
DTE Electric Co. | 2.650% | 6/15/22 | 10,820 | 11,260 | |
DTE Electric Co. | 3.650% | 3/15/24 | 8,100 | 8,918 | |
DTE Electric Co. | 3.375% | 3/1/25 | 8,550 | 9,271 | |
DTE Electric Co. | 5.700% | 10/1/37 | 1,170 | 1,524 | |
DTE Electric Co. | 3.950% | 6/15/42 | 11,055 | 11,960 | |
DTE Electric Co. | 4.000% | 4/1/43 | 6,575 | 7,212 | |
DTE Electric Co. | 4.300% | 7/1/44 | 375 | 429 | |
DTE Electric Co. | 3.700% | 3/15/45 | 4,375 | 4,604 | |
DTE Electric Co. | 3.700% | 6/1/46 | 2,025 | 2,129 | |
DTE Energy Co. | 2.400% | 12/1/19 | 5,858 | 5,973 | |
DTE Energy Co. | 3.500% | 6/1/24 | 7,556 | 8,003 | |
DTE Energy Co. | 6.375% | 4/15/33 | 5,095 | 6,525 | |
Duke Energy Carolinas LLC | 5.250% | 1/15/18 | 1,149 | 1,224 | |
Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 5,237 | 5,605 | |
Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 910 | 1,032 | |
Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 5,900 | 6,558 | |
Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 1,100 | 1,214 | |
Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 5,170 | 6,707 | |
Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 1,575 | 2,119 | |
Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 11,676 | 15,520 | |
Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 6,445 | 8,698 | |
Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 4,586 | 6,252 | |
Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 2,823 | 3,580 | |
Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 5,600 | 6,311 | |
Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 2,895 | 3,130 | |
Duke Energy Carolinas LLC | 3.750% | 6/1/45 | 5,125 | 5,421 | |
Duke Energy Carolinas LLC | 3.875% | 3/15/46 | 400 | 430 | |
Duke Energy Corp. | 1.625% | 8/15/17 | 10,116 | 10,169 | |
Duke Energy Corp. | 2.100% | 6/15/18 | 9,575 | 9,662 | |
Duke Energy Corp. | 5.050% | 9/15/19 | 11,200 | 12,344 | |
Duke Energy Corp. | 3.550% | 9/15/21 | 7,139 | 7,612 | |
Duke Energy Corp. | 3.050% | 8/15/22 | 13,015 | 13,529 | |
Duke Energy Corp. | 3.750% | 4/15/24 | 700 | 753 | |
Duke Energy Corp. | 4.800% | 12/15/45 | 1,075 | 1,245 | |
Duke Energy Florida LLC | 5.650% | 6/15/18 | 500 | 544 | |
Duke Energy Florida LLC | 3.100% | 8/15/21 | 400 | 426 | |
4 | Duke Energy Florida LLC | 1.196% | 3/1/22 | 2,950 | 2,954 |
4 | Duke Energy Florida LLC | 1.731% | 9/1/22 | 2,950 | 2,957 |
4 | Duke Energy Florida LLC | 2.538% | 9/1/29 | 5,750 | 5,817 |
4 | Duke Energy Florida LLC | 2.858% | 3/1/33 | 2,950 | 2,999 |
4 | Duke Energy Florida LLC | 3.112% | 9/1/36 | 4,700 | 4,767 |
Duke Energy Florida LLC | 6.350% | 9/15/37 | 10,625 | 15,011 | |
Duke Energy Florida LLC | 6.400% | 6/15/38 | 8,050 | 11,445 | |
Duke Energy Florida LLC | 5.650% | 4/1/40 | 750 | 989 | |
Duke Energy Indiana LLC | 3.750% | 7/15/20 | 539 | 585 | |
Duke Energy Indiana LLC | 6.120% | 10/15/35 | 5,048 | 6,710 | |
Duke Energy Indiana LLC | 6.350% | 8/15/38 | 8,804 | 12,401 | |
Duke Energy Indiana LLC | 6.450% | 4/1/39 | 400 | 576 | |
Duke Energy Indiana LLC | 4.200% | 3/15/42 | 3,375 | 3,699 | |
Duke Energy Indiana LLC | 4.900% | 7/15/43 | 1,200 | 1,446 | |
Duke Energy Indiana LLC | 3.750% | 5/15/46 | 29,025 | 30,132 | |
Duke Energy Ohio Inc. | 3.800% | 9/1/23 | 660 | 729 | |
Duke Energy Ohio Inc. | 3.700% | 6/15/46 | 3,800 | 3,896 | |
Duke Energy Progress LLC | 5.300% | 1/15/19 | 14,805 | 16,301 | |
Duke Energy Progress LLC | 3.000% | 9/15/21 | 7,800 | 8,329 | |
Duke Energy Progress LLC | 2.800% | 5/15/22 | 8,000 | 8,387 |
98
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Duke Energy Progress LLC | 3.250% | 8/15/25 | 5,050 | 5,462 | |
Duke Energy Progress LLC | 6.300% | 4/1/38 | 6,799 | 9,470 | |
Duke Energy Progress LLC | 4.100% | 5/15/42 | 100 | 110 | |
Duke Energy Progress LLC | 4.100% | 3/15/43 | 275 | 301 | |
Duke Energy Progress LLC | 4.375% | 3/30/44 | 6,875 | 7,880 | |
Duke Energy Progress LLC | 4.150% | 12/1/44 | 6,034 | 6,664 | |
Duke Energy Progress LLC | 4.200% | 8/15/45 | 2,427 | 2,725 | |
Edison International | 3.750% | 9/15/17 | 2,000 | 2,059 | |
Edison International | 2.950% | 3/15/23 | 950 | 974 | |
El Paso Electric Co. | 6.000% | 5/15/35 | 1,725 | 2,134 | |
El Paso Electric Co. | 5.000% | 12/1/44 | 4,375 | 5,022 | |
7 | Emera US Finance LP | 2.150% | 6/15/19 | 1,975 | 2,000 |
7 | Emera US Finance LP | 2.700% | 6/15/21 | 4,200 | 4,281 |
7 | Emera US Finance LP | 3.550% | 6/15/26 | 5,425 | 5,541 |
7 | Emera US Finance LP | 4.750% | 6/15/46 | 26,920 | 27,472 |
Entergy Arkansas Inc. | 3.750% | 2/15/21 | 10,325 | 11,282 | |
Entergy Arkansas Inc. | 3.500% | 4/1/26 | 5,628 | 6,170 | |
Entergy Corp. | 4.000% | 7/15/22 | 106 | 114 | |
Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 3,985 | 4,325 | |
Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 2,305 | 2,783 | |
Entergy Louisiana LLC | 4.050% | 9/1/23 | 6,600 | 7,392 | |
Entergy Louisiana LLC | 5.400% | 11/1/24 | 2,725 | 3,332 | |
Entergy Louisiana LLC | 3.050% | 6/1/31 | 11,300 | 11,580 | |
Entergy Louisiana LLC | 4.950% | 1/15/45 | 9,900 | 10,438 | |
Entergy Mississippi Inc. | 3.100% | 7/1/23 | 1,787 | 1,859 | |
Entergy Mississippi Inc. | 2.850% | 6/1/28 | 4,900 | 5,007 | |
Entergy Texas Inc. | 7.125% | 2/1/19 | 11,785 | 13,311 | |
Entergy Texas Inc. | 5.150% | 6/1/45 | 4,125 | 4,408 | |
Eversource Energy | 1.450% | 5/1/18 | 2,340 | 2,344 | |
Eversource Energy | 4.500% | 11/15/19 | 5,753 | 6,305 | |
Eversource Energy | 2.500% | 3/15/21 | 4,275 | 4,401 | |
Eversource Energy | 3.150% | 1/15/25 | 5,400 | 5,632 | |
Eversource Energy | 3.350% | 3/15/26 | 6,875 | 7,257 | |
Exelon Corp. | 2.850% | 6/15/20 | 3,195 | 3,302 | |
Exelon Corp. | 2.450% | 4/15/21 | 2,875 | 2,919 | |
Exelon Corp. | 3.950% | 6/15/25 | 21,350 | 23,061 | |
Exelon Corp. | 3.400% | 4/15/26 | 9,325 | 9,747 | |
Exelon Corp. | 4.950% | 6/15/35 | 6,500 | 7,340 | |
Exelon Corp. | 5.625% | 6/15/35 | 5,765 | 6,828 | |
Exelon Corp. | 5.100% | 6/15/45 | 3,850 | 4,390 | |
Exelon Corp. | 4.450% | 4/15/46 | 13,250 | 14,203 | |
Exelon Generation Co. LLC | 6.200% | 10/1/17 | 5,065 | 5,353 | |
Exelon Generation Co. LLC | 5.200% | 10/1/19 | 888 | 983 | |
Exelon Generation Co. LLC | 4.000% | 10/1/20 | 11,323 | 12,085 | |
Exelon Generation Co. LLC | 4.250% | 6/15/22 | 20,625 | 22,062 | |
Exelon Generation Co. LLC | 6.250% | 10/1/39 | 7,912 | 8,692 | |
Exelon Generation Co. LLC | 5.750% | 10/1/41 | 1,600 | 1,660 | |
Exelon Generation Co. LLC | 5.600% | 6/15/42 | 11,336 | 11,890 | |
FirstEnergy Solutions Corp. | 6.800% | 8/15/39 | 5,053 | 5,104 | |
Florida Power & Light Co. | 5.550% | 11/1/17 | 730 | 773 | |
Florida Power & Light Co. | 2.750% | 6/1/23 | 7,425 | 7,819 | |
Florida Power & Light Co. | 3.250% | 6/1/24 | 9,925 | 10,703 | |
Florida Power & Light Co. | 3.125% | 12/1/25 | 12,400 | 13,309 | |
Florida Power & Light Co. | 5.625% | 4/1/34 | 3,000 | 3,889 | |
Florida Power & Light Co. | 4.950% | 6/1/35 | 645 | 784 | |
Florida Power & Light Co. | 5.650% | 2/1/37 | 3,297 | 4,369 | |
Florida Power & Light Co. | 5.950% | 2/1/38 | 9,800 | 13,464 | |
Florida Power & Light Co. | 5.250% | 2/1/41 | 500 | 646 | |
Florida Power & Light Co. | 4.125% | 2/1/42 | 14,918 | 16,886 | |
Florida Power & Light Co. | 3.800% | 12/15/42 | 5,095 | 5,530 | |
Florida Power & Light Co. | 4.050% | 10/1/44 | 4,200 | 4,732 | |
Georgia Power Co. | 1.950% | 12/1/18 | 6,870 | 6,983 | |
Georgia Power Co. | 4.250% | 12/1/19 | 45 | 49 | |
Georgia Power Co. | 2.400% | 4/1/21 | 7,500 | 7,751 |
99
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Georgia Power Co. | 2.850% | 5/15/22 | 8,675 | 9,099 | |
Georgia Power Co. | 3.250% | 4/1/26 | 5,300 | 5,630 | |
Georgia Power Co. | 5.650% | 3/1/37 | 1,133 | 1,401 | |
Georgia Power Co. | 5.950% | 2/1/39 | 2,000 | 2,600 | |
Georgia Power Co. | 5.400% | 6/1/40 | 6,290 | 7,756 | |
Georgia Power Co. | 4.750% | 9/1/40 | 4,838 | 5,516 | |
Georgia Power Co. | 4.300% | 3/15/42 | 9,623 | 10,536 | |
Georgia Power Co. | 4.300% | 3/15/43 | 4,055 | 4,478 | |
Great Plains Energy Inc. | 4.850% | 6/1/21 | 1,053 | 1,158 | |
Iberdrola International BV | 6.750% | 7/15/36 | 3,375 | 4,371 | |
Indiana Michigan Power Co. | 7.000% | 3/15/19 | 4,540 | 5,158 | |
Indiana Michigan Power Co. | 3.200% | 3/15/23 | 7,277 | 7,591 | |
Indiana Michigan Power Co. | 6.050% | 3/15/37 | 7,050 | 8,737 | |
Indiana Michigan Power Co. | 4.550% | 3/15/46 | 1,655 | 1,836 | |
Interstate Power & Light Co. | 3.250% | 12/1/24 | 2,375 | 2,542 | |
Interstate Power & Light Co. | 3.400% | 8/15/25 | 3,650 | 3,952 | |
Interstate Power & Light Co. | 6.250% | 7/15/39 | 4,364 | 6,119 | |
ITC Holdings Corp. | 4.050% | 7/1/23 | 2,925 | 3,120 | |
ITC Holdings Corp. | 3.650% | 6/15/24 | 4,465 | 4,648 | |
ITC Holdings Corp. | 5.300% | 7/1/43 | 11,810 | 13,200 | |
Jersey Central Power & Light Co. | 6.150% | 6/1/37 | 7,873 | 9,278 | |
4 | John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 2,458 | 2,881 |
Kansas City Power & Light Co. | 5.850% | 6/15/17 | 275 | 285 | |
Kansas City Power & Light Co. | 7.150% | 4/1/19 | 2,890 | 3,321 | |
Kansas City Power & Light Co. | 3.150% | 3/15/23 | 2,750 | 2,828 | |
Kansas City Power & Light Co. | 3.650% | 8/15/25 | 50 | 53 | |
Kansas City Power & Light Co. | 6.050% | 11/15/35 | 1,440 | 1,823 | |
Kansas City Power & Light Co. | 5.300% | 10/1/41 | 6,370 | 7,629 | |
Kentucky Utilities Co. | 3.250% | 11/1/20 | 3,375 | 3,600 | |
Kentucky Utilities Co. | 5.125% | 11/1/40 | 3,081 | 3,868 | |
Kentucky Utilities Co. | 4.650% | 11/15/43 | 12,320 | 14,600 | |
LG&E & KU Energy LLC | 3.750% | 11/15/20 | 26,786 | 28,776 | |
LG&E & KU Energy LLC | 4.375% | 10/1/21 | 75 | 83 | |
Louisville Gas & Electric Co. | 3.300% | 10/1/25 | 250 | 269 | |
Louisville Gas & Electric Co. | 5.125% | 11/15/40 | 1,675 | 2,080 | |
Louisville Gas & Electric Co. | 4.650% | 11/15/43 | 8,400 | 10,004 | |
Metropolitan Edison Co. | 7.700% | 1/15/19 | 4,611 | 5,212 | |
MidAmerican Energy Co. | 5.950% | 7/15/17 | 1,835 | 1,924 | |
MidAmerican Energy Co. | 5.300% | 3/15/18 | 815 | 872 | |
MidAmerican Energy Co. | 3.700% | 9/15/23 | 500 | 551 | |
MidAmerican Energy Co. | 3.500% | 10/15/24 | 5,185 | 5,670 | |
MidAmerican Energy Co. | 6.750% | 12/30/31 | 9,000 | 12,533 | |
MidAmerican Energy Co. | 5.750% | 11/1/35 | 1,400 | 1,823 | |
MidAmerican Energy Co. | 5.800% | 10/15/36 | 275 | 360 | |
MidAmerican Energy Co. | 4.800% | 9/15/43 | 475 | 579 | |
MidAmerican Energy Co. | 4.250% | 5/1/46 | 160 | 182 | |
Mississippi Power Co. | 4.250% | 3/15/42 | 7,875 | 7,044 | |
National Rural Utilities Cooperative Finance Corp. | 5.450% | 2/1/18 | 7,940 | 8,472 | |
National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 18,190 | 21,959 | |
National Rural Utilities Cooperative Finance Corp. | 2.150% | 2/1/19 | 6,275 | 6,417 | |
National Rural Utilities Cooperative Finance Corp. | 1.650% | 2/8/19 | 14,900 | 15,076 | |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/15/19 | 5,000 | 5,146 | |
National Rural Utilities Cooperative Finance Corp. | 2.000% | 1/27/20 | 3,500 | 3,562 | |
National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 6,900 | 7,127 | |
National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/1/20 | 4,500 | 4,656 | |
National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 2,117 | 2,236 | |
National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 9,800 | 10,195 | |
National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 8,970 | 9,362 | |
National Rural Utilities Cooperative Finance Corp. | 3.250% | 11/1/25 | 650 | 701 | |
National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 12,687 | 13,666 | |
4 | National Rural Utilities Cooperative Finance Corp. | 4.750% | 4/30/43 | 1,450 | 1,421 |
4 | National Rural Utilities Cooperative Finance Corp. | 5.250% | 4/20/46 | 4,800 | 4,905 |
Nevada Power Co. | 6.500% | 5/15/18 | 5,722 | 6,282 | |
Nevada Power Co. | 7.125% | 3/15/19 | 18,555 | 21,429 |
100
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Nevada Power Co. | 6.650% | 4/1/36 | 5,600 | 7,770 | |
Nevada Power Co. | 6.750% | 7/1/37 | 7,572 | 10,467 | |
Nevada Power Co. | 5.375% | 9/15/40 | 3,905 | 4,892 | |
Nevada Power Co. | 5.450% | 5/15/41 | 2,225 | 2,823 | |
NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 15,600 | 17,288 | |
NextEra Energy Capital Holdings Inc. | 2.400% | 9/15/19 | 8,075 | 8,239 | |
NextEra Energy Capital Holdings Inc. | 2.700% | 9/15/19 | 3,075 | 3,159 | |
NextEra Energy Capital Holdings Inc. | 3.625% | 6/15/23 | 7,000 | 7,373 | |
4 | NextEra Energy Capital Holdings Inc. | 6.650% | 6/15/67 | 2,450 | 1,997 |
Northern States Power Co. | 5.250% | 3/1/18 | 2,840 | 3,038 | |
Northern States Power Co. | 2.200% | 8/15/20 | 2,700 | 2,791 | |
Northern States Power Co. | 5.250% | 7/15/35 | 730 | 931 | |
Northern States Power Co. | 6.250% | 6/1/36 | 3,670 | 5,106 | |
Northern States Power Co. | 6.200% | 7/1/37 | 5,443 | 7,673 | |
Northern States Power Co. | 5.350% | 11/1/39 | 9,296 | 12,158 | |
Northern States Power Co. | 4.850% | 8/15/40 | 527 | 652 | |
Northern States Power Co. | 3.400% | 8/15/42 | 18 | 18 | |
Northern States Power Co. | 4.000% | 8/15/45 | 2,900 | 3,276 | |
Northern States Power Co. | 3.600% | 5/15/46 | 2,700 | 2,841 | |
NorthWestern Corp. | 6.340% | 4/1/19 | 4,500 | 5,057 | |
NorthWestern Corp. | 4.176% | 11/15/44 | 3,275 | 3,594 | |
NSTAR Electric Co. | 5.625% | 11/15/17 | 5,365 | 5,685 | |
NSTAR Electric Co. | 2.375% | 10/15/22 | 8,150 | 8,391 | |
NSTAR Electric Co. | 3.250% | 11/15/25 | 450 | 484 | |
NSTAR Electric Co. | 2.700% | 6/1/26 | 825 | 839 | |
NSTAR Electric Co. | 5.500% | 3/15/40 | 5,621 | 7,310 | |
NV Energy Inc. | 6.250% | 11/15/20 | 12,485 | 14,763 | |
Oglethorpe Power Corp. | 5.950% | 11/1/39 | 1,450 | 1,808 | |
Oglethorpe Power Corp. | 5.375% | 11/1/40 | 4,650 | 5,614 | |
Oglethorpe Power Corp. | 4.250% | 4/1/46 | 7,750 | 8,179 | |
Oglethorpe Power Corp. | 5.250% | 9/1/50 | 18 | 21 | |
Ohio Edison Co. | 6.875% | 7/15/36 | 1,150 | 1,442 | |
Ohio Edison Co. | 8.250% | 10/15/38 | 3,009 | 4,528 | |
Ohio Power Co. | 5.375% | 10/1/21 | 4,466 | 5,211 | |
Ohio Power Co. | 6.600% | 2/15/33 | 1,550 | 2,008 | |
Ohio Power Co. | 5.850% | 10/1/35 | 4,518 | 5,534 | |
Oklahoma Gas & Electric Co. | 5.850% | 6/1/40 | 2,925 | 3,773 | |
Oklahoma Gas & Electric Co. | 5.250% | 5/15/41 | 200 | 246 | |
Oklahoma Gas & Electric Co. | 3.900% | 5/1/43 | 3,825 | 3,881 | |
Oklahoma Gas & Electric Co. | 4.550% | 3/15/44 | 135 | 156 | |
Oklahoma Gas & Electric Co. | 4.000% | 12/15/44 | 5,225 | 5,554 | |
Oncor Electric Delivery Co. LLC | 5.000% | 9/30/17 | 2,620 | 2,738 | |
Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 5,535 | 6,165 | |
Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 5,910 | 6,006 | |
Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 5,496 | 6,998 | |
Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 5,000 | 5,205 | |
Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 2,500 | 3,480 | |
Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 2,930 | 4,224 | |
Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 1,621 | 2,365 | |
Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 1,050 | 1,299 | |
Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 4,304 | 4,870 | |
Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 237 | 298 | |
Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 6,966 | 7,392 | |
Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 23,275 | 25,056 | |
Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 11,366 | 12,593 | |
Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 750 | 804 | |
Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 9,980 | 10,648 | |
Pacific Gas & Electric Co. | 3.850% | 11/15/23 | 1,500 | 1,655 | |
Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 9,675 | 10,610 | |
Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 5,575 | 5,990 | |
Pacific Gas & Electric Co. | 3.500% | 6/15/25 | 5,800 | 6,313 | |
Pacific Gas & Electric Co. | 2.950% | 3/1/26 | 1,000 | 1,042 | |
Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 31,236 | 41,644 | |
Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 8,995 | 11,748 |
101
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 1,275 | 1,730 |
Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 4,575 | 6,222 |
Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 9,769 | 10,992 |
Pacific Gas & Electric Co. | 3.750% | 8/15/42 | 175 | 178 |
Pacific Gas & Electric Co. | 4.600% | 6/15/43 | 15,250 | 17,485 |
Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 55 | 67 |
Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 5,158 | 6,097 |
Pacific Gas & Electric Co. | 4.300% | 3/15/45 | 1,950 | 2,192 |
Pacific Gas & Electric Co. | 4.250% | 3/15/46 | 11,995 | 13,342 |
PacifiCorp | 5.650% | 7/15/18 | 7,504 | 8,204 |
PacifiCorp | 5.500% | 1/15/19 | 10,477 | 11,549 |
PacifiCorp | 2.950% | 2/1/22 | 8,000 | 8,484 |
PacifiCorp | 3.600% | 4/1/24 | 9,564 | 10,508 |
PacifiCorp | 7.700% | 11/15/31 | 1,174 | 1,821 |
PacifiCorp | 5.250% | 6/15/35 | 100 | 123 |
PacifiCorp | 5.750% | 4/1/37 | 3,181 | 4,161 |
PacifiCorp | 6.250% | 10/15/37 | 8,356 | 11,546 |
PacifiCorp | 6.350% | 7/15/38 | 2,000 | 2,811 |
PacifiCorp | 6.000% | 1/15/39 | 3,306 | 4,472 |
PacifiCorp | 4.100% | 2/1/42 | 3,545 | 3,913 |
PECO Energy Co. | 5.350% | 3/1/18 | 695 | 743 |
PECO Energy Co. | 2.375% | 9/15/22 | 2,925 | 3,014 |
PECO Energy Co. | 3.150% | 10/15/25 | 200 | 214 |
Pennsylvania Electric Co. | 5.200% | 4/1/20 | 3,600 | 3,797 |
Pennsylvania Electric Co. | 6.150% | 10/1/38 | 11,215 | 12,879 |
PG&E Corp. | 2.400% | 3/1/19 | 3,700 | 3,770 |
Potomac Electric Power Co. | 3.600% | 3/15/24 | 3,650 | 3,955 |
Potomac Electric Power Co. | 6.500% | 11/15/37 | 7,757 | 10,874 |
PPL Capital Funding Inc. | 1.900% | 6/1/18 | 1,245 | 1,251 |
PPL Capital Funding Inc. | 4.200% | 6/15/22 | 2,265 | 2,468 |
PPL Capital Funding Inc. | 3.500% | 12/1/22 | 1,795 | 1,889 |
PPL Capital Funding Inc. | 3.400% | 6/1/23 | 3,495 | 3,647 |
PPL Capital Funding Inc. | 3.950% | 3/15/24 | 815 | 878 |
PPL Capital Funding Inc. | 3.100% | 5/15/26 | 2,425 | 2,444 |
PPL Capital Funding Inc. | 4.700% | 6/1/43 | 2,750 | 2,992 |
PPL Capital Funding Inc. | 5.000% | 3/15/44 | 11,571 | 13,133 |
PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 3,300 | 3,515 |
PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 5,452 | 7,676 |
PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 3,915 | 4,948 |
PPL Electric Utilities Corp. | 4.750% | 7/15/43 | 800 | 970 |
PPL Electric Utilities Corp. | 4.125% | 6/15/44 | 2,700 | 2,993 |
Progress Energy Inc. | 4.875% | 12/1/19 | 4,310 | 4,745 |
Progress Energy Inc. | 4.400% | 1/15/21 | 9,782 | 10,707 |
Progress Energy Inc. | 3.150% | 4/1/22 | 250 | 260 |
Progress Energy Inc. | 7.750% | 3/1/31 | 2,085 | 2,921 |
Progress Energy Inc. | 7.000% | 10/30/31 | 2,850 | 3,832 |
Progress Energy Inc. | 6.000% | 12/1/39 | 5,145 | 6,559 |
PSEG Power LLC | 5.125% | 4/15/20 | 1,286 | 1,408 |
PSEG Power LLC | 3.000% | 6/15/21 | 4,000 | 4,069 |
PSEG Power LLC | 4.150% | 9/15/21 | 5,169 | 5,534 |
PSEG Power LLC | 4.300% | 11/15/23 | 350 | 369 |
PSEG Power LLC | 8.625% | 4/15/31 | 300 | 375 |
Public Service Co. of Colorado | 5.800% | 8/1/18 | 1,485 | 1,624 |
Public Service Co. of Colorado | 5.125% | 6/1/19 | 7,575 | 8,450 |
Public Service Co. of Colorado | 3.200% | 11/15/20 | 4,100 | 4,389 |
Public Service Co. of Colorado | 2.250% | 9/15/22 | 5,650 | 5,797 |
Public Service Co. of Colorado | 2.900% | 5/15/25 | 5,200 | 5,447 |
Public Service Co. of Colorado | 6.250% | 9/1/37 | 497 | 701 |
Public Service Co. of Colorado | 4.750% | 8/15/41 | 3,000 | 3,627 |
Public Service Co. of Colorado | 3.600% | 9/15/42 | 11,100 | 11,556 |
Public Service Co. of Colorado | 4.300% | 3/15/44 | 120 | 138 |
Public Service Co. of New Hampshire | 3.500% | 11/1/23 | 2,054 | 2,207 |
Public Service Co. of New Mexico | 3.850% | 8/1/25 | 2,250 | 2,409 |
Public Service Co. of Oklahoma | 5.150% | 12/1/19 | 100 | 111 |
102
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Public Service Co. of Oklahoma | 6.625% | 11/15/37 | 4,675 | 6,034 | |
Public Service Electric & Gas Co. | 2.300% | 9/15/18 | 6,150 | 6,290 | |
Public Service Electric & Gas Co. | 1.800% | 6/1/19 | 2,125 | 2,160 | |
Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 525 | 564 | |
Public Service Electric & Gas Co. | 1.900% | 3/15/21 | 3,100 | 3,160 | |
Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 308 | 315 | |
Public Service Electric & Gas Co. | 3.150% | 8/15/24 | 4,200 | 4,496 | |
Public Service Electric & Gas Co. | 3.050% | 11/15/24 | 1,575 | 1,680 | |
Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 3,960 | 4,232 | |
Public Service Electric & Gas Co. | 5.700% | 12/1/36 | 4,207 | 5,576 | |
Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 1,700 | 2,280 | |
Public Service Electric & Gas Co. | 5.375% | 11/1/39 | 7,972 | 10,352 | |
Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 15,365 | 17,055 | |
Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 450 | 476 | |
Public Service Electric & Gas Co. | 4.000% | 6/1/44 | 2,875 | 3,216 | |
Public Service Electric & Gas Co. | 4.050% | 5/1/45 | 2,700 | 3,046 | |
Public Service Electric & Gas Co. | 3.800% | 3/1/46 | 16,180 | 17,568 | |
Puget Energy Inc. | 6.500% | 12/15/20 | 17,900 | 20,865 | |
Puget Energy Inc. | 6.000% | 9/1/21 | 9,765 | 11,314 | |
Puget Energy Inc. | 5.625% | 7/15/22 | 2,400 | 2,742 | |
Puget Energy Inc. | 3.650% | 5/15/25 | 7,450 | 7,663 | |
Puget Sound Energy Inc. | 7.020% | 12/1/27 | 1,000 | 1,372 | |
Puget Sound Energy Inc. | 5.483% | 6/1/35 | 852 | 1,066 | |
Puget Sound Energy Inc. | 6.274% | 3/15/37 | 5,475 | 7,546 | |
Puget Sound Energy Inc. | 5.757% | 10/1/39 | 2,675 | 3,592 | |
Puget Sound Energy Inc. | 5.795% | 3/15/40 | 1,774 | 2,411 | |
Puget Sound Energy Inc. | 5.764% | 7/15/40 | 2,145 | 2,882 | |
Puget Sound Energy Inc. | 5.638% | 4/15/41 | 3,918 | 5,171 | |
Puget Sound Energy Inc. | 4.434% | 11/15/41 | 5,209 | 5,957 | |
Puget Sound Energy Inc. | 4.300% | 5/20/45 | 7,225 | 8,280 | |
San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 3,000 | 3,209 | |
San Diego Gas & Electric Co. | 3.600% | 9/1/23 | 3,675 | 4,059 | |
San Diego Gas & Electric Co. | 5.350% | 5/15/35 | 1,200 | 1,508 | |
San Diego Gas & Electric Co. | 6.125% | 9/15/37 | 118 | 163 | |
San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 905 | 1,233 | |
San Diego Gas & Electric Co. | 5.350% | 5/15/40 | 2,760 | 3,553 | |
San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 2,570 | 2,999 | |
San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 8,975 | 9,757 | |
San Diego Gas & Electric Co. | 4.300% | 4/1/42 | 1,945 | 2,235 | |
SCANA Corp. | 4.750% | 5/15/21 | 5,600 | 5,982 | |
SCANA Corp. | 4.125% | 2/1/22 | 6,605 | 6,866 | |
Sierra Pacific Power Co. | 3.375% | 8/15/23 | 8,448 | 9,037 | |
7 | Sierra Pacific Power Co. | 2.600% | 5/1/26 | 16,395 | 16,759 |
Sierra Pacific Power Co. | 6.750% | 7/1/37 | 4,250 | 6,084 | |
South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 1,620 | 1,810 | |
South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 5,729 | 7,576 | |
South Carolina Electric & Gas Co. | 5.300% | 5/15/33 | 93 | 111 | |
South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 3,685 | 4,748 | |
South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 4,520 | 5,619 | |
South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 7,418 | 8,065 | |
South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 8,710 | 9,858 | |
South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 3,750 | 3,892 | |
South Carolina Electric & Gas Co. | 5.100% | 6/1/65 | 6,225 | 7,192 | |
Southern California Edison Co. | 3.875% | 6/1/21 | 24,450 | 26,950 | |
4 | Southern California Edison Co. | 1.845% | 2/1/22 | 4,693 | 4,665 |
Southern California Edison Co. | 2.400% | 2/1/22 | 9,900 | 10,201 | |
Southern California Edison Co. | 6.650% | 4/1/29 | 2,056 | 2,756 | |
Southern California Edison Co. | 6.000% | 1/15/34 | 6,035 | 7,968 | |
Southern California Edison Co. | 5.750% | 4/1/35 | 2,913 | 3,792 | |
Southern California Edison Co. | 5.350% | 7/15/35 | 7,323 | 9,109 | |
Southern California Edison Co. | 5.550% | 1/15/36 | 1,400 | 1,782 | |
Southern California Edison Co. | 5.625% | 2/1/36 | 6,925 | 8,959 | |
Southern California Edison Co. | 5.550% | 1/15/37 | 7,150 | 9,280 | |
Southern California Edison Co. | 5.950% | 2/1/38 | 5,713 | 7,712 |
103
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Southern California Edison Co. | 6.050% | 3/15/39 | 1,185 | 1,632 | |
Southern California Edison Co. | 5.500% | 3/15/40 | 898 | 1,178 | |
Southern California Edison Co. | 4.500% | 9/1/40 | 4,575 | 5,298 | |
Southern California Edison Co. | 3.900% | 12/1/41 | 1,380 | 1,481 | |
Southern California Edison Co. | 4.050% | 3/15/42 | 5,925 | 6,492 | |
Southern California Edison Co. | 4.650% | 10/1/43 | 3,349 | 4,066 | |
Southern California Edison Co. | 3.600% | 2/1/45 | 8,250 | 8,592 | |
Southern Co. | 1.300% | 8/15/17 | 3,050 | 3,049 | |
Southern Co. | 1.550% | 7/1/18 | 7,500 | 7,549 | |
Southern Co. | 1.850% | 7/1/19 | 3,675 | 3,722 | |
Southern Co. | 2.150% | 9/1/19 | 3,300 | 3,359 | |
Southern Co. | 2.750% | 6/15/20 | 12,210 | 12,662 | |
Southern Co. | 2.350% | 7/1/21 | 9,125 | 9,305 | |
Southern Co. | 2.950% | 7/1/23 | 7,300 | 7,555 | |
Southern Co. | 3.250% | 7/1/26 | 18,050 | 18,761 | |
Southern Co. | 4.250% | 7/1/36 | 13,000 | 13,759 | |
Southern Co. | 4.400% | 7/1/46 | 15,400 | 16,461 | |
Southern Power Co. | 1.850% | 12/1/17 | 1,800 | 1,816 | |
Southern Power Co. | 1.500% | 6/1/18 | 2,475 | 2,487 | |
Southern Power Co. | 2.375% | 6/1/20 | 2,900 | 2,947 | |
Southern Power Co. | 4.150% | 12/1/25 | 12,150 | 13,147 | |
Southern Power Co. | 5.150% | 9/15/41 | 11,215 | 12,071 | |
Southwestern Electric Power Co. | 5.875% | 3/1/18 | 1,327 | 1,419 | |
Southwestern Electric Power Co. | 6.450% | 1/15/19 | 3,735 | 4,167 | |
Southwestern Electric Power Co. | 3.550% | 2/15/22 | 7,044 | 7,511 | |
Southwestern Electric Power Co. | 6.200% | 3/15/40 | 1,910 | 2,379 | |
Southwestern Electric Power Co. | 3.900% | 4/1/45 | 3,975 | 3,939 | |
Southwestern Public Service Co. | 3.300% | 6/15/24 | 3,300 | 3,530 | |
Southwestern Public Service Co. | 4.500% | 8/15/41 | 3,645 | 4,242 | |
System Energy Resources Inc. | 4.100% | 4/1/23 | 3,050 | 3,229 | |
Tampa Electric Co. | 6.100% | 5/15/18 | 275 | 298 | |
Tampa Electric Co. | 5.400% | 5/15/21 | 2,462 | 2,819 | |
Tampa Electric Co. | 2.600% | 9/15/22 | 5,690 | 5,877 | |
Tampa Electric Co. | 6.550% | 5/15/36 | 800 | 1,100 | |
Tampa Electric Co. | 4.100% | 6/15/42 | 602 | 645 | |
Tampa Electric Co. | 4.350% | 5/15/44 | 7,345 | 8,180 | |
Tampa Electric Co. | 4.200% | 5/15/45 | 4,250 | 4,639 | |
TECO Finance Inc. | 6.572% | 11/1/17 | 2,270 | 2,411 | |
TECO Finance Inc. | 5.150% | 3/15/20 | 3,367 | 3,742 | |
Toledo Edison Co. | 6.150% | 5/15/37 | 754 | 928 | |
TransAlta Corp. | 6.900% | 5/15/18 | 1,135 | 1,174 | |
TransAlta Corp. | 4.500% | 11/15/22 | 1,350 | 1,235 | |
TransAlta Corp. | 6.500% | 3/15/40 | 3,439 | 2,583 | |
Tri-State Generation & Transmission Assn. Inc. | 3.700% | 11/1/24 | 1,500 | 1,599 | |
Tri-State Generation & Transmission Assn. Inc. | 4.700% | 11/1/44 | 2,350 | 2,613 | |
7 | Tri-State Generation & Transmission Assn. Inc. | 4.250% | 6/1/46 | 4,250 | 4,509 |
Tucson Electric Power Co. | 5.150% | 11/15/21 | 2,750 | 3,114 | |
Tucson Electric Power Co. | 3.050% | 3/15/25 | 2,375 | 2,396 | |
UIL Holdings Corp. | 4.625% | 10/1/20 | 1,550 | 1,678 | |
Union Electric Co. | 6.700% | 2/1/19 | 4,441 | 5,048 | |
Union Electric Co. | 3.500% | 4/15/24 | 7,160 | 7,771 | |
Union Electric Co. | 5.300% | 8/1/37 | 3,945 | 4,928 | |
Union Electric Co. | 8.450% | 3/15/39 | 1,775 | 2,952 | |
Union Electric Co. | 3.900% | 9/15/42 | 2,625 | 2,831 | |
Union Electric Co. | 3.650% | 4/15/45 | 3,975 | 4,117 | |
Virginia Electric & Power Co. | 5.400% | 4/30/18 | 5,170 | 5,559 | |
Virginia Electric & Power Co. | 5.000% | 6/30/19 | 4,800 | 5,261 | |
Virginia Electric & Power Co. | 2.950% | 1/15/22 | 3,600 | 3,795 | |
Virginia Electric & Power Co. | 3.450% | 9/1/22 | 1,165 | 1,253 | |
Virginia Electric & Power Co. | 3.450% | 2/15/24 | 2,850 | 3,083 | |
Virginia Electric & Power Co. | 3.100% | 5/15/25 | 5,130 | 5,417 | |
Virginia Electric & Power Co. | 3.150% | 1/15/26 | 2,800 | 2,964 | |
Virginia Electric & Power Co. | 6.000% | 1/15/36 | 5,575 | 7,344 | |
Virginia Electric & Power Co. | 6.000% | 5/15/37 | 3,316 | 4,434 |
104
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Virginia Electric & Power Co. | 6.350% | 11/30/37 | 3,700 | 5,118 | |
Virginia Electric & Power Co. | 8.875% | 11/15/38 | 28 | 47 | |
Virginia Electric & Power Co. | 4.000% | 1/15/43 | 4,058 | 4,339 | |
Virginia Electric & Power Co. | 4.650% | 8/15/43 | 8,055 | 9,554 | |
Virginia Electric & Power Co. | 4.450% | 2/15/44 | 9,475 | 10,854 | |
Virginia Electric & Power Co. | 4.200% | 5/15/45 | 5,850 | 6,519 | |
WEC Energy Group Inc. | 1.650% | 6/15/18 | 3,500 | 3,527 | |
WEC Energy Group Inc. | 2.450% | 6/15/20 | 3,000 | 3,078 | |
WEC Energy Group Inc. | 3.550% | 6/15/25 | 4,775 | 5,137 | |
4 | WEC Energy Group Inc. | 6.250% | 5/15/67 | 13,490 | 10,556 |
Westar Energy Inc. | 3.250% | 12/1/25 | 1,070 | 1,144 | |
Westar Energy Inc. | 2.550% | 7/1/26 | 5,800 | 5,808 | |
Westar Energy Inc. | 4.125% | 3/1/42 | 8,530 | 9,393 | |
Westar Energy Inc. | 4.100% | 4/1/43 | 5,475 | 5,979 | |
Westar Energy Inc. | 4.625% | 9/1/43 | 1,425 | 1,687 | |
Westar Energy Inc. | 4.250% | 12/1/45 | 1,225 | 1,382 | |
Western Massachusetts Electric Co. | 3.500% | 9/15/21 | 2,650 | 2,824 | |
Wisconsin Electric Power Co. | 1.700% | 6/15/18 | 400 | 403 | |
Wisconsin Electric Power Co. | 4.250% | 12/15/19 | 4,300 | 4,690 | |
Wisconsin Electric Power Co. | 2.950% | 9/15/21 | 2,500 | 2,647 | |
Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 775 | 986 | |
Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 1,050 | 1,375 | |
Wisconsin Electric Power Co. | 3.650% | 12/15/42 | 418 | 437 | |
Wisconsin Electric Power Co. | 4.250% | 6/1/44 | 2,125 | 2,387 | |
Wisconsin Power & Light Co. | 2.250% | 11/15/22 | 2,875 | 2,897 | |
Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 4,875 | 6,834 | |
Wisconsin Power & Light Co. | 4.100% | 10/15/44 | 1,325 | 1,464 | |
Wisconsin Public Service Corp. | 1.650% | 12/4/18 | 3,650 | 3,702 | |
Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 1,625 | 1,687 | |
Xcel Energy Inc. | 4.700% | 5/15/20 | 825 | 912 | |
Xcel Energy Inc. | 2.400% | 3/15/21 | 7,000 | 7,200 | |
Xcel Energy Inc. | 3.300% | 6/1/25 | 4,800 | 5,064 | |
Xcel Energy Inc. | 6.500% | 7/1/36 | 8,042 | 10,720 | |
Natural Gas (0.1%) | |||||
AGL Capital Corp. | 5.250% | 8/15/19 | 885 | 968 | |
AGL Capital Corp. | 3.500% | 9/15/21 | 2,825 | 3,001 | |
AGL Capital Corp. | 3.875% | 11/15/25 | 2,000 | 2,150 | |
AGL Capital Corp. | 3.250% | 6/15/26 | 7,900 | 8,099 | |
AGL Capital Corp. | 5.875% | 3/15/41 | 4,075 | 4,973 | |
AGL Capital Corp. | 4.400% | 6/1/43 | 3,825 | 3,921 | |
Atmos Energy Corp. | 8.500% | 3/15/19 | 1,110 | 1,309 | |
Atmos Energy Corp. | 5.500% | 6/15/41 | 10,245 | 13,057 | |
Atmos Energy Corp. | 4.150% | 1/15/43 | 9,190 | 9,962 | |
British Transco Finance Inc. | 6.625% | 6/1/18 | 4,665 | 5,128 | |
CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 16,687 | 18,119 | |
CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 7,150 | 8,302 | |
KeySpan Corp. | 8.000% | 11/15/30 | 360 | 509 | |
NiSource Finance Corp. | 6.400% | 3/15/18 | 8,234 | 8,912 | |
NiSource Finance Corp. | 6.800% | 1/15/19 | 1,270 | 1,428 | |
NiSource Finance Corp. | 5.450% | 9/15/20 | 6,732 | 7,626 | |
NiSource Finance Corp. | 6.125% | 3/1/22 | 1,500 | 1,793 | |
NiSource Finance Corp. | 6.250% | 12/15/40 | 8,375 | 10,902 | |
NiSource Finance Corp. | 5.950% | 6/15/41 | 4,190 | 5,239 | |
NiSource Finance Corp. | 5.800% | 2/1/42 | 11,798 | 15,105 | |
NiSource Finance Corp. | 5.250% | 2/15/43 | 1,300 | 1,564 | |
NiSource Finance Corp. | 4.800% | 2/15/44 | 762 | 876 | |
ONE Gas Inc. | 2.070% | 2/1/19 | 4,249 | 4,313 | |
ONE Gas Inc. | 4.658% | 2/1/44 | 1,325 | 1,527 | |
Piedmont Natural Gas Co. Inc. | 4.100% | 9/18/34 | 80 | 85 | |
Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 2,450 | 2,772 | |
Sempra Energy | 6.150% | 6/15/18 | 3,290 | 3,579 | |
Sempra Energy | 9.800% | 2/15/19 | 6,155 | 7,410 | |
Sempra Energy | 2.400% | 3/15/20 | 3,211 | 3,248 |
105
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Sempra Energy | 2.850% | 11/15/20 | 7,179 | 7,447 |
Sempra Energy | 2.875% | 10/1/22 | 4,406 | 4,510 |
Sempra Energy | 4.050% | 12/1/23 | 7,685 | 8,326 |
Sempra Energy | 3.750% | 11/15/25 | 1,500 | 1,603 |
Sempra Energy | 6.000% | 10/15/39 | 21,718 | 26,736 |
Southern California Gas Co. | 3.150% | 9/15/24 | 125 | 134 |
Southern California Gas Co. | 3.200% | 6/15/25 | 750 | 806 |
Southern California Gas Co. | 2.600% | 6/15/26 | 13,000 | 13,339 |
Southern California Gas Co. | 5.750% | 11/15/35 | 960 | 1,231 |
Southern California Gas Co. | 3.750% | 9/15/42 | 5,270 | 5,585 |
Southern California Gas Co. | 4.450% | 3/15/44 | 1,935 | 2,277 |
Spire Inc. | 4.700% | 8/15/44 | 4,925 | 5,184 |
Other Utility (0.0%) | ||||
American Water Capital Corp. | 6.085% | 10/15/17 | 7,106 | 7,531 |
American Water Capital Corp. | 3.850% | 3/1/24 | 3,475 | 3,847 |
American Water Capital Corp. | 3.400% | 3/1/25 | 1,100 | 1,190 |
American Water Capital Corp. | 6.593% | 10/15/37 | 5,520 | 7,906 |
American Water Capital Corp. | 4.300% | 9/1/45 | 5,700 | 6,514 |
United Utilities plc | 5.375% | 2/1/19 | 2,475 | 2,657 |
United Utilities plc | 6.875% | 8/15/28 | 1,185 | 1,399 |
Veolia Environnement SA | 6.750% | 6/1/38 | 3,849 | 5,080 |
3,709,711 | ||||
Total Corporate Bonds (Cost $44,051,831) | 46,563,146 | |||
Sovereign Bonds (U.S. Dollar-Denominated) (5.1%) | ||||
African Development Bank | 0.750% | 10/18/16 | 8,920 | 8,907 |
African Development Bank | 1.125% | 3/15/17 | 8,485 | 8,509 |
African Development Bank | 0.875% | 5/15/17 | 3,015 | 3,022 |
African Development Bank | 0.875% | 3/15/18 | 9,175 | 9,195 |
African Development Bank | 1.625% | 10/2/18 | 23,650 | 24,086 |
African Development Bank | 1.000% | 5/15/19 | 16,400 | 16,454 |
African Development Bank | 1.375% | 2/12/20 | 9,600 | 9,709 |
African Development Bank | 2.375% | 9/23/21 | 26,400 | 27,769 |
Agricultural Bank Of China | 2.000% | 5/21/18 | 4,750 | 4,782 |
Agricultural Bank Of China | 2.750% | 5/21/20 | 2,350 | 2,414 |
Asian Development Bank | 0.750% | 1/11/17 | 35,600 | 35,621 |
Asian Development Bank | 1.125% | 3/15/17 | 20,920 | 20,984 |
Asian Development Bank | 5.250% | 6/12/17 | 600 | 626 |
Asian Development Bank | 0.875% | 4/26/18 | 20,400 | 20,448 |
Asian Development Bank | 1.125% | 6/5/18 | 15,500 | 15,583 |
Asian Development Bank | 5.593% | 7/16/18 | 3,528 | 3,863 |
Asian Development Bank | 1.750% | 9/11/18 | 21,365 | 21,810 |
Asian Development Bank | 1.875% | 10/23/18 | 13,850 | 14,190 |
Asian Development Bank | 1.375% | 1/15/19 | 14,500 | 14,652 |
Asian Development Bank | 1.750% | 3/21/19 | 3,970 | 4,066 |
Asian Development Bank | 1.875% | 4/12/19 | 10,770 | 11,061 |
Asian Development Bank | 1.500% | 1/22/20 | 17,100 | 17,348 |
Asian Development Bank | 1.375% | 3/23/20 | 14,525 | 14,695 |
Asian Development Bank | 1.625% | 8/26/20 | 600 | 611 |
Asian Development Bank | 1.625% | 3/16/21 | 44,000 | 44,866 |
Asian Development Bank | 2.125% | 11/24/21 | 20,000 | 20,789 |
Asian Development Bank | 1.875% | 2/18/22 | 26,350 | 27,006 |
Asian Development Bank | 2.000% | 1/22/25 | 16,850 | 17,366 |
Asian Development Bank | 2.000% | 4/24/26 | 9,000 | 9,206 |
Asian Development Bank | 6.220% | 8/15/27 | 375 | 527 |
Asian Development Bank | 5.820% | 6/16/28 | 148 | 201 |
7 Bank of England | 1.250% | 3/14/19 | 4,700 | 4,742 |
Canada | 1.125% | 3/19/18 | 29,120 | 29,322 |
Canada | 1.625% | 2/27/19 | 3,460 | 3,528 |
CNOOC Curtis Funding No 1 pty Ltd. | 4.500% | 10/3/23 | 5,000 | 5,424 |
CNOOC Finance 2013 Ltd. | 3.000% | 5/9/23 | 6,250 | 6,210 |
CNOOC Finance 2015 Australia Pty Ltd. | 2.625% | 5/5/20 | 21,275 | 21,362 |
CNOOC Finance 2015 Australia Pty Ltd. | 4.200% | 5/5/45 | 4,500 | 4,538 |
106
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
CNOOC Finance 2015 USA LLC | 3.500% | 5/5/25 | 26,800 | 27,135 | |
CNOOC Nexen Finance 2014 ULC | 1.625% | 4/30/17 | 20,460 | 20,486 | |
CNOOC Nexen Finance 2014 ULC | 4.250% | 4/30/24 | 31,900 | 34,029 | |
Corp. Andina de Fomento | 2.000% | 5/10/19 | 17,000 | 17,092 | |
Corp. Andina de Fomento | 8.125% | 6/4/19 | 19,700 | 23,240 | |
Corp. Andina de Fomento | 4.375% | 6/15/22 | 25,925 | 28,816 | |
Council Of Europe Development Bank | 1.500% | 6/19/17 | 9,675 | 9,746 | |
Council Of Europe Development Bank | 1.000% | 3/7/18 | 13,440 | 13,479 | |
Council Of Europe Development Bank | 1.125% | 5/31/18 | 12,695 | 12,757 | |
Council Of Europe Development Bank | 1.750% | 11/14/19 | 2,900 | 2,959 | |
Council Of Europe Development Bank | 1.625% | 3/10/20 | 17,620 | 17,944 | |
Council Of Europe Development Bank | 1.625% | 3/16/21 | 8,500 | 8,620 | |
Ecopetrol SA | 4.250% | 9/18/18 | 3,015 | 3,113 | |
Ecopetrol SA | 5.875% | 9/18/23 | 30,450 | 31,364 | |
Ecopetrol SA | 4.125% | 1/16/25 | 34,125 | 31,224 | |
Ecopetrol SA | 5.375% | 6/26/26 | 11,550 | 11,146 | |
Ecopetrol SA | 7.375% | 9/18/43 | 2,200 | 2,195 | |
Ecopetrol SA | 5.875% | 5/28/45 | 19,275 | 16,745 | |
Emirates Telecommunications Group Co. PJSC | 3.500% | 6/18/24 | 5,000 | 5,220 | |
European Bank for Reconstruction & Development | 1.000% | 2/16/17 | 10,870 | 10,890 | |
European Bank for Reconstruction & Development | 0.750% | 9/1/17 | 11,400 | 11,407 | |
European Bank for Reconstruction & Development | 1.000% | 6/15/18 | 5,340 | 5,368 | |
European Bank for Reconstruction & Development | 1.000% | 9/17/18 | 4,650 | 4,667 | |
European Bank for Reconstruction & Development | 1.625% | 11/15/18 | 9,600 | 9,777 | |
European Bank for Reconstruction & Development | 1.750% | 6/14/19 | 20,600 | 21,026 | |
European Bank for Reconstruction & Development | 1.750% | 11/26/19 | 14,550 | 14,897 | |
European Bank for Reconstruction & Development | 1.500% | 3/16/20 | 23,050 | 23,372 | |
European Bank for Reconstruction & Development | 1.875% | 2/23/22 | 14,800 | 15,226 | |
European Investment Bank | 5.125% | 5/30/17 | 54,435 | 56,621 | |
European Investment Bank | 1.625% | 6/15/17 | 5,570 | 5,620 | |
European Investment Bank | 1.000% | 8/17/17 | 24,025 | 24,099 | |
European Investment Bank | 1.125% | 9/15/17 | 32,655 | 32,806 | |
European Investment Bank | 1.000% | 12/15/17 | 23,000 | 23,055 | |
European Investment Bank | 1.000% | 3/15/18 | 17,975 | 18,016 | |
European Investment Bank | 1.250% | 5/15/18 | 38,850 | 39,183 | |
European Investment Bank | 1.000% | 6/15/18 | 30,700 | 30,834 | |
European Investment Bank | 1.125% | 8/15/18 | 41,060 | 41,249 | |
European Investment Bank | 1.625% | 12/18/18 | 23,145 | 23,571 | |
European Investment Bank | 1.875% | 3/15/19 | 78,430 | 80,324 | |
European Investment Bank | 1.250% | 5/15/19 | 45,150 | 45,424 | |
European Investment Bank | 1.750% | 6/17/19 | 68,060 | 69,412 | |
European Investment Bank | 1.125% | 8/15/19 | 62,600 | 62,927 | |
European Investment Bank | 1.625% | 3/16/20 | 58,370 | 59,450 | |
European Investment Bank | 1.375% | 6/15/20 | 20,000 | 20,186 | |
European Investment Bank | 2.875% | 9/15/20 | 12,445 | 13,283 | |
European Investment Bank | 1.625% | 12/15/20 | 37,500 | 38,069 | |
European Investment Bank | 4.000% | 2/16/21 | 30,490 | 34,145 | |
European Investment Bank | 2.000% | 3/15/21 | 7,700 | 7,951 | |
European Investment Bank | 2.500% | 4/15/21 | 40,760 | 42,973 | |
European Investment Bank | 1.625% | 6/15/21 | 12,000 | 12,138 | |
European Investment Bank | 2.125% | 10/15/21 | 4,550 | 4,705 | |
European Investment Bank | 2.250% | 8/15/22 | 27,625 | 28,907 | |
European Investment Bank | 3.250% | 1/29/24 | 18,900 | 21,178 | |
European Investment Bank | 2.500% | 10/15/24 | 23,660 | 25,181 | |
European Investment Bank | 1.875% | 2/10/25 | 41,300 | 41,992 | |
European Investment Bank | 2.125% | 4/13/26 | 59,100 | 61,705 | |
European Investment Bank | 4.875% | 2/15/36 | 1,090 | 1,479 | |
Export Development Canada | 1.250% | 10/26/16 | 12,820 | 12,843 | |
8 | Export Development Canada | 1.000% | 5/15/17 | 6,450 | 6,464 |
Export Development Canada | 0.750% | 12/15/17 | 14,975 | 14,972 | |
Export Development Canada | 1.000% | 6/15/18 | 9,500 | 9,545 | |
Export Development Canada | 1.500% | 10/3/18 | 4,275 | 4,336 | |
Export Development Canada | 1.000% | 11/1/18 | 7,750 | 7,792 | |
Export Development Canada | 1.250% | 2/4/19 | 11,000 | 11,128 |
107
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
8 | Export Development Canada | 1.750% | 8/19/19 | 8,200 | 8,382 |
8 | Export Development Canada | 1.625% | 12/3/19 | 4,000 | 4,074 |
Export Development Canada | 1.750% | 7/21/20 | 200 | 205 | |
Export Development Canada | 1.500% | 5/26/21 | 23,000 | 23,357 | |
Export-Import Bank of Korea | 3.750% | 10/20/16 | 11,550 | 11,636 | |
Export-Import Bank of Korea | 1.750% | 2/27/18 | 17,810 | 17,878 | |
Export-Import Bank of Korea | 2.875% | 9/17/18 | 10,400 | 10,684 | |
Export-Import Bank of Korea | 1.750% | 5/26/19 | 8,600 | 8,682 | |
Export-Import Bank of Korea | 2.375% | 8/12/19 | 7,000 | 7,156 | |
Export-Import Bank of Korea | 5.125% | 6/29/20 | 10,000 | 11,246 | |
Export-Import Bank of Korea | 2.625% | 12/30/20 | 2,450 | 2,519 | |
Export-Import Bank of Korea | 4.000% | 1/29/21 | 6,324 | 6,869 | |
Export-Import Bank of Korea | 2.125% | 2/11/21 | 500 | 506 | |
Export-Import Bank of Korea | 2.500% | 5/10/21 | 5,200 | 5,304 | |
Export-Import Bank of Korea | 4.375% | 9/15/21 | 3,925 | 4,372 | |
Export-Import Bank of Korea | 5.000% | 4/11/22 | 4,150 | 4,773 | |
Export-Import Bank of Korea | 4.000% | 1/14/24 | 34,750 | 38,847 | |
Export-Import Bank of Korea | 3.250% | 11/10/25 | 6,000 | 6,432 | |
Export-Import Bank of Korea | 2.625% | 5/26/26 | 12,900 | 13,217 | |
FMS Wertmanagement AoeR | 1.125% | 9/5/17 | 8,500 | 8,539 | |
FMS Wertmanagement AoeR | 1.000% | 11/21/17 | 8,500 | 8,527 | |
FMS Wertmanagement AoeR | 1.625% | 11/20/18 | 22,200 | 22,585 | |
FMS Wertmanagement AoeR | 1.750% | 3/17/20 | 8,000 | 8,199 | |
Hydro-Quebec | 1.375% | 6/19/17 | 3,775 | 3,778 | |
Hydro-Quebec | 8.400% | 1/15/22 | 8,195 | 10,848 | |
Hydro-Quebec | 8.050% | 7/7/24 | 3,310 | 4,654 | |
Hydro-Quebec | 8.500% | 12/1/29 | 825 | 1,325 | |
Industrial & Commercial Bank of China Ltd. | 2.351% | 11/13/17 | 5,450 | 5,497 | |
Industrial & Commercial Bank of China Ltd. | 3.231% | 11/13/19 | 4,400 | 4,560 | |
Industrial & Commercial Bank of China Ltd. | 2.635% | 5/26/21 | 8,000 | 8,100 | |
Inter-American Development Bank | 1.125% | 3/15/17 | 33,640 | 33,724 | |
Inter-American Development Bank | 1.000% | 7/14/17 | 20,190 | 20,263 | |
Inter-American Development Bank | 2.375% | 8/15/17 | 25,256 | 25,707 | |
Inter-American Development Bank | 0.875% | 3/15/18 | 19,260 | 19,270 | |
Inter-American Development Bank | 1.750% | 8/24/18 | 5,600 | 5,703 | |
Inter-American Development Bank | 1.125% | 8/28/18 | 40,150 | 40,355 | |
Inter-American Development Bank | 4.250% | 9/10/18 | 2,980 | 3,203 | |
Inter-American Development Bank | 1.000% | 5/13/19 | 15,000 | 15,028 | |
Inter-American Development Bank | 1.125% | 9/12/19 | 2,150 | 2,162 | |
Inter-American Development Bank | 3.875% | 9/17/19 | 56,980 | 62,117 | |
Inter-American Development Bank | 1.250% | 10/15/19 | 12,750 | 12,818 | |
Inter-American Development Bank | 1.750% | 10/15/19 | 31,400 | 32,071 | |
Inter-American Development Bank | 3.875% | 2/14/20 | 6,475 | 7,115 | |
Inter-American Development Bank | 1.875% | 6/16/20 | 28,100 | 28,924 | |
Inter-American Development Bank | 2.125% | 11/9/20 | 10,470 | 10,873 | |
Inter-American Development Bank | 1.875% | 3/15/21 | 2,500 | 2,568 | |
Inter-American Development Bank | 1.750% | 4/14/22 | 36,325 | 37,143 | |
Inter-American Development Bank | 3.000% | 10/4/23 | 7,600 | 8,373 | |
Inter-American Development Bank | 3.000% | 2/21/24 | 19,195 | 21,211 | |
Inter-American Development Bank | 2.125% | 1/15/25 | 19,910 | 20,684 | |
Inter-American Development Bank | 7.000% | 6/15/25 | 2,950 | 4,004 | |
Inter-American Development Bank | 2.000% | 6/2/26 | 42,000 | 43,163 | |
Inter-American Development Bank | 3.875% | 10/28/41 | 45 | 55 | |
Inter-American Development Bank | 3.200% | 8/7/42 | 5,575 | 6,118 | |
Inter-American Development Bank | 4.375% | 1/24/44 | 8,125 | 10,874 | |
International Bank for Reconstruction & Development | 0.875% | 4/17/17 | 60,570 | 60,651 | |
International Bank for Reconstruction & Development | 9.250% | 7/15/17 | 10 | 11 | |
International Bank for Reconstruction & Development | 1.125% | 7/18/17 | 2,500 | 2,510 | |
International Bank for Reconstruction & Development | 1.000% | 11/15/17 | 39,300 | 39,452 | |
International Bank for Reconstruction & Development | 1.375% | 4/10/18 | 32,960 | 33,277 | |
International Bank for Reconstruction & Development | 1.000% | 6/15/18 | 34,110 | 34,186 | |
International Bank for Reconstruction & Development | 0.875% | 7/19/18 | 43,300 | 43,362 | |
International Bank for Reconstruction & Development | 1.000% | 10/5/18 | 18,000 | 18,087 | |
International Bank for Reconstruction & Development | 1.875% | 3/15/19 | 72,430 | 74,220 |
108
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
International Bank for Reconstruction & Development | 1.250% | 7/26/19 | 65,400 | 66,180 | |
International Bank for Reconstruction & Development | 1.875% | 10/7/19 | 45,125 | 46,277 | |
International Bank for Reconstruction & Development | 1.375% | 3/30/20 | 22,000 | 22,316 | |
International Bank for Reconstruction & Development | 2.125% | 11/1/20 | 18,500 | 19,264 | |
International Bank for Reconstruction & Development | 1.625% | 3/9/21 | 19,000 | 19,303 | |
International Bank for Reconstruction & Development | 1.375% | 5/24/21 | 60,300 | 60,849 | |
International Bank for Reconstruction & Development | 2.250% | 6/24/21 | 22,460 | 23,469 | |
International Bank for Reconstruction & Development | 1.625% | 2/10/22 | 23,475 | 23,830 | |
International Bank for Reconstruction & Development | 1.875% | 10/7/22 | 100 | 103 | |
International Bank for Reconstruction & Development | 7.625% | 1/19/23 | 4,000 | 5,522 | |
International Bank for Reconstruction & Development | 1.750% | 4/19/23 | 1,000 | 1,017 | |
International Bank for Reconstruction & Development | 2.500% | 11/25/24 | 63,650 | 67,794 | |
International Bank for Reconstruction & Development | 2.125% | 3/3/25 | 100 | 103 | |
International Bank for Reconstruction & Development | 2.500% | 7/29/25 | 31,000 | 33,223 | |
International Bank for Reconstruction & Development | 8.875% | 3/1/26 | 1,050 | 1,680 | |
International Bank for Reconstruction & Development | 4.750% | 2/15/35 | 3,423 | 4,576 | |
International Finance Corp. | 1.125% | 11/23/16 | 34,220 | 34,279 | |
International Finance Corp. | 1.000% | 4/24/17 | 3,975 | 3,981 | |
International Finance Corp. | 2.125% | 11/17/17 | 16,975 | 17,238 | |
International Finance Corp. | 0.625% | 12/21/17 | 12,270 | 12,207 | |
International Finance Corp. | 0.875% | 6/15/18 | 2,325 | 2,323 | |
International Finance Corp. | 1.250% | 7/16/18 | 8,600 | 8,650 | |
International Finance Corp. | 1.750% | 9/4/18 | 29,050 | 29,521 | |
International Finance Corp. | 1.750% | 9/16/19 | 15,600 | 15,970 | |
International Finance Corp. | 1.625% | 7/16/20 | 30,500 | 31,207 | |
International Finance Corp. | 2.125% | 4/7/26 | 18,400 | 19,125 | |
9 | Japan Bank for International Cooperation | 1.125% | 7/19/17 | 39,500 | 39,484 |
9 | Japan Bank for International Cooperation | 1.750% | 7/31/18 | 17,900 | 18,069 |
9 | Japan Bank for International Cooperation | 1.750% | 11/13/18 | 19,000 | 19,200 |
9 | Japan Bank for International Cooperation | 1.875% | 4/20/21 | 9,300 | 9,348 |
9 | Japan Bank for International Cooperation | 3.375% | 7/31/23 | 6,600 | 7,294 |
9 | Japan Bank for International Cooperation | 3.000% | 5/29/24 | 25,500 | 27,503 |
9 | Japan Bank for International Cooperation | 2.125% | 2/10/25 | 25,900 | 26,206 |
9 | Japan Bank for International Cooperation | 2.500% | 5/28/25 | 1,750 | 1,844 |
9 | Japan Bank for International Cooperation | 2.750% | 1/21/26 | 4,800 | 5,157 |
9 | Japan Bank for International Cooperation | 2.375% | 4/20/26 | 2,000 | 2,091 |
9 | Japan Finance Organization for Municipalities | 5.000% | 5/16/17 | 4,050 | 4,184 |
9 | Japan Finance Organization for Municipalities | 4.000% | 1/13/21 | 10,400 | 11,421 |
10 | KFW | 0.875% | 9/5/17 | 26,710 | 26,766 |
10 | KFW | 0.875% | 12/15/17 | 44,000 | 44,089 |
10 | KFW | 1.000% | 1/26/18 | 22,110 | 22,187 |
10 | KFW | 4.375% | 3/15/18 | 19,230 | 20,388 |
10 | KFW | 0.875% | 4/19/18 | 66,000 | 66,118 |
10 | KFW | 1.000% | 6/11/18 | 37,000 | 37,139 |
10 | KFW | 4.500% | 7/16/18 | 14,415 | 15,481 |
10 | KFW | 1.125% | 8/6/18 | 28,000 | 28,179 |
10 | KFW | 1.125% | 11/16/18 | 29,500 | 29,694 |
10 | KFW | 1.500% | 2/6/19 | 9,000 | 9,146 |
10 | KFW | 1.875% | 4/1/19 | 39,030 | 40,095 |
10 | KFW | 4.875% | 6/17/19 | 38,975 | 43,370 |
10 | KFW | 1.750% | 10/15/19 | 13,800 | 14,118 |
10 | KFW | 4.000% | 1/27/20 | 39,145 | 43,106 |
10 | KFW | 1.500% | 4/20/20 | 40,275 | 40,913 |
10 | KFW | 1.875% | 6/30/20 | 53,350 | 54,952 |
10 | KFW | 2.750% | 9/8/20 | 55,130 | 58,684 |
10 | KFW | 2.750% | 10/1/20 | 46,289 | 49,239 |
10 | KFW | 1.625% | 3/15/21 | 42,300 | 43,132 |
10 | KFW | 1.500% | 6/15/21 | 110,000 | 111,406 |
10 | KFW | 2.375% | 8/25/21 | 12,375 | 13,020 |
10 | KFW | 2.000% | 10/4/22 | 23,650 | 24,391 |
10 | KFW | 2.125% | 1/17/23 | 39,630 | 41,233 |
10 | KFW | 2.500% | 11/20/24 | 45,400 | 48,168 |
10 | KFW | 2.000% | 5/2/25 | 14,750 | 15,105 |
10 | KFW | 0.000% | 4/18/36 | 14,775 | 8,848 |
109
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
10 | KFW | 0.000% | 6/29/37 | 6,950 | 3,960 |
Korea Development Bank | 4.000% | 9/9/16 | 4,250 | 4,274 | |
Korea Development Bank | 3.250% | 9/20/16 | 11,100 | 11,157 | |
Korea Development Bank | 3.875% | 5/4/17 | 15,500 | 15,855 | |
Korea Development Bank | 2.250% | 8/7/17 | 850 | 860 | |
Korea Development Bank | 3.500% | 8/22/17 | 5,400 | 5,538 | |
Korea Development Bank | 1.500% | 1/22/18 | 11,000 | 11,019 | |
Korea Development Bank | 3.000% | 3/17/19 | 8,000 | 8,272 | |
Korea Development Bank | 2.500% | 3/11/20 | 2,500 | 2,552 | |
Korea Development Bank | 2.500% | 1/13/21 | 500 | 510 | |
Korea Development Bank | 4.625% | 11/16/21 | 5,975 | 6,790 | |
Korea Development Bank | 3.000% | 9/14/22 | 15,000 | 15,813 | |
Korea Development Bank | 3.750% | 1/22/24 | 24,400 | 26,546 | |
Landesbank Baden-Wuerttemberg | 7.625% | 2/1/23 | 1,000 | 1,263 | |
10 | Landwirtschaftliche Rentenbank | 0.875% | 9/12/17 | 11,825 | 11,831 |
10 | Landwirtschaftliche Rentenbank | 1.000% | 4/4/18 | 7,525 | 7,519 |
10 | Landwirtschaftliche Rentenbank | 1.875% | 9/17/18 | 12,540 | 12,738 |
10 | Landwirtschaftliche Rentenbank | 1.750% | 4/15/19 | 3,425 | 3,476 |
10 | Landwirtschaftliche Rentenbank | 1.375% | 10/23/19 | 13,665 | 13,670 |
10 | Landwirtschaftliche Rentenbank | 2.000% | 1/13/25 | 40,060 | 40,484 |
10 | Landwirtschaftliche Rentenbank | 2.375% | 6/10/25 | 22,975 | 23,896 |
Nexen Energy ULC | 6.200% | 7/30/19 | 3,505 | 3,916 | |
Nexen Energy ULC | 7.875% | 3/15/32 | 9,765 | 13,473 | |
Nexen Energy ULC | 5.875% | 3/10/35 | 4,687 | 5,509 | |
Nexen Energy ULC | 6.400% | 5/15/37 | 9,880 | 12,326 | |
Nexen Energy ULC | 7.500% | 7/30/39 | 7,105 | 9,852 | |
Nordic Investment Bank | 5.000% | 2/1/17 | 5,700 | 5,838 | |
Nordic Investment Bank | 1.000% | 3/7/17 | 2,650 | 2,654 | |
Nordic Investment Bank | 0.750% | 1/17/18 | 18,350 | 18,357 | |
Nordic Investment Bank | 1.125% | 3/19/18 | 10,250 | 10,325 | |
Nordic Investment Bank | 1.875% | 6/14/19 | 20,900 | 21,451 | |
Nordic Investment Bank | 1.500% | 9/29/20 | 2,800 | 2,852 | |
North American Development Bank | 2.300% | 10/10/18 | 2,138 | 2,183 | |
North American Development Bank | 4.375% | 2/11/20 | 2,600 | 2,839 | |
North American Development Bank | 2.400% | 10/26/22 | 6,000 | 6,133 | |
11 | Oesterreichische Kontrollbank AG | 5.000% | 4/25/17 | 20,170 | 20,844 |
11 | Oesterreichische Kontrollbank AG | 0.750% | 5/19/17 | 11,830 | 11,822 |
11 | Oesterreichische Kontrollbank AG | 1.125% | 5/29/18 | 8,150 | 8,165 |
11 | Oesterreichische Kontrollbank AG | 1.125% | 4/26/19 | 18,300 | 18,260 |
11 | Oesterreichische Kontrollbank AG | 1.375% | 2/10/20 | 8,175 | 8,150 |
11 | Oesterreichische Kontrollbank AG | 1.500% | 10/21/20 | 24,100 | 24,268 |
11 | Oesterreichische Kontrollbank AG | 1.875% | 1/20/21 | 7,900 | 8,081 |
11 | Oesterreichische Kontrollbank AG | 2.375% | 10/1/21 | 5,000 | 5,180 |
4 | Oriental Republic of Uruguay | 4.500% | 8/14/24 | 14,331 | 15,481 |
4 | Oriental Republic of Uruguay | 4.375% | 10/27/27 | 24,519 | 25,807 |
4 | Oriental Republic of Uruguay | 7.625% | 3/21/36 | 4,845 | 6,517 |
4 | Oriental Republic of Uruguay | 4.125% | 11/20/45 | 14,775 | 13,169 |
4 | Oriental Republic of Uruguay | 5.100% | 6/18/50 | 27,490 | 27,396 |
Petroleos Mexicanos | 5.750% | 3/1/18 | 52,215 | 54,802 | |
Petroleos Mexicanos | 3.500% | 7/18/18 | 12,720 | 12,836 | |
7 | Petroleos Mexicanos | 5.500% | 2/4/19 | 21,550 | 22,710 |
Petroleos Mexicanos | 8.000% | 5/3/19 | 25,266 | 28,258 | |
Petroleos Mexicanos | 6.000% | 3/5/20 | 5,943 | 6,400 | |
Petroleos Mexicanos | 3.500% | 7/23/20 | 13,260 | 13,174 | |
Petroleos Mexicanos | 5.500% | 1/21/21 | 18,090 | 19,104 | |
7 | Petroleos Mexicanos | 6.375% | 2/4/21 | 36,480 | 39,590 |
Petroleos Mexicanos | 4.875% | 1/24/22 | 19,000 | 19,390 | |
Petroleos Mexicanos | 3.500% | 1/30/23 | 14,725 | 13,853 | |
Petroleos Mexicanos | 4.875% | 1/18/24 | 19,758 | 19,931 | |
4 | Petroleos Mexicanos | 2.290% | 2/15/24 | 1,900 | 1,952 |
Petroleos Mexicanos | 2.378% | 4/15/25 | 2,543 | 2,623 | |
Petroleos Mexicanos | 4.500% | 1/23/26 | 6,950 | 6,712 | |
7 | Petroleos Mexicanos | 6.875% | 8/4/26 | 38,420 | 42,921 |
Petroleos Mexicanos | 6.625% | 6/15/35 | 21,811 | 22,590 |
110
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Petroleos Mexicanos | 6.625% | 6/15/38 | 7,475 | 7,575 | |
Petroleos Mexicanos | 6.500% | 6/2/41 | 22,030 | 22,332 | |
Petroleos Mexicanos | 5.500% | 6/27/44 | 63,126 | 57,221 | |
Petroleos Mexicanos | 6.375% | 1/23/45 | 12,389 | 12,398 | |
Petroleos Mexicanos | 5.625% | 1/23/46 | 40,150 | 36,590 | |
12 | Power Sector Assets & Liabilities Management Corp. | 9.625% | 5/15/28 | 2,070 | 3,241 |
Province of British Columbia | 1.200% | 4/25/17 | 7,040 | 7,060 | |
Province of British Columbia | 2.650% | 9/22/21 | 16,660 | 17,727 | |
Province of British Columbia | 2.000% | 10/23/22 | 6,400 | 6,626 | |
Province of British Columbia | 6.500% | 1/15/26 | 266 | 363 | |
Province of British Columbia | 2.250% | 6/2/26 | 5,500 | 5,665 | |
Province of Manitoba | 4.900% | 12/6/16 | 13,470 | 13,694 | |
Province of Manitoba | 1.300% | 4/3/17 | 3,635 | 3,647 | |
Province of Manitoba | 1.125% | 6/1/18 | 3,470 | 3,490 | |
Province of Manitoba | 1.750% | 5/30/19 | 4,000 | 4,064 | |
Province of Manitoba | 2.100% | 9/6/22 | 6,375 | 6,507 | |
Province of Manitoba | 3.050% | 5/14/24 | 24,750 | 26,774 | |
Province of Manitoba | 2.125% | 6/22/26 | 5,150 | 5,159 | |
Province of New Brunswick | 2.750% | 6/15/18 | 14,750 | 15,184 | |
Province of Ontario | 1.100% | 10/25/17 | 17,865 | 17,922 | |
Province of Ontario | 3.150% | 12/15/17 | 13,025 | 13,458 | |
Province of Ontario | 1.200% | 2/14/18 | 2,000 | 2,008 | |
Province of Ontario | 3.000% | 7/16/18 | 8,475 | 8,803 | |
Province of Ontario | 2.000% | 9/27/18 | 11,090 | 11,310 | |
Province of Ontario | 1.625% | 1/18/19 | 26,800 | 27,148 | |
Province of Ontario | 2.000% | 1/30/19 | 5,795 | 5,923 | |
Province of Ontario | 1.250% | 6/17/19 | 13,000 | 13,089 | |
Province of Ontario | 1.650% | 9/27/19 | 12,070 | 12,228 | |
Province of Ontario | 4.000% | 10/7/19 | 21,240 | 23,093 | |
Province of Ontario | 4.400% | 4/14/20 | 33,100 | 36,782 | |
Province of Ontario | 1.875% | 5/21/20 | 23,770 | 24,236 | |
Province of Ontario | 2.500% | 9/10/21 | 34,550 | 36,120 | |
Province of Ontario | 2.450% | 6/29/22 | 9,975 | 10,380 | |
Province of Ontario | 3.200% | 5/16/24 | 2,050 | 2,239 | |
Province of Ontario | 2.500% | 4/27/26 | 12,600 | 12,994 | |
Quebec | 4.625% | 5/14/18 | 12,310 | 13,137 | |
Quebec | 3.500% | 7/29/20 | 17,120 | 18,555 | |
Quebec | 2.750% | 8/25/21 | 17,205 | 18,192 | |
Quebec | 2.625% | 2/13/23 | 24,960 | 26,200 | |
Quebec | 7.500% | 7/15/23 | 250 | 334 | |
Quebec | 7.125% | 2/9/24 | 5,675 | 7,543 | |
Quebec | 2.875% | 10/16/24 | 12,900 | 13,752 | |
Quebec | 2.500% | 4/20/26 | 17,000 | 17,485 | |
Quebec | 7.500% | 9/15/29 | 11,960 | 18,184 | |
Republic of Chile | 3.250% | 9/14/21 | 200 | 212 | |
Republic of Chile | 2.250% | 10/30/22 | 9,975 | 10,056 | |
Republic of Chile | 3.125% | 3/27/25 | 500 | 529 | |
Republic of Chile | 3.125% | 1/21/26 | 38,738 | 39,900 | |
Republic of Chile | 3.625% | 10/30/42 | 9,700 | 9,693 | |
Republic of Colombia | 7.375% | 3/18/19 | 9,050 | 10,317 | |
Republic of Colombia | 11.750% | 2/25/20 | 3,350 | 4,415 | |
Republic of Colombia | 4.375% | 7/12/21 | 18,552 | 19,823 | |
4 | Republic of Colombia | 2.625% | 3/15/23 | 30,485 | 29,467 |
Republic of Colombia | 4.000% | 2/26/24 | 35,685 | 37,246 | |
Republic of Colombia | 8.125% | 5/21/24 | 6,440 | 8,372 | |
Republic of Colombia | 10.375% | 1/28/33 | 2,500 | 3,746 | |
Republic of Colombia | 7.375% | 9/18/37 | 19,672 | 25,500 | |
Republic of Colombia | 6.125% | 1/18/41 | 27,225 | 31,404 | |
4 | Republic of Colombia | 5.625% | 2/26/44 | 25,492 | 28,169 |
4 | Republic of Colombia | 5.000% | 6/15/45 | 21,575 | 22,384 |
Republic of Finland | 6.950% | 2/15/26 | 1,905 | 2,664 | |
Republic of Italy | 5.375% | 6/12/17 | 9,150 | 9,474 | |
Republic of Italy | 6.875% | 9/27/23 | 39,715 | 49,833 | |
Republic of Italy | 5.375% | 6/15/33 | 16,695 | 20,194 |
111
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Republic of Korea | 5.125% | 12/7/16 | 1,100 | 1,120 | |
Republic of Korea | 7.125% | 4/16/19 | 27,338 | 31,690 | |
Republic of Korea | 3.875% | 9/11/23 | 10,650 | 12,144 | |
Republic of Korea | 5.625% | 11/3/25 | 425 | 558 | |
Republic of Panama | 5.200% | 1/30/20 | 17,753 | 19,617 | |
4 | Republic of Panama | 4.000% | 9/22/24 | 1,480 | 1,587 |
4 | Republic of Panama | 3.750% | 3/16/25 | 15,750 | 16,616 |
Republic of Panama | 7.125% | 1/29/26 | 20,150 | 26,497 | |
Republic of Panama | 8.875% | 9/30/27 | 750 | 1,101 | |
4 | Republic of Panama | 3.875% | 3/17/28 | 11,200 | 11,815 |
Republic of Panama | 9.375% | 4/1/29 | 6,645 | 10,134 | |
4 | Republic of Panama | 6.700% | 1/26/36 | 25,595 | 33,947 |
4 | Republic of Panama | 4.300% | 4/29/53 | 5,000 | 5,100 |
Republic of Peru | 7.125% | 3/30/19 | 22,240 | 25,640 | |
Republic of Peru | 7.350% | 7/21/25 | 14,650 | 19,963 | |
Republic of Peru | 4.125% | 8/25/27 | 3,270 | 3,579 | |
Republic of Peru | 8.750% | 11/21/33 | 39,347 | 61,798 | |
4 | Republic of Peru | 6.550% | 3/14/37 | 13,131 | 17,642 |
Republic of Peru | 5.625% | 11/18/50 | 19,767 | 24,575 | |
Republic of Poland | 6.375% | 7/15/19 | 43,638 | 49,441 | |
Republic of Poland | 5.125% | 4/21/21 | 24,025 | 26,959 | |
Republic of Poland | 5.000% | 3/23/22 | 30,252 | 33,977 | |
Republic of Poland | 3.000% | 3/17/23 | 16,050 | 16,305 | |
Republic of Poland | 4.000% | 1/22/24 | 8,995 | 9,663 | |
Republic of Poland | 3.250% | 4/6/26 | 23,650 | 24,069 | |
Republic of South Africa | 6.875% | 5/27/19 | 3,675 | 4,088 | |
Republic of South Africa | 5.500% | 3/9/20 | 14,350 | 15,391 | |
Republic of South Africa | 5.875% | 5/30/22 | 1,425 | 1,579 | |
Republic of South Africa | 4.665% | 1/17/24 | 13,255 | 13,644 | |
Republic of South Africa | 5.875% | 9/16/25 | 27,150 | 30,071 | |
Republic of South Africa | 6.250% | 3/8/41 | 2,100 | 2,413 | |
Republic of South Africa | 5.375% | 7/24/44 | 11,900 | 12,298 | |
Republic of the Philippines | 8.375% | 6/17/19 | 21,650 | 25,823 | |
Republic of the Philippines | 4.000% | 1/15/21 | 11,460 | 12,552 | |
Republic of the Philippines | 9.500% | 10/21/24 | 900 | 1,363 | |
Republic of the Philippines | 10.625% | 3/16/25 | 17,325 | 28,420 | |
Republic of the Philippines | 5.500% | 3/30/26 | 23,625 | 29,901 | |
Republic of the Philippines | 9.500% | 2/2/30 | 6,250 | 10,694 | |
Republic of the Philippines | 7.750% | 1/14/31 | 21,920 | 33,945 | |
Republic of the Philippines | 6.375% | 1/15/32 | 9,500 | 13,397 | |
Republic of the Philippines | 6.375% | 10/23/34 | 38,690 | 56,100 | |
Republic of the Philippines | 5.000% | 1/13/37 | 975 | 1,239 | |
Republic of the Philippines | 3.950% | 1/20/40 | 7,200 | 8,286 | |
Republic of the Philippines | 3.700% | 3/1/41 | 16,900 | 18,821 | |
Republic of Turkey | 7.500% | 7/14/17 | 11,175 | 11,837 | |
Republic of Turkey | 6.750% | 4/3/18 | 35,225 | 37,828 | |
Republic of Turkey | 7.000% | 3/11/19 | 23,850 | 26,378 | |
Republic of Turkey | 7.000% | 6/5/20 | 19,875 | 22,525 | |
Republic of Turkey | 5.625% | 3/30/21 | 38,687 | 42,116 | |
Republic of Turkey | 5.125% | 3/25/22 | 13,085 | 13,986 | |
Republic of Turkey | 6.250% | 9/26/22 | 24,000 | 27,113 | |
Republic of Turkey | 3.250% | 3/23/23 | 25,600 | 24,662 | |
Republic of Turkey | 5.750% | 3/22/24 | 35,710 | 39,722 | |
Republic of Turkey | 7.375% | 2/5/25 | 20,275 | 24,997 | |
Republic of Turkey | 4.250% | 4/14/26 | 20,750 | 20,779 | |
Republic of Turkey | 4.875% | 10/9/26 | 16,700 | 17,604 | |
Republic of Turkey | 11.875% | 1/15/30 | 5,300 | 9,230 | |
Republic of Turkey | 8.000% | 2/14/34 | 2,450 | 3,296 | |
Republic of Turkey | 6.875% | 3/17/36 | 23,400 | 28,480 | |
Republic of Turkey | 6.750% | 5/30/40 | 25,550 | 30,979 | |
Republic of Turkey | 6.000% | 1/14/41 | 29,082 | 32,470 | |
Republic of Turkey | 4.875% | 4/16/43 | 59,130 | 57,726 | |
Republic of Turkey | 6.625% | 2/17/45 | 12,400 | 15,025 | |
State of Israel | 5.125% | 3/26/19 | 15,595 | 17,152 |
112
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
State of Israel | 4.000% | 6/30/22 | 16,600 | 18,451 |
State of Israel | 3.150% | 6/30/23 | 10,000 | 10,637 |
State of Israel | 2.875% | 3/16/26 | 25,000 | 25,792 |
State of Israel | 4.500% | 1/30/43 | 15,750 | 17,729 |
Statoil ASA | 3.125% | 8/17/17 | 11,097 | 11,350 |
Statoil ASA | 1.250% | 11/9/17 | 8,135 | 8,158 |
Statoil ASA | 1.200% | 1/17/18 | 2,050 | 2,049 |
Statoil ASA | 1.950% | 11/8/18 | 5,733 | 5,809 |
Statoil ASA | 5.250% | 4/15/19 | 25,144 | 27,680 |
Statoil ASA | 2.250% | 11/8/19 | 15,050 | 15,404 |
Statoil ASA | 2.900% | 11/8/20 | 4,475 | 4,671 |
Statoil ASA | 2.750% | 11/10/21 | 16,000 | 16,628 |
Statoil ASA | 3.150% | 1/23/22 | 11,340 | 11,922 |
Statoil ASA | 2.450% | 1/17/23 | 9,050 | 9,140 |
Statoil ASA | 7.750% | 6/15/23 | 25 | 33 |
Statoil ASA | 2.650% | 1/15/24 | 18,041 | 18,281 |
Statoil ASA | 3.700% | 3/1/24 | 10,462 | 11,320 |
Statoil ASA | 3.250% | 11/10/24 | 8,060 | 8,485 |
Statoil ASA | 7.250% | 9/23/27 | 5,375 | 7,379 |
7 Statoil ASA | 6.500% | 12/1/28 | 975 | 1,323 |
Statoil ASA | 7.150% | 1/15/29 | 2,950 | 4,087 |
Statoil ASA | 5.100% | 8/17/40 | 7,860 | 9,424 |
Statoil ASA | 4.250% | 11/23/41 | 8,395 | 8,937 |
Statoil ASA | 3.950% | 5/15/43 | 7,780 | 8,070 |
Statoil ASA | 4.800% | 11/8/43 | 7,700 | 8,931 |
Svensk Exportkredit AB | 1.750% | 5/30/17 | 8,970 | 9,042 |
Svensk Exportkredit AB | 1.250% | 4/12/19 | 12,600 | 12,674 |
Svensk Exportkredit AB | 1.875% | 6/17/19 | 12,000 | 12,264 |
Svensk Exportkredit AB | 1.875% | 6/23/20 | 10,700 | 10,907 |
Svensk Exportkredit AB | 1.750% | 3/10/21 | 12,350 | 12,566 |
United Mexican States | 5.950% | 3/19/19 | 11,930 | 13,329 |
United Mexican States | 5.125% | 1/15/20 | 22,585 | 25,071 |
United Mexican States | 3.625% | 3/15/22 | 47,432 | 50,007 |
United Mexican States | 4.000% | 10/2/23 | 58,692 | 62,978 |
United Mexican States | 3.600% | 1/30/25 | 4,537 | 4,740 |
United Mexican States | 4.125% | 1/21/26 | 1,800 | 1,944 |
United Mexican States | 7.500% | 4/8/33 | 16,775 | 24,114 |
United Mexican States | 6.750% | 9/27/34 | 35,141 | 47,290 |
United Mexican States | 6.050% | 1/11/40 | 30,541 | 38,405 |
United Mexican States | 4.750% | 3/8/44 | 66,441 | 71,037 |
United Mexican States | 5.550% | 1/21/45 | 19,628 | 23,505 |
United Mexican States | 4.600% | 1/23/46 | 14,239 | 14,928 |
United Mexican States | 5.750% | 10/12/10 | 28,250 | 31,041 |
Total Sovereign Bonds (Cost $8,334,585) | 8,638,349 | |||
Taxable Municipal Bonds (1.0%) | ||||
Alameda County CA Joint Powers Authority Lease | ||||
Revenue | 7.046% | 12/1/44 | 2,100 | 3,085 |
American Municipal Power Ohio Inc. Revenue | ||||
(Hydroelectric Projects) | 6.449% | 2/15/44 | 50 | 67 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 7.834% | 2/15/41 | 2,300 | 3,511 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 6.053% | 2/15/43 | 1,000 | 1,297 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 5.939% | 2/15/47 | 8,600 | 10,966 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 6.270% | 2/15/50 | 2,175 | 2,848 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 7.499% | 2/15/50 | 1,550 | 2,285 |
American Municipal Power Ohio Inc. Revenue (Prairie | ||||
State Energy Campus Project) | 8.084% | 2/15/50 | 7,625 | 12,378 |
113
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.793% | 4/1/30 | 2,375 | 3,134 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.918% | 4/1/40 | 4,075 | 5,961 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.263% | 4/1/49 | 17,045 | 26,032 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 7.043% | 4/1/50 | 1,000 | 1,571 |
Bay Area Toll Authority California Toll Bridge Revenue | ||||
(San Francisco Bay Area) | 6.907% | 10/1/50 | 8,230 | 12,948 |
California GO | 5.750% | 3/1/17 | 10,750 | 11,118 |
California GO | 6.200% | 3/1/19 | 1,400 | 1,580 |
California GO | 6.200% | 10/1/19 | 11,600 | 13,382 |
California GO | 5.700% | 11/1/21 | 24,250 | 28,972 |
California GO | 7.500% | 4/1/34 | 38,000 | 57,640 |
California GO | 7.950% | 3/1/36 | 550 | 668 |
California GO | 7.550% | 4/1/39 | 10,730 | 16,978 |
California GO | 7.300% | 10/1/39 | 6,010 | 9,095 |
California GO | 7.350% | 11/1/39 | 24,970 | 37,971 |
California GO | 7.625% | 3/1/40 | 15,400 | 24,294 |
California GO | 7.600% | 11/1/40 | 11,200 | 18,117 |
Central Puget Sound WA Regional Transit Authority | ||||
Sales & Use Tax Revenue | 5.491% | 11/1/39 | 1,510 | 2,043 |
Chicago IL GO | 7.375% | 1/1/33 | 1,800 | 1,894 |
Chicago IL GO | 7.781% | 1/1/35 | 2,010 | 2,190 |
Chicago IL GO | 6.314% | 1/1/44 | 3,800 | 3,545 |
Chicago IL Metropolitan Water Reclamation District GO | 5.720% | 12/1/38 | 10,100 | 12,547 |
Chicago IL O'Hare International Airport Revenue | 6.845% | 1/1/38 | 1,450 | 1,650 |
Chicago IL O'Hare International Airport Revenue | 6.395% | 1/1/40 | 1,745 | 2,481 |
Chicago IL Transit Authority Sales Tax Receipts | ||||
Revenue | 6.200% | 12/1/40 | 2,850 | 3,501 |
Chicago IL Transit Authority Transfer Tax Receipts | ||||
Revenue | 6.899% | 12/1/40 | 7,135 | 9,294 |
Chicago IL Wastewater Transmission Revenue | 6.900% | 1/1/40 | 4,200 | 5,480 |
Chicago IL Water Revenue | 6.742% | 11/1/40 | 5,750 | 7,465 |
Clark County NV Airport System Revenue | 6.881% | 7/1/42 | 475 | 544 |
Clark County NV Airport System Revenue | 6.820% | 7/1/45 | 3,745 | 5,788 |
Colorado Bridge Enterprise Revenue | 6.078% | 12/1/40 | 2,400 | 3,265 |
Commonwealth Financing Authority Pennsylvania | ||||
Revenue | 6.218% | 6/1/39 | 6,375 | 8,046 |
Connecticut GO | 5.090% | 10/1/30 | 8,770 | 10,466 |
Connecticut GO | 5.850% | 3/15/32 | 6,610 | 8,596 |
Connecticut Special Tax Revenue (Transportation | ||||
Infrastructure) | 5.459% | 11/1/30 | 3,300 | 4,076 |
Cook County IL GO | 6.229% | 11/15/34 | 5,550 | 6,798 |
Curators of the University of Missouri System Facilities | ||||
Revenue | 5.960% | 11/1/39 | 3,000 | 4,119 |
Curators of the University of Missouri System Facilities | ||||
Revenue | 5.792% | 11/1/41 | 3,000 | 4,295 |
Dallas County TX Hospital District Revenue | 5.621% | 8/15/44 | 2,100 | 2,826 |
Dallas TX Area Rapid Transit Revenue | 4.922% | 12/1/41 | 6,850 | 8,708 |
Dallas TX Area Rapid Transit Revenue | 5.999% | 12/1/44 | 950 | 1,373 |
Dallas TX Area Rapid Transit Revenue | 5.022% | 12/1/48 | 4,000 | 5,285 |
Dallas TX Convention Center Hotel Development Corp. | ||||
Hotel Revenue | 7.088% | 1/1/42 | 8,090 | 11,411 |
Dallas TX Independent School District GO | 6.450% | 2/15/35 | 3,750 | 4,484 |
Dartmouth College New Hampshire GO | 4.750% | 6/1/19 | 712 | 788 |
Denver CO City & County School District No. 1 COP | 4.242% | 12/15/37 | 215 | 239 |
Denver CO City & County School District No. 1 COP | 7.017% | 12/15/37 | 2,100 | 3,017 |
Denver CO City & County School District No. 1 GO | 5.664% | 12/1/33 | 1,325 | 1,761 |
District of Columbia Income Tax Revenue | 5.591% | 12/1/34 | 1,175 | 1,540 |
District of Columbia Income Tax Revenue | 5.582% | 12/1/35 | 1,600 | 2,118 |
District of Columbia Water & Sewer Authority Public | ||||
Utility Revenue | 5.522% | 10/1/44 | 700 | 915 |
114
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
District of Columbia Water & Sewer Authority Public | |||||
Utility Revenue | 4.814% | 10/1/14 | 11,700 | 13,660 | |
East Baton Rouge LA Sewer Commission Revenue | 6.087% | 2/1/45 | 2,300 | 2,567 | |
East Bay CA Municipal Utility District Water System | |||||
Revenue | 5.874% | 6/1/40 | 5,555 | 7,655 | |
Emory University Georgia GO | 5.625% | 9/1/19 | 7,000 | 7,959 | |
Energy Northwest Washington Electric Revenue | |||||
(Columbia Generating Station) | 2.197% | 7/1/19 | 4,000 | 4,119 | |
Energy Northwest Washington Electric Revenue | |||||
(Columbia Generating Station) | 2.814% | 7/1/24 | 2,000 | 2,105 | |
Florida Board of Administration Finance Corp Revenue | 2.638% | 7/1/21 | 3,480 | 3,628 | |
Florida Hurricane Catastrophe Fund Finance Corp. | |||||
Revenue | 2.107% | 7/1/18 | 7,800 | 7,924 | |
Florida Hurricane Catastrophe Fund Finance Corp. | |||||
Revenue | 2.995% | 7/1/20 | 14,565 | 15,229 | |
George Washington University District of Columbia GO | 3.485% | 9/15/22 | 7,450 | 8,005 | |
George Washington University District of Columbia GO | 4.300% | 9/15/44 | 5,325 | 5,833 | |
Georgia GO | 4.503% | 11/1/25 | 5,220 | 6,008 | |
Georgia Municipal Electric Power Authority Revenue | 6.637% | 4/1/57 | 13,000 | 17,119 | |
Georgia Municipal Electric Power Authority Revenue | 6.655% | 4/1/57 | 5,980 | 7,777 | |
Georgia Municipal Electric Power Authority Revenue | 7.055% | 4/1/57 | 3,650 | 4,401 | |
Houston TX GO | 6.290% | 3/1/32 | 10,475 | 13,443 | |
Houston TX Utility System Revenue | 3.828% | 5/15/28 | 3,050 | 3,438 | |
Illinois GO | 5.365% | 3/1/17 | 15,925 | 16,323 | |
Illinois GO | 5.665% | 3/1/18 | 130 | 137 | |
Illinois GO | 4.350% | 6/1/18 | 15 | 15 | |
Illinois GO | 5.877% | 3/1/19 | 8,695 | 9,409 | |
Illinois GO | 4.950% | 6/1/23 | 14,875 | 15,766 | |
Illinois GO | 5.100% | 6/1/33 | 57,649 | 55,340 | |
Illinois GO | 6.630% | 2/1/35 | 8,155 | 8,716 | |
Illinois GO | 6.725% | 4/1/35 | 5,975 | 6,451 | |
Illinois GO | 7.350% | 7/1/35 | 8,700 | 9,739 | |
Illinois Toll Highway Authority Revenue | 6.184% | 1/1/34 | 5,230 | 7,041 | |
Illinois Toll Highway Authority Revenue | 5.851% | 12/1/34 | 1,650 | 2,206 | |
Indianapolis IN Local Public Improvement Revenue | 6.116% | 1/15/40 | 9,700 | 13,532 | |
13 | Industry CA Sales Tax Revenue | 5.125% | 1/1/51 | 2,400 | 2,637 |
JobsOhio Beverage System Statewide Liquor Profits | |||||
Revenue | 3.985% | 1/1/29 | 6,600 | 7,452 | |
JobsOhio Beverage System Statewide Liquor Profits | |||||
Revenue | 4.532% | 1/1/35 | 4,100 | 4,795 | |
Kansas Department of Transportation Highway | |||||
Revenue | 4.596% | 9/1/35 | 2,000 | 2,412 | |
Kansas Development Finance Authority Revenue | 4.727% | 4/15/37 | 5,700 | 6,321 | |
Kansas Development Finance Authority Revenue | 4.927% | 4/15/45 | 400 | 453 | |
13 | Kansas Development Finance Authority Revenue | ||||
(Public Employees Retirement System) | 5.501% | 5/1/34 | 4,300 | 5,283 | |
Kentucky Asset/Liability Commission General Fund | |||||
Revenue | 3.165% | 4/1/18 | 228 | 233 | |
Los Angeles CA Community College District GO | 6.600% | 8/1/42 | 11,865 | 18,126 | |
Los Angeles CA Community College District GO | 6.750% | 8/1/49 | 3,425 | 5,454 | |
Los Angeles CA Department of Airports International | |||||
Airport Revenue | 6.582% | 5/15/39 | 20 | 28 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 5.716% | 7/1/39 | 3,840 | 5,081 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.008% | 7/1/39 | 6,350 | 8,490 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.166% | 7/1/40 | 1,550 | 1,788 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.574% | 7/1/45 | 2,700 | 4,073 | |
Los Angeles CA Department of Water & Power | |||||
Revenue | 6.603% | 7/1/50 | 5,060 | 7,863 | |
Los Angeles CA Unified School District GO | 5.750% | 7/1/34 | 9,225 | 12,214 | |
Los Angeles CA Unified School District GO | 6.758% | 7/1/34 | 7,210 | 10,393 |
115
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
Los Angeles County CA Metropolitan Transportation | |||||
Authority Sales Tax Revenue | 5.735% | 6/1/39 | 8,800 | 11,640 | |
Los Angeles County CA Public Works Financing | |||||
Authority Lease Revenue | 7.488% | 8/1/33 | 4,300 | 6,080 | |
Los Angeles County CA Public Works Financing | |||||
Authority Lease Revenue | 7.618% | 8/1/40 | 2,250 | 3,464 | |
Maryland Transportation Authority Facilities Projects | |||||
Revenue | 5.888% | 7/1/43 | 2,330 | 3,160 | |
Massachusetts GO | 4.200% | 12/1/21 | 5,020 | 5,621 | |
Massachusetts GO | 4.500% | 8/1/31 | 500 | 593 | |
Massachusetts GO | 5.456% | 12/1/39 | 5,250 | 7,126 | |
Massachusetts School Building Authority Dedicated | |||||
Sales Tax Revenue | 5.715% | 8/15/39 | 3,100 | 4,081 | |
Massachusetts Transportation Fund Revenue | 5.731% | 6/1/40 | 1,000 | 1,366 | |
Massachusetts Water Pollution Abatement Trust | |||||
Revenue | 5.192% | 8/1/40 | 2,825 | 3,503 | |
Metropolitan Government of Nashville & Davidson | |||||
County TN Convention Center Authority Tourism Tax | |||||
Revenue | 6.731% | 7/1/43 | 2,260 | 3,132 | |
Metropolitan Government of Nashville & Davidson | |||||
County TN GO | 5.707% | 7/1/34 | 2,625 | 3,367 | |
Metropolitan Washington DC/VA Airports Authority | |||||
Dulles Toll Road Revenue | 7.462% | 10/1/46 | 6,425 | 9,935 | |
Metropolitan Water District of Southern California | |||||
Revenue | 6.947% | 7/1/40 | 1,670 | 2,001 | |
Mississippi GO | 5.245% | 11/1/34 | 1,375 | 1,740 | |
Missouri Highways & Transportation Commission Road | |||||
Revenue | 5.445% | 5/1/33 | 1,650 | 2,108 | |
13 | New Jersey Economic Development Authority | ||||
Revenue | 0.000% | 2/15/20 | 225 | 206 | |
14 | New Jersey Economic Development Authority | ||||
Revenue (State Pension Funding) | 7.425% | 2/15/29 | 16,650 | 20,588 | |
New Jersey Transportation Trust Fund Authority | |||||
Transportation System Revenue | 5.754% | 12/15/28 | 12,075 | 13,061 | |
New Jersey Transportation Trust Fund Authority | |||||
Transportation System Revenue | 6.104% | 12/15/28 | 14,355 | 15,662 | |
New Jersey Transportation Trust Fund Authority | |||||
Transportation System Revenue | 6.561% | 12/15/40 | 8,885 | 10,534 | |
New Jersey Turnpike Authority Revenue | 7.414% | 1/1/40 | 14,300 | 22,384 | |
New Jersey Turnpike Authority Revenue | 7.102% | 1/1/41 | 8,450 | 12,850 | |
New York City NY GO | 6.646% | 12/1/31 | 20 | 24 | |
New York City NY GO | 6.246% | 6/1/35 | 2,150 | 2,475 | |
New York City NY GO | 5.968% | 3/1/36 | 3,200 | 4,359 | |
New York City NY GO | 5.985% | 12/1/36 | 1,650 | 2,219 | |
New York City NY GO | 5.517% | 10/1/37 | 7,150 | 9,335 | |
New York City NY GO | 6.271% | 12/1/37 | 2,200 | 3,106 | |
New York City NY GO | 5.846% | 6/1/40 | 2,100 | 2,908 | |
New York City NY Housing Development Corp. Multi- | |||||
Family Mortgage Revenue (8 Spruce Street) | 3.709% | 2/15/48 | 150 | 159 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.750% | 6/15/41 | 1,435 | 1,984 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.724% | 6/15/42 | 470 | 654 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.952% | 6/15/42 | 2,900 | 4,146 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 6.011% | 6/15/42 | 1,050 | 1,510 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.440% | 6/15/43 | 4,400 | 5,974 | |
New York City NY Municipal Water Finance Authority | |||||
Water & Sewer System Revenue | 5.882% | 6/15/44 | 21,450 | 30,832 | |
New York City NY Transitional Finance Authority | |||||
Building Aid Revenue | 6.828% | 7/15/40 | 6,300 | 9,015 |
116
Vanguard® Total Bond Market Index Fund | |||||
Schedule of Investments | |||||
June 30, 2016 | |||||
Face | Market | ||||
Maturity | Amount | Value | |||
Coupon | Date | ($000) | ($000) | ||
New York City NY Transitional Finance Authority Future | |||||
Tax Revenue | 5.267% | 5/1/27 | 75 | 92 | |
New York City NY Transitional Finance Authority Future | |||||
Tax Revenue | 5.767% | 8/1/36 | 2,125 | 2,785 | |
New York City NY Transitional Finance Authority Future | |||||
Tax Revenue | 5.508% | 8/1/37 | 8,650 | 11,325 | |
New York Metropolitan Transportation Authority | |||||
Revenue (Dedicated Tax Fund) | 7.336% | 11/15/39 | 20,405 | 32,349 | |
New York Metropolitan Transportation Authority | |||||
Revenue (Dedicated Tax Fund) | 6.089% | 11/15/40 | 975 | 1,339 | |
New York Metropolitan Transportation Authority | |||||
Revenue (Transit Revenue) | 6.548% | 11/15/31 | 700 | 950 | |
New York Metropolitan Transportation Authority | |||||
Revenue (Transit Revenue) | 5.871% | 11/15/39 | 2,200 | 2,887 | |
New York Metropolitan Transportation Authority | |||||
Revenue (Transit Revenue) | 6.648% | 11/15/39 | 4,170 | 5,929 | |
New York State Dormitory Authority Revenue (Personal | |||||
Income Tax) | 5.500% | 3/15/30 | 6,900 | 8,759 | |
New York State Dormitory Authority Revenue (Personal | |||||
Income Tax) | 5.289% | 3/15/33 | 3,150 | 3,968 | |
New York State Dormitory Authority Revenue (Personal | |||||
Income Tax) | 5.628% | 3/15/39 | 2,215 | 2,938 | |
New York State Dormitory Authority Revenue (Personal | |||||
Income Tax) | 5.389% | 3/15/40 | 1,425 | 1,889 | |
New York State Urban Development Corp. Revenue | |||||
(Personal Income Tax) | 5.770% | 3/15/39 | 5,875 | 7,533 | |
New York State Urban Development Corp. Revenue | |||||
(Personal Income Tax) | 5.838% | 3/15/40 | 1,600 | 2,101 | |
New York University Hospitals Center GO | 4.428% | 7/1/42 | 3,500 | 3,837 | |
New York University Hospitals Center Revenue | 5.750% | 7/1/43 | 5,080 | 6,692 | |
North Texas Tollway Authority System Revenue | 6.718% | 1/1/49 | 10,980 | 16,820 | |
Ohio State University General Receipts Revenue | 4.910% | 6/1/40 | 4,860 | 6,157 | |
Ohio State University General Receipts Revenue | 3.798% | 12/1/46 | 500 | 545 | |
Ohio State University General Receipts Revenue | 4.800% | 6/1/11 | 3,275 | 3,666 | |
Ohio State University General Receipts Revenue | 5.590% | 12/1/14 | 5,450 | 6,710 | |
Ohio Water Development Authority Water Pollution | |||||
Control Loan Fund Revenue | 4.879% | 12/1/34 | 2,550 | 3,076 | |
Orange County CA Local Transportation Authority Sales | |||||
Tax Revenue | 6.908% | 2/15/41 | 2,090 | 3,045 | |
Oregon Department of Transportation Highway User | |||||
Tax Revenue | 5.834% | 11/15/34 | 2,425 | 3,315 | |
Oregon GO | 5.892% | 6/1/27 | 2,730 | 3,616 | |
15 | Oregon School Boards Association GO | 4.759% | 6/30/28 | 9,955 | 11,660 |
13 | Oregon School Boards Association GO | 5.528% | 6/30/28 | 1,200 | 1,483 |
14 | Oregon School Boards Association GO | 5.680% | 6/30/28 | 1,475 | 1,862 |
Pennsylvania GO | 4.650% | 2/15/26 | 2,875 | 3,202 | |
Pennsylvania GO | 5.350% | 5/1/30 | 7,400 | 8,262 | |
Pennsylvania Public School Building Authority Lease | |||||
Revenue (School District of Philadelphia) | 5.000% | 9/15/27 | 2,617 | 2,887 | |
Pennsylvania Turnpike Commission Revenue | 6.105% | 12/1/39 | 400 | 550 | |
Pennsylvania Turnpike Commission Revenue | 5.511% | 12/1/45 | 2,150 | 2,825 | |
Pennsylvania Turnpike Commission Revenue | 5.561% | 12/1/49 | 1,475 | 1,994 | |
Philadelphia PA Industrial Development Authority City | |||||
Service Agreement Revenue | 3.964% | 4/15/26 | 2,285 | 2,357 | |
Phoenix AZ GO | 5.269% | 7/1/34 | 5 | 6 | |
Port Authority of New York & New Jersey Revenue | 6.040% | 12/1/29 | 2,550 | 3,338 | |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 12,075 | 15,874 | |
Port Authority of New York & New Jersey Revenue | 5.647% | 11/1/40 | 6,955 | 9,131 | |
Port Authority of New York & New Jersey Revenue | 4.960% | 8/1/46 | 6,300 | 7,829 | |
Port Authority of New York & New Jersey Revenue | 5.310% | 8/1/46 | 4,625 | 5,073 | |
Port Authority of New York & New Jersey Revenue | 4.926% | 10/1/51 | 4,050 | 5,004 | |
Port Authority of New York & New Jersey Revenue | 4.458% | 10/1/62 | 21,300 | 24,369 | |
President & Fellows of Harvard College Massachusetts | |||||
GO | 4.875% | 10/15/40 | 7,450 | 9,909 |
117
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Princeton University New Jersey GO | 4.950% | 3/1/19 | 65 | 72 |
Princeton University New Jersey GO | 5.700% | 3/1/39 | 3,732 | 5,304 |
Regional Transportation District of Colorado Sales Tax | ||||
Revenue | 5.844% | 11/1/50 | 3,500 | 5,101 |
Rutgers State University New Jersey Revenue | 5.665% | 5/1/40 | 3,225 | 4,128 |
Sacramento CA Public Financing Authority Lease | ||||
Revenue | 5.637% | 4/1/50 | 7,095 | 8,541 |
Salt River Project Arizona Agricultural Improvement & | ||||
Power District Revenue | 4.839% | 1/1/41 | 1,900 | 2,443 |
San Antonio TX Electric & Gas Systems Revenue | 5.985% | 2/1/39 | 4,335 | 6,122 |
San Antonio TX Electric & Gas Systems Revenue | 5.718% | 2/1/41 | 2,725 | 3,777 |
San Antonio TX Electric & Gas Systems Revenue | 5.808% | 2/1/41 | 6,750 | 9,425 |
San Antonio TX Electric & Gas Systems Revenue | 4.427% | 2/1/42 | 5,300 | 6,356 |
San Diego County CA Regional Airport Authority | ||||
Revenue | 5.594% | 7/1/43 | 3,350 | 3,817 |
San Diego County CA Regional Transportation | ||||
Commission Sales Tax Revenue | 5.911% | 4/1/48 | 2,225 | 3,174 |
San Diego County CA Water Authority Revenue | 6.138% | 5/1/49 | 14,020 | 20,235 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 6.000% | 11/1/40 | 4,950 | 6,559 |
San Francisco CA City & County Public Utilities | ||||
Commission Water Revenue | 6.950% | 11/1/50 | 4,950 | 7,518 |
Santa Clara Valley CA Transportation Authority Sales | ||||
Tax Revenue | 5.876% | 4/1/32 | 8,800 | 11,371 |
Sonoma County CA Pension Obligation Revenue | 6.000% | 12/1/29 | 3,435 | 4,260 |
South Carolina Public Service Authority Revenue | 6.454% | 1/1/50 | 8,450 | 12,038 |
Stanford University California GO | 4.750% | 5/1/19 | 30 | 33 |
Stanford University California GO | 3.460% | 5/1/47 | 2,300 | 2,512 |
Texas GO | 5.517% | 4/1/39 | 8,265 | 11,511 |
Texas Transportation Commission Revenue | 5.028% | 4/1/26 | 2,100 | 2,567 |
Texas Transportation Commission Revenue | 5.178% | 4/1/30 | 5,035 | 6,469 |
Texas Transportation Commission Revenue | 4.631% | 4/1/33 | 8,450 | 10,493 |
Texas Transportation Commission Revenue | 4.681% | 4/1/40 | 2,850 | 3,584 |
Tufts University Massachusetts GO | 5.017% | 4/15/12 | 8,425 | 9,943 |
University of California Regents Medical Center | ||||
Revenue | 6.548% | 5/15/48 | 3,950 | 5,701 |
University of California Regents Medical Center | ||||
Revenue | 6.583% | 5/15/49 | 2,575 | 3,719 |
University of California Revenue | 1.796% | 7/1/19 | 13,165 | 13,462 |
University of California Revenue | 6.270% | 5/15/31 | 500 | 561 |
University of California Revenue | 5.770% | 5/15/43 | 1,220 | 1,645 |
University of California Revenue | 4.765% | 5/15/44 | 5,350 | 5,778 |
University of California Revenue | 5.946% | 5/15/45 | 13,100 | 17,633 |
University of California Revenue | 4.858% | 5/15/12 | 18,000 | 20,067 |
University of California Revenue | 4.767% | 5/15/15 | 8,000 | 8,697 |
University of Massachusetts Building Authority | ||||
Revenue | 5.450% | 11/1/40 | 1,700 | 2,193 |
University of North Carolina at Chapel Hill Revenue | 3.847% | 12/1/34 | 4,050 | 4,589 |
University of Southern California GO | 5.250% | 10/1/11 | 3,900 | 5,243 |
University of Texas System Revenue Financing System | ||||
Revenue | 5.262% | 7/1/39 | 1,650 | 2,226 |
University of Texas System Revenue Financing System | ||||
Revenue | 6.276% | 8/15/41 | 1,535 | 1,743 |
University of Texas System Revenue Financing System | ||||
Revenue | 5.134% | 8/15/42 | 100 | 130 |
University of Texas System Revenue Financing System | ||||
Revenue | 4.794% | 8/15/46 | 1,310 | 1,654 |
University of Virginia Revenue | 6.200% | 9/1/39 | 3,350 | 4,985 |
Utah GO | 4.554% | 7/1/24 | 2,525 | 2,934 |
Utah GO | 3.539% | 7/1/25 | 8,710 | 9,710 |
Utah Transit Authority Sales Tax Revenue | 5.937% | 6/15/39 | 3,330 | 4,621 |
Washington Convention Center Public Facilities District | ||||
Revenue | 6.790% | 7/1/40 | 400 | 538 |
Washington GO | 5.090% | 8/1/33 | 9,025 | 11,264 |
118
Vanguard® Total Bond Market Index Fund | ||||
Schedule of Investments | ||||
June 30, 2016 | ||||
Face | Market | |||
Maturity | Amount | Value | ||
Coupon | Date | ($000) | ($000) | |
Washington GO | 5.481% | 8/1/39 | 870 | 1,173 |
Washington GO | 5.140% | 8/1/40 | 6,035 | 8,008 |
13 Wisconsin GO | 5.700% | 5/1/26 | 1,300 | 1,597 |
Total Taxable Municipal Bonds (Cost $1,378,969) | 1,647,151 | |||
Shares | ||||
Temporary Cash Investment (3.1%) | ||||
Money Market Fund (3.1%) | ||||
16 Vanguard Market Liquidity Fund (Cost | ||||
$5,235,567) | 0.538% | 5,235,566,569 | 5,235,567 | |
Total Investments (102.5%) (Cost $165,110,312) | 172,625,643 | |||
Other Assets and LiabilitiesNet (-2.5%) | (4,219,814) | |||
Net Assets (100%) | 168,405,829 |
1 U.S. government-guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full
faith and credit of the U.S. government.
3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal
Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior
preferred stock.
4 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and
prepayments or the possibility of the issue being called.
5 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of June 30, 2016.
6 Adjustable-rate security.
7 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate value of these securities was $1,564,632,000,
representing 0.9% of net assets.
8 Guaranteed by the Government of Canada.
9 Guaranteed by the Government of Japan.
10 Guaranteed by the Federal Republic of Germany.
11 Guaranteed by the Republic of Austria.
12 Guaranteed by the Republic of the Philippines.
13 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
14 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
15 Scheduled principal and interest payments are guaranteed by AMBAC (Ambac Assurance Corporation).
16 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day
yield.
COPCertificate of Participation.
GOGeneral Obligation Bond.
REITReal Estate Investment Trust.
119
© 2016 The Vanguard Group, Inc. All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA842 082016
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not Applicable.
Item 8: Portfolio Managers of Closed-End Management Investment Companies.
Not Applicable.
Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not Applicable.
Item 10: Submission of Matters to a Vote of Security Holders.
Not Applicable.
Item 11: Controls and Procedures.
(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.
Item 12: Exhibits.
(a) Certifications.
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
VANGUARD BOND INDEX FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: August 17, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
VANGUARD BOND INDEX FUNDS | |
BY: | /s/ F. WILLIAM MCNABB III* |
F. WILLIAM MCNABB III | |
CHIEF EXECUTIVE OFFICER | |
Date: August 17, 2016 |
VANGUARD BOND INDEX FUNDS | |
BY: | /s/ THOMAS J. HIGGINS* |
THOMAS J. HIGGINS | |
CHIEF FINANCIAL OFFICER | |
Date: August 17, 2016 |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number
2-17620, Incorporated by Reference.